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BELTRAN-LOPEZ, Héléna; GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010926581

Beltran-Lopez, Héléna; Giot, Pierre; Grammig, Joachim - In: Financial Markets and Portfolio Management 23 (2009) 3, pp. 209-242

Persistent link: https://www.econbiz.de/10005048625

Commonalities in the order book

BELTRAN-LOPEZ, Héléna; GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010675347

Time varying trade intensities and the Deutsche Telekom IPO

Hujer, Reinhard; Grammig, Joachim; Kokot, Stefan - In: Jahrbücher für Nationalökonomie und Statistik 220 (2000) 6, pp. 689-714

Persistent link: https://www.econbiz.de/10001533951

Creative destruction and asset prices

Grammig, Joachim; Jank, Stephan - In: Journal of financial and quantitative analysis : JFQA 51 (2016) 6, pp. 1739-1768

Persistent link: https://www.econbiz.de/10011654670

Empirical asset pricing with multi-period disaster risk : a simulation-based approach

Sönksen, Jantje; Grammig, Joachim - In: Journal of econometrics 222 (2021) 1,3, pp. 805-832

Persistent link: https://www.econbiz.de/10012619790

A two-step indirect inference approach to estimate the long-run risk asset pricing model

Grammig, Joachim; Küchlin, Eva-Maria - In: Journal of econometrics 205 (2018) 1, pp. 6-33

Persistent link: https://www.econbiz.de/10012110233

Reinhard Hujer : ein Forscherleben als Spiegelbild der Ökonometrie

Caliendo, Marco; Grammig, Joachim; Schneider, Hilmar - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 14 (2020) 3/4, pp. 219-223

Persistent link: https://www.econbiz.de/10012606817

Asymmetric ACD models: Introducing price information in ACD models

Bauwens, Luc; Giot, Pierre - In: Empirical Economics 28 (2003) 4, pp. 709-731

This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model...

Persistent link: https://www.econbiz.de/10005382273

A comparison of financial duration models via density forecasts

Bauwens, Luc; Giot, Pierre; Grammig, Joachim; Veredas, David - In: International Journal of Forecasting 20 (2004) 4, pp. 589-609

Persistent link: https://www.econbiz.de/10005418381