Browsing All of EconStor by Author Grammig, Joachim
Showing results 1 to 20 of 20
Year of Publication | Title | Author(s) |
1998 | Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten | Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan; Maurer, Kai-Oliver |
1999 | Modeling the interdependence of volatility and inter-transaction duration processes | Grammig, Joachim; Wellner, Marc |
2000 | Bias-free nonparametric estimation of intra-day trade activity measures | Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan |
2001 | Tackling boundary effects in nonparametric estimation of intra-day liquidity measures | Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan |
2001 | Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects | Grammig, Joachim; Melvin, Michael; Schlag, Christian |
2005 | Liquidity supply and adverse selection in a pure limit order book market | Frey, Stefan; Grammig, Joachim |
2005 | Understanding the limit order book: Conditioning on trade informativeness | Beltran, Héléna; Grammig, Joachim; Menkveld, Albert J. |
2007 | Time and price impact of a trade: A structural approach | Grammig, Joachim; Theissen, Erik; Wuensche, Oliver |
2009 | Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns | Grammig, Joachim; Schrimpf, Andreas |
2013 | Creative destruction and asset prices | Grammig, Joachim; Jank, Stephan |
2014 | Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments Approach | Grammig, Joachim; Sönksen, Jantje |
2014 | Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing | Grammig, Joachim; Schaub, Eva-Maria |
2014 | Consumption-based asset pricing with rare disaster risk | Grammig, Joachim; Sönksen, Jantje |
2014 | Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models | Grammig, Joachim; Schaub, Eva-Maria |
2014 | Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing models | Grammig, Joachim; Schaub, Eva-Maria |
2017 | A two-step indirect inference approach to estimate the long-run risk asset pricing model | Grammig, Joachim; Küchlin, Eva-Maria |
2017 | A two-step indirect inference approach to estimate the long-run risk asset pricing model | Grammig, Joachim; Küchlin, Eva-Maria |
2020 | Reinhard Hujer – Ein Forscherleben als Spiegelbild der Ökonometrie | Caliendo, Marco; Grammig, Joachim; Schneider, Hilmar |
2020 | Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach | Sönksen, Jantje; Grammig, Joachim |
2020 | Diverging roads: Theory-based vs. machine learning-implied stock risk premia | Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian; Sönksen, Jantje |