Browsing All of EconStor by Author Grammig, Joachim


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