Prof. Dr. rer. pol. Joachim Grammig

Professor - aktiv

Position / Amtsbezeichnung
Lehrstuhlinhaber
Universität
Eberhard Karls Universität Tübingen
Fachbereich
Wirtschaftswissenschaftliche Fakultät
Arbeitsbereiche
Statistik
Ökonometrie und Empirische Wirtschaftsforschung
Forschungsbereiche
Financial Econometrics
Empirical Finance
Financial Market Microstructure
Airline Economics
International Stock Markets
Land
Deutschland
Ort / PLZ
72074 Tübingen
Strasse
Mohlstraße 36
Sekretariat
07071-2978159
FAX
07071-295546

Bücher

Veröffentlichungen

Selected Publications

Commonalties in the order book, (with H. Beltran and P. Giot), Financial Markets and Portfolio Management, Vol. 23, Issue 3, 2009, 209-242

Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns, (with A. Schrimpf), Review of Financial Economics, Vol. 18, Issue 3, 2009, 113-123

Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence, (with A. Schrimpf and M. Schuppli), The European Journal of Finance, Vol. 15, Issue 5 & 6, 2009, 511-532

A New Marked Point Process Model for the Federal Funds Rate Target: Methodology and Forecast Evaluation, (with K.Kehrle), Journal of Economic Dynamics and Control, Vol. 32, Issue 7, 2008, 2370-2396 (Data, Programs and readme)

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?, (with E. Boehmer and E. Theissen), Journal of Financial Markets, Vol. 10, 2007, 26 - 47. (Data and Programs) (readme)

A Familiy of Autoregressive Conditional Duration Models, (with M. Fernandes), Journal of Econometrics, Vol. 130/1, 2006, 1 - 23. (Data and Programs) (readme)

How large is liquidity risk in an automated auction market?, (with P. Giot), Empirical Economics, Vol. 30/4, 2006, 867 - 887.

Liquidity supply and adverse selection in a pure limit order book market, (with S. Frey), Empirical Economics , Vol. 30/4, 2006, 1007 - 1033.

Non-parametric Specification Tests for Conditional Duration Models, (with M. Fernandes), Journal of Econometrics, Vol. 127, 2005, 35 - 68. (Data and Programs) (readme)

Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects, (with M. Melvin and C. Schlag), Journal of Empirical Finance, Vol. 12/1, 2005, 139 - 164.

Discrete Choice Modelling in Airline Network Management, (with R. Hujer and M. Scheidler), Journal of Applied Econometrics, Vol. 20, 2005, 467 - 486. (Data and Programs) (readme)

A Comparison of Financial Duration Models via Density Forecasts, (with L. Bauwens, P. Giot and D. Veredas), International Journal of Forecasting, Vol. 20, 2004, 589 - 609. (Data and Programs) (readme)

Comparison of neuronal density and subfield sizes in the hippocampus of CD95L-Deficient (GLD), CD95-Deficient (LPR) and Non-Deficient mice, (with I. Bechmann, A. Kovac, R. Nitsch), The Journal of European Neuroscience, Vol. 16, 2002, 159 - 163.

Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes, (with M. Wellner), Journal of Econometrics, Vol. 106/2, 2002, 369 - 400. (Data and Programs)

Tackling boundary effects in nonparametric estimation of intra-day liquidity measures, (with R. Hujer and S. Kokot), Computational Statistics Vol. 17,Issue 2, 2002, 233 - 249

Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets, (with D. Schiereck and E. Theissen), Journal of Financial Markets, Vol. 4, 2001, 385 - 412 . (Data and Programs)

Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model, (with K.-O. Maurer), Econometrics Journal, Vol. 3, 2000, 16 - 38. (Data and Programs)

Informationsbasierter Aktienhandel über IBIS, (with D. Schiereck and E. Theissen), Zeitschrift für betriebswirtschaftliche Forschung, 2000 - 52, 2000, 619 - 642.


Working Papers

International Price Discovery in the Presence of Market Microstructure Effects (with Franziska J. Peter), 2008 available at SSRN

Time and the Price Impact of a Trade: A Structural Approach (with E. Theissen and O. Wuensche), 2007, available at SSRN, presented at the European Finance Association Meeting, Ljubljana 2007.

Limit order books and trade informativeness (with H. Beltran-Lopez and A. J. Menkveld),(pdf Version May/2007), Working Paper, Universities of Louvain, Amsterdam and Tübingen.

Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model (with A. Heinen and E.W. Rengifo) 2005. available at SSRN, CORE Discussion Paper No. 2004/58, presented at the European Finance Association Meeting, Moscow 2005

Is best really better? Internalization in Xetra BEST, (with E. Theissen), (pdf Version July/2005), Working Paper, Universities of Tübingen and Bonn.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks, (with M. Melvin and C. Schlag), (pdf Version February/2005), Working Paper, Universities of Tuebingen, Arizona and Frankfurt.

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