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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

Price discovery in international equity trading

Grammig, Joachim; Melvin, Michael; Schlag, Christian - 2001

Persistent link: https://www.econbiz.de/10004613700

Tackling boundary effects in nonparametric estimation of intra day liquidity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2001

Persistent link: https://www.econbiz.de/10004613706

Liquidity supply and adverse selection in a pure limit order book market

Frey, Stefan; Grammig, Joachim - 2005

Persistent link: https://www.econbiz.de/10004880895

Understanding the limit order book : conditioning on trade informativeness

Beltran, Helena; Grammig, Joachim; Menkveld, Albert J. - 2005

Persistent link: https://www.econbiz.de/10004880899

Is best really better? : Internalization in xetra best

Grammig, Joachim; Theissen, Erik - 2005

Persistent link: https://www.econbiz.de/10004881220

Bias free nonparametric estimation of intra day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10004686066

Consumption-based asset pricing with a reference level : new evidence from the cross-section of stock returns

Grammig, Joachim; Schrimpf, Andreas - 2006

Persistent link: https://www.econbiz.de/10004505288

A Family of Autoregressive Conditional Duration Models

Fernandes, Marcelo; Grammig, Joachim - FGV/EPGE Escola Brasileira de Economia e Finanças, … - 2002

Persistent link: https://www.econbiz.de/10005407490

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

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