Joachim Grammig : Citation Profile

Are you Joachim Grammig?

Eberhard-Karls-Universität Tübingen

9

H index

8

i10 index

536

Citations

RESEARCH PRODUCTION:

16

Articles

27

Papers

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 29
   Journals where Joachim Grammig has often published
   Relations with other researchers
   Recent citing documents: 53.    Total self citations: 16 (2.9 %)

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   Permalink: http://citec.repec.org/pgr158
   Updated: 2019-09-14    RAS profile: 2011-04-15    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Joachim Grammig.

Is cited by:

Fernandes, Marcelo (21)

Hautsch, Nikolaus (21)

Anatolyev, Stanislav (16)

Bauwens, Luc (15)

Theissen, Erik (12)

GAO, Jiti (12)

Allen, David (10)

Dionne, Georges (9)

Blasques, Francisco (9)

Medeiros, Marcelo (9)

Gallo, Giampiero (8)

Cites to:

Bauwens, Luc (14)

Veredas, David (14)

Engle, Robert (13)

Giot, Pierre (11)

Easley, David (9)

gourieroux, christian (9)

Drost, Feike C. (9)

Andersen, Torben (8)

Jasiak, Joann (8)

Cochrane, John (8)

Constantinides, George (7)

Main data

Where Joachim Grammig has published?

Journals with more than one article published# docs
Journal of Econometrics3
Empirical Economics2
Journal of Financial Markets2

Working Papers Series with more than one paper published# docs
CFR Working Papers / University of Cologne, Centre for Financial Research (CFR)5
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)3
ZEW Discussion Papers / ZEW - Leibniz Centre for European Economic Research2
Publications of Darmstadt Technical University, Institute for Business Studies (BWL) / Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL)2

Recent works citing Joachim Grammig (2018 and 2017)

YearTitle of citing document
2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: CREATES Research Papers. RePEc:aah:create:2017-12.

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2017Statistical inference for the doubly stochastic self-exciting process. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1607.05831.

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2018Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2019Informed trading in a two-tier market structure under financial distress. (2019). Paiardini, Paola ; Impenna, Claudio . In: Discussion Papers. RePEc:bir:birmec:19-06.

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2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

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2017COMPETITION BETWEEN EQUITY MARKETS: A REVIEW OF THE CONSOLIDATION VERSUS FRAGMENTATION DEBATE. (2017). Theissen, Erik ; Westheide, Christian ; Weber, Moritz Christian ; Sagade, Satchit ; Gomber, Peter. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:3:p:792-814.

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2018Asymmetric information and the distribution of trading volume. (2018). Lof, Matthijs ; van Bommel, Jos. In: Research Discussion Papers. RePEc:bof:bofrdp:001.

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2018Asymmetric information and the distribution of trading volume. (2018). Lof, Matthijs ; van Bommel, Jos. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_001.

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2017On log-symmetric duration models applied to high frequency financial data. (2017). Saulo, Helton ; Leo, Jeremias . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00030.

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2019Modelling bimodality of length of tourist stay. (2019). Perez-Rodriguez, J V ; Gomez-Deniz, E. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:131-151.

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2019Modeling financial durations using penalized estimating functions. (2019). Zhang, Yaohua ; Thavaneswaran, Aerambamoorthy ; Ravishanker, Nalini ; Zou, Jian. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:131:y:2019:i:c:p:145-158.

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2018Time-varying arbitrage and dynamic price discovery. (2018). Frijns, Bart. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:485-502.

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2018Switches in price discovery: Are U.S. traders more qualified in making valuations?. (2018). Qadan, Mahmoud. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:221-234.

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2018Diagnostic checking of Markov multiplicative error models. (2018). Guo, Bin ; Li, Shuo. In: Economics Letters. RePEc:eee:ecolet:v:170:y:2018:i:c:p:139-142.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2019Nonparametric estimation and testing on discontinuity of positive supported densities: a kernel truncation approach. (2019). Funke, Benedikt ; Hirukawa, Masayuki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:156-170.

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2018The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares. (2018). Frijns, Bart ; Tourani-Rad, Alireza ; Indriawan, Ivan. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:136-152.

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2017Earnings comparability and informed trading. (2017). Lim, Steve C ; Kim, Sangwan . In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:130-136.

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2017Passenger booking timing for low-cost airlines: A continuous logit approach. (2017). Wen, Chieh-Hua ; Chen, Po-Hung . In: Journal of Air Transport Management. RePEc:eee:jaitra:v:64:y:2017:i:pa:p:91-99.

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2018Idiosyncratic information and the cost of equity capital: A meta-analytic review of the literature. (2018). Schreder, Max. In: Journal of Accounting Literature. RePEc:eee:joacli:v:41:y:2018:i:c:p:142-172.

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2018Global price discovery in the Australian dollar market and its determinants. (2018). Su, Fei ; Zhang, Jingjing. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:48:y:2018:i:c:p:35-55.

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2019Group transfer entropy with an application to cryptocurrencies. (2019). Dimpfl, Thomas ; Peter, Franziska J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:516:y:2019:i:c:p:543-551.

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2017Intraday industry-specific spillover effect in European equity markets. (2017). Mateus, Cesario ; Chinthalapati, Raju . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:278-298.

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2017Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?. (2017). Liu, Xiaochun. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:275-293.

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2018Does US cross-listing come with incremental benefit for already UK cross-listed firms. (2018). Ghadhab, Imen ; Mrad, Mouna . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:69:y:2018:i:c:p:188-204.

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2018Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange. (2018). Karaa, Rabaa ; Hmaied, Dorra Mezzez ; Slim, Skander. In: Research in International Business and Finance. RePEc:eee:riibaf:v:44:y:2018:i:c:p:88-99.

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2017LIQUIDITY ADJUSTED VALUE AT RISK: INTEGRATING THE UNCERTAINTY IN DEPTH AND TIGHTNESS. (2017). Evren, Burak ; Uslu, Levent C. In: Eurasian Journal of Business and Management. RePEc:ejn:ejbmjr:v:5:y:2017:i:1:p:55-69.

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2017TRADE PATTERN ON WARSAW STOCK EXCHANGE AND PREDICTION OF NUMBER OF TRADES. (2017). Gurgul, Henryk ; Machno, Artur. In: Statistics in Transition New Series. RePEc:exl:29stat:v:18:y:2017:i:1:p:91-114.

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2017Improving on daily measures of price discovery. (2017). Fernandes, Marcelo ; Scherrer, Cristina Mabel ; Dias, Gustavo Fruet . In: Textos para discussão. RePEc:fgv:eesptd:444.

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2017Business Time Sampling Scheme with Applications to Testing Semi-Martingale Hypothesis and Estimating Integrated Volatility. (2017). Dong, Yingjie ; Tse, Yiu-Kuen. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:4:p:51-:d:118613.

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2018A Model for Policy Interest Rates. (2018). Sirchenko, Andrei ; Muller, Gernot ; Seibert, Armin. In: HSE Working papers. RePEc:hig:wpaper:192/ec/2018.

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2017Equity Market Response to Form 20-F Disclosures for ADR Firms. (2017). Senteney, Michael H ; Bazaz, Mohammad S. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:9:y:2017:i:3:p:233-255.

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2019“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”. (2019). Sosvilla-Rivero, Simon ; Gomez-Deniza, Emilio ; Perez-Rodriguez, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201907.

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2018Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Purwono, Yogo ; Husodo, Zaafri Ananto ; Ekaputra, Irwan Adi . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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2017The role of cointegration for optimal hedging with heteroscedastic error term. (2017). Johansen, Soren ; Gatarek, Lukasz . In: Discussion Papers. RePEc:kud:kuiedp:1703.

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2017Asset Pricing in the Quest for the New El Dorado. (2017). Andrei, Daniel ; Carlin, Bruce I. In: NBER Working Papers. RePEc:nbr:nberwo:23455.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2017Evaluating Combined Forecasts for Realized Volatility Using Asymmetric Loss Functions. (2017). Gallo, Giampiero ; Carita, Danilo ; de Luca, Giovanni. In: Econometric Research in Finance. RePEc:sgh:erfinj:v:2:y:2017:i:2:p:99-111.

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2017Effects of limit order book information level on market stability metrics. (2017). Paddrik, Mark ; Beling, Peter ; Scherer, William ; Hayes, Roy . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-015-0164-6.

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2017Varying kernel marginal density estimator for a positive time series. (2017). Balakrishna, N ; Koul, Hira L. In: Journal of Nonparametric Statistics. RePEc:taf:gnstxx:v:29:y:2017:i:3:p:531-552.

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2017A methodology for stochastic inventory modelling with ARMA triangular distribution for new products. (2017). Rojas, Fernando ; Liu, Shaofeng . In: Cogent Business & Management. RePEc:taf:oabmxx:v:4:y:2017:i:1:p:1270706.

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2017Testing weak exogeneity in multiplicative error models. (2017). Xu, Yongdeng ; Luintel, Kul B. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:10:p:1617-1630.

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2017The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data. (2017). Xu, Yongdeng ; Taylor, Nick. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:7:p:1021-1035.

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2018Air itinerary shares estimation using multinomial logit models. (2018). Busquets, Judit Guimera ; Evans, Antony D ; Alonso, Eduardo . In: Transportation Planning and Technology. RePEc:taf:transp:v:41:y:2018:i:1:p:3-16.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:1-2017.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2017Exchange Initiatives and Market Efficiency: Evidence from the Australian Securities Exchange. (2017). Dosanjh, Jagjeev . In: PhD Thesis. RePEc:uts:finphd:34.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2019Price discovery in bitcoin spot or futures?. (2019). Dimpfl, Thomas ; Baur, Dirk G. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:7:p:803-817.

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2017The Impact of Iceberg Orders in Limit Order Books. (2017). Frey, Stefan ; Sands, Patrik . In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:07:y:2017:i:03:n:s2010139217500070.

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Works by Joachim Grammig:

YearTitleTypeCited
Price Discovery in International Equity Trading In: Working Papers.
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2001Price discovery in international equity trading.(2001) In: CORE Discussion Papers.
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2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper91
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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2001A family of autoregressive conditional duration models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper78
2006A family of autoregressive conditional duration models.(2006) In: Journal of Econometrics.
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2002A family of autoregressive conditional duration models.(2002) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2003A family of autoregressive conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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2001The econometrics of airline network management In: CORE Discussion Papers.
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2002How large is liquidity risk in an automated auction market ? In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper9
2006How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics.
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2002How large is liquidity risk in an automated auction market?.(2002) In: University of St. Gallen Department of Economics working paper series 2002.
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2004Trading activity and liquidity supply in a pure limit order book market In: CORE Discussion Papers.
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2005Commonalities in the order book In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper8
2005Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 8		paper
2009Commonalities in the order book.(2009) In: Financial Markets and Portfolio Management.
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2009Commonalities in the order book.(2009) In: CFR Working Papers.
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2001Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Citation analysis]		paper29
2001Knowing me, knowing you: : Trader anonymity and informed trading in parallel markets.(2001) In: Journal of Financial Markets.
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2000Informationsbasierter Aktienhandel über IBIS In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL).
[Citation analysis]		paper3
2000Non-monotonic hazard functions and the autoregressive conditional duration model In: Econometrics Journal.
[Citation analysis]		article75
2008A new marked point process model for the federal funds rate target: Methodology and forecast evaluation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article7
2002Modeling the interdependence of volatility and inter-transaction duration processes In: Journal of Econometrics.
[Full Text][Citation analysis]		article47
2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
[Full Text][Citation analysis]		article39
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
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This paper has another version. Agregated cites: 39		paper
2003Nonparametric specification tests for conditional duration models.(2003) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 39		paper
2000NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS.(2000) In: Computing in Economics and Finance 2000.
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2005Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article81
2007Estimating the probability of informed trading--does trade misclassification matter? In: Journal of Financial Markets.
[Full Text][Citation analysis]		article38
2003Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?.(2003) In: University of St. Gallen Department of Economics working paper series 2003.
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2009Asset pricing with a reference level of consumption: New evidence from the cross-section of stock returns In: Review of Financial Economics.
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2007Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns.(2007) In: ZEW Discussion Papers.
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2005Discrete choice modelling in airline network management In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article4
2000Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO In: Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik).
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2004Trading activity and liquidity supply in a pure limit order book market: An empirical analysis using a multivariate count data model. In: MPRA Paper.
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2006Liquidity supply and adverse selection in a pure limit order book market In: Empirical Economics.
[Full Text][Citation analysis]		article9
2009Long-horizon consumption risk and the cross-section of returns: new tests and international evidence In: The European Journal of Finance.
[Full Text][Citation analysis]		article1
2009Long-horizon consumption risk and the cross-section of returns: New tests and international evidence.(2009) In: CFR Working Papers.
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2008International price discovery in the presence of market microstructure effects In: CFR Working Papers.
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2010Tell-tale tails: A data driven approach to estimate unique market information shares In: CFR Working Papers.
[Full Text][Citation analysis]		paper2
2010Creative destruction and asset prices In: CFR Working Papers.
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2006Consumption-Based Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns In: ZEW Discussion Papers.
[Full Text][Citation analysis]		paper0

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