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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

A Comparative Empirical Analysis of Labour Supply and Wages of Married Women in the FRG and the USA

Hujer, Reinhard; Grammig, Joachim; Schnabel, Reinhold - In: Jahrbücher für Nationalökonomie und Statistik 213 (1994) 2, pp. 129-147

Persistent link: https://www.econbiz.de/10014608345

Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO

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

Summary We apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay (1999) to model the after market trading duration process associated with the initial public offering of the Deutsche Telekom AG share in November of 1996. Special emphasis is...

Persistent link: https://www.econbiz.de/10014608802

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

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/10010926581

Tackling boundary effects in nonparametric estimation of intra-day liquidity measures

GRAMMIG, Joachim; HUJER, Reinhard; KOKOT, Stefan - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010926959