Joachim Grammig : Citation Profile


Are you Joachim Grammig?

Eberhard-Karls-Universität Tübingen

9

H index

8

i10 index

491

Citations

RESEARCH PRODUCTION:

16

Articles

27

Papers

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 27
   Journals where Joachim Grammig has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 16 (3.16 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgr158
   Updated: 2018-10-13    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:

Hautsch, Nikolaus (21)

Fernandes, Marcelo (20)

Bauwens, Luc (15)

GAO, Jiti (12)

Anatolyev, Stanislav (10)

Allen, David (10)

Saart, Patrick (8)

Dionne, Georges (8)

Theissen, Erik (8)

Medeiros, Marcelo (8)

Gallo, Giampiero (8)

Cites to:

Veredas, David (14)

Bauwens, Luc (14)

Engle, Robert (13)

Giot, Pierre (11)

Easley, David (9)

Drost, Feike C. (9)

gourieroux, christian (9)

Andersen, Torben (8)

Jasiak, Joann (8)

Cochrane, John (8)

Abel, Andrew (7)

Main data


Where Joachim Grammig has published?


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

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) / FGV/EPGE - Escola Brasileira de Economia e Finanas, Getulio Vargas Foundation (Brazil)3
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
ZEW Discussion Papers / ZEW - Zentrum fr Europische Wirtschaftsforschung / Center for European Economic Research2

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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2017COMPETITION BETWEEN EQUITY MARKETS: A REVIEW OF THE CONSOLIDATION VERSUS FRAGMENTATION DEBATE. (2017). Gomber, Peter ; Westheide, Christian ; Weber, Moritz Christian ; Theissen, Erik ; Sagade, Satchit . 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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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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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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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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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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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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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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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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2018Tax Evasion and Inequality. (2018). 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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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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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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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.
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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.
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paper73
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.
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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.
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2005Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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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).
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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).
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2000Non-monotonic hazard functions and the autoregressive conditional duration model In: Econometrics Journal.
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2008A new marked point process model for the federal funds rate target: Methodology and forecast evaluation In: Journal of Economic Dynamics and Control.
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2002Modeling the interdependence of volatility and inter-transaction duration processes In: Journal of Econometrics.
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article41
2005Nonparametric specification tests for conditional duration models In: Journal of Econometrics.
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article35
2000Non-Parametric Specification Tests for Conditional Duration Models..(2000) In: Economics Working Papers.
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2003Nonparametric specification tests for conditional duration models.(2003) In: FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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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.
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2007Estimating the probability of informed trading--does trade misclassification matter? In: Journal of Financial Markets.
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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.
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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.
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2009Long-horizon consumption risk and the cross-section of returns: new tests and international evidence In: The European Journal of Finance.
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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.
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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.
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