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Joachim Grammig

Observed names: Giot, Pierre, Grammig, Joachim, JOACHIM GRAMMIG
ORCID: 0000-0002-1534-5656
Observed ORCID: 0000-0002-1534-5656
OpenAlex ID: A5061133482
Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects
2004 · Joachim Grammig, Michael Melvin, et al. · Journal of Empirical Finance · 231
Non‐monotonic hazard functions and the autoregressive conditional duration model
2000 · Joachim Grammig, Kai‐Oliver Maurer · Econometrics Journal · 230
A comparison of financial duration models via density forecasts
2003 · Luc Bauwens, Pierre Giot, et al. · International Journal of Forecasting · 212
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A family of autoregressive conditional duration models
2004 · Marcelo Fernandes, Joachim Grammig · Journal of Econometrics · 188
Knowing me, knowing you:
2001 · Joachim Grammig, Dirk Schiereck, et al. · Journal of Financial Markets · 135
Estimating the probability of informed trading—does trade misclassification matter?
2006 · Ekkehart Boehmer, Joachim Grammig, et al. · Journal of Financial Markets · 113
Nonparametric specification tests for conditional duration models
2004 · Marcelo Fernandes, Joachim Grammig · Journal of Econometrics · 105
Nonstandard Errors
2024 · ALBERT J. MENKVELD, ANNA DREBER, et al. · The Journal of Finance · 103
Modeling the interdependence of volatility and inter-transaction duration processes
2002 · Joachim Grammig, Marc Wellner · Journal of Econometrics · 96
Telltale Tails: A New Approach to Estimating Unique Market Information Shares
2013 · Joachim Grammig, Franziska J. Peter · Journal of Financial and Quantitative Analysis · 64
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets
2001 · Joachim Grammig, D. Schiereck, et al. · TUbilio (Technical University of Darmstadt) · 49
How large is liquidity risk in an automated auction market?
2005 · Pierre Giot, Joachim Grammig · Empirical Economics · 42
Liquidity supply and adverse selection in a pure limit order book market
2005 · Stefan Frey, Joachim Grammig · Empirical Economics · 41
Price Discovery in International Equity Trading
2001 · Joachim Grammig, Christian Schlag, et al. · SSRN Electronic Journal · 37
The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks
2004 · Joachim Grammig, Christian Schlag, et al. · SSRN Electronic Journal · 34
Is Best Really Better? Internalization in Xetra Best
2005 · Joachim Grammig, Erik Theissen · SSRN Electronic Journal · 30
Discrete choice modelling in airline network management
2005 · Joachim Grammig, Reinhard Hujer, et al. · Journal of Applied Econometrics · 29
Loss of IBA1-Expression in brains from individuals with obesity and hepatic dysfunction
2019 · Julia Lier, Karsten Winter, et al. · Brain Research · 26
How Large is Liquidity Risk in an Automated Auction Market?
2002 · Joachim Grammig, Pierre Giot · SSRN Electronic Journal · 22
A Comparison of Financial Duration Models via Density Forecast
2005 · Luc Bauwens, Joachim Grammig, et al. · SSRN Electronic Journal · 20
Commonalities in the order book
2009 · Héléna Beltran-Lopez, Pierre Giot, et al. · Financial markets and portfolio management · 18
A new marked point process model for the federal funds rate target
2008 · Joachim Grammig, Kerstin Kehrle · Journal of Economic Dynamics and Control · 18
Time and the Price Impact of a Trade: A Structural Approach
2007 · Oliver Wuensche, Erik Theissen, et al. · SSRN Electronic Journal · 14
Limit order books and trade informativeness
2011 · Hélena Beltran-Lopez, Joachim Grammig, et al. · European Journal of Finance · 13
How large is liquidity risk in an automated auction market?
2007 · Pierre Giot, Joachim Grammig · Physica-Verlag eBooks · 11
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Works count: 127
Citation count: 2,086
H-index: 20
I10-index: 31
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