Browsing All of EconStor by Author Grammig, Joachim

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Showing results 1 to 18 of 18
Year of PublicationTitleAuthor(s)
1998 Ökonometrische Modellierung von Transaktionsintensitäten auf FinanzmärktenGrammig, Joachim; Hujer, Reinhard; Kokot, Stefan; Maurer, Kai-Oliver
1999 Modeling the interdependence of volatility and inter-transaction duration processesGrammig, Joachim; Wellner, Marc
2000 Bias-free nonparametric estimation of intra-day trade activity measuresGrammig, Joachim; Hujer, Reinhard; Kokot, Stefan
2001 Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate EffectsGrammig, Joachim; Melvin, Michael; Schlag, Christian
2001 Tackling boundary effects in nonparametric estimation of intra-day liquidity measuresGrammig, Joachim; Hujer, Reinhard; Kokot, Stefan
2005 Liquidity supply and adverse selection in a pure limit order book marketFrey, Stefan; Grammig, Joachim
2005 Understanding the limit order book: Conditioning on trade informativenessBeltran, Héléna; Grammig, Joachim; Menkveld, Albert J.
2007 Time and price impact of a trade: A structural approachGrammig, Joachim; Theissen, Erik; Wuensche, Oliver
2009 Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returnsGrammig, Joachim; Schrimpf, Andreas
2013 Creative destruction and asset pricesGrammig, Joachim; Jank, Stephan
2014 Give me strong moments and time - Combining GMM and SMM to estimate long-run risk asset pricing modelsGrammig, Joachim; Schaub, Eva-Maria
2014 Consumption-based asset pricing with rare disaster riskGrammig, Joachim; Sönksen, Jantje
2014 Consumption-based asset pricing with rare disaster riskGrammig, Joachim; Sönksen, Jantje
2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricingGrammig, Joachim; Schaub, Eva-Maria
2014 Consumption-Based Asset Pricing with Rare Disaster Risk: A Simulated Method of Moments ApproachGrammig, Joachim; Sönksen, Jantje
2014 Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing modelsGrammig, Joachim; Schaub, Eva-Maria
2017 A two-step indirect inference approach to estimate the long-run risk asset pricing modelGrammig, Joachim; Küchlin, Eva-Maria
2017 A two-step indirect inference approach to estimate the long-run risk asset pricing modelGrammig, Joachim; Küchlin, Eva-Maria