Joachim Grammig

University of Tuebingen

Wilhelmstr. 19

72074 Tuebingen, Baden Wuerttemberg 72074

Germany

SCHOLARLY PAPERS

28

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Scholarly Papers (28)

1.

Non-Standard Errors

Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 29 Nov 2021
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yun Jiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Prokopczuk Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund (IMF), Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, Auburn University, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Lum University Giuseppe Degennaro, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, affiliation not provided to SSRN, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City, University of London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, Vrije Universiteit Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, Vrije Universiteit Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, Queen's University - Smith School of Business, University of Technology Sydney (UTS), Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of Sydney Business School, Université Paris Dauphine, Hong Kong Institute for Monetary and Financial Research, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, Cornell University, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University, Justus Liebig University Giessen, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Faculty of Economics and Administration, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University, University of Maryland, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), Vrije Universiteit Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna Graduate School of Finance (VGSF), Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, Vrije Universiteit Amsterdam, Auburn University, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, Vrije Universiteit Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, Vrije Universiteit Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Stockholm School of Economics, University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, Leibniz University Hannover, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 2,825 (5,900)

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non-standard errors, multi-analyst approach, liquidity

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

Number of pages: 39 Posted: 03 Mar 2006
Ekkehart Boehmer, Joachim Grammig and Erik Theissen
Singapore Management University - Lee Kong Chian School of Business, University of Tuebingen and University of Mannheim - Finance Area
Downloads 925 (31,873)
Citation 16

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Informed trading, market microstructure, trade classification

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

Journal of Financial Markets, Vol. 10, pp. 26-47, 2006
Posted: 25 Oct 2006
Joachim Grammig, Ekkehart Boehmer and Erik Theissen
University of Tuebingen, Singapore Management University - Lee Kong Chian School of Business and University of Mannheim - Finance Area

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Informed trading, market microstructure, trade classification, PIN

3.
Downloads 656 ( 51,547)
Citation 3

Creative Destruction and Asset Prices

Forthcoming Journal of Financial and Quantitative Analysis
Number of pages: 54 Posted: 18 Aug 2010 Last Revised: 31 Jan 2015
Joachim Grammig, Stephan Jank and Stephan Jank
University of Tuebingen and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 438 (84,487)
Citation 1

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creative destruction, asset prices, size premium, size premium, invention activity

Creative Destruction and Asset Prices

Forthcoming Journal of Financial and Quantitative Analysis
Number of pages: 54 Posted: 19 Mar 2011 Last Revised: 31 Jan 2015
Joachim Grammig, Stephan Jank and Stephan Jank
University of Tuebingen and Deutsche BundesbankUniversity of Cologne - Centre for Financial Research (CFR)
Downloads 218 (178,655)
Citation 2

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creative destruction, asset prices, size premium, size premium, invention activity

4.

Price Discovery in International Equity Trading

Number of pages: 31 Posted: 10 May 2001
University of Tuebingen, Goethe University Frankfurt and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 530 (67,583)
Citation 17

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5.

Time and the Price Impact of a Trade: A Structural Approach

Working Paper University of Mannheim and University of Tübingen
Number of pages: 38 Posted: 05 Mar 2007 Last Revised: 21 Mar 2011
Oliver Wuensche, Erik Theissen and Joachim Grammig
UBS AG - Quantitative Risk Methodology, University of Mannheim - Finance Area and University of Tuebingen
Downloads 502 (72,333)

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Price impact, trading intensity, dynamic duration models, spread decomposition models, adverse selection risk

6.

Liquidity Supply and Adverse Selection in a Pure Limit Order Book Market

EFA 2005 Moscow Meetings Paper
Number of pages: 34 Posted: 01 Mar 2005 Last Revised: 01 Jul 2009
Stefan Frey, Stefan Frey and Joachim Grammig
Leibniz Universität HannoverCentre for Financial Research (CFR) and University of Tuebingen
Downloads 450 (82,509)

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Limit order book market, liquidity supply, adverse selection

7.

Diverging Roads: Theory-Based vs. Machine Learning-Implied Stock Risk Premia

Number of pages: 63 Posted: 24 Feb 2020 Last Revised: 11 Jun 2021
University of Tuebingen, University of Tuebingen - Faculty of Economics and Social Sciences, Goethe University Frankfurt and University of Tübingen
Downloads 415 (90,647)
Citation 1

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stock risk premia, option prices, machine learning

8.

Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

CORE Discussion Paper No. 2004/58, EFA 2005 Moscow Meetings Paper
Number of pages: 45 Posted: 06 Mar 2005
Joachim Grammig, Andréas Heinen and Erick W. Rengifo
University of Tuebingen, University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 395 (95,929)
Citation 6

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Market microstructure, Liquidity, Trading activity, Multivariate count process

9.

Limit Order Books and Trade Informativeness

EFA 2005 Moscow Meetings
Number of pages: 35 Posted: 04 Feb 2011 Last Revised: 07 Feb 2011
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), Vrije Universiteit Amsterdam and University of Tuebingen
Downloads 393 (96,530)

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Informational content of trades, limit order book

10.

How Large is Liquidity Risk in an Automated Auction Market?

U of St. Gallen Dept. of Economics Working Paper No. 2002-23
Number of pages: 35 Posted: 14 Nov 2002
Joachim Grammig and Pierre Giot
University of Tuebingen and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 325 (119,511)
Citation 8

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Liquidity, Value-at-Risk, Microstructure

Give Me Strong Moments and Time: Combining GMM and SMM to Estimate the Long-Run Risk Asset Pricing Model

Number of pages: 63 Posted: 29 Jan 2014 Last Revised: 10 Aug 2016
Joachim Grammig and Eva-Maria Küchlin
University of Tuebingen and Eberhard Karls Universitaet Tuebingen
Downloads 237 (164,757)
Citation 1

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asset pricing, long-run risk, simulation-based estimation

Give Me Strong Moments and Time: Combining GMM and SMM to Estimate the Long-Run Risk Asset Pricing Model

CFS Working Paper No. 479
Number of pages: 64 Posted: 11 Oct 2014 Last Revised: 31 Dec 2015
Joachim Grammig and Eva-Maria Küchlin
University of Tuebingen and Eberhard Karls Universitaet Tuebingen
Downloads 86 (370,736)
Citation 3

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asset pricing, long-run risk, simulated method of moments

12.

A New Marked Point Process Model for the Federal Funds Rate Target: Methodology and Forecast Evaluation

Number of pages: 44 Posted: 13 Mar 2006 Last Revised: 14 Aug 2014
Joachim Grammig and Kerstin Kehrle
University of Tuebingen and Independent
Downloads 310 (125,637)
Citation 1

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Marked Point Process, Autoregressive Conditional Hazard Model, Autoregressive Conditional Multinomial Model, Probability Forecast, Forecast Evaluation

13.

Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach

Number of pages: 52 Posted: 18 Feb 2014 Last Revised: 04 Oct 2018
Joachim Grammig and Jantje Sönksen
University of Tuebingen and University of Tübingen
Downloads 253 (155,046)
Citation 2

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rare disaster hypothesis, simulated method of moments, consumption-based asset pricing

14.

Is Best Really Better? Internalization in Xetra Best

Number of pages: 32 Posted: 05 Apr 2005
Joachim Grammig and Erik Theissen
University of Tuebingen and University of Mannheim - Finance Area
Downloads 253 (155,046)
Citation 2

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Internalization, execution quality, adverse selection costs

A Two-Step Indirect Inference Approach to Estimate the Long-Run Risk Asset Pricing Model

Number of pages: 73 Posted: 10 Aug 2016 Last Revised: 27 May 2017
Joachim Grammig and Eva-Maria Küchlin
University of Tuebingen and Eberhard Karls Universitaet Tuebingen
Downloads 209 (185,905)
Citation 3

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indirect inference estimation, asset pricing, long-run risk

A Two-Step Indirect Inference Approach to Estimate the Long-Run Risk Asset Pricing Model

CFS Working Paper, No. 572
Number of pages: 76 Posted: 20 Sep 2017 Last Revised: 16 Jan 2018
Joachim Grammig and Eva-Maria Küchlin
University of Tuebingen and Eberhard Karls Universitaet Tuebingen
Downloads 37 (557,999)
Citation 3

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Indirect Inference Estimation, Asset Pricing, Long-Run Risk

16.

The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks

Number of pages: 46 Posted: 22 Jul 2004
University of Tuebingen, Goethe University Frankfurt and CESifo (Center for Economic Studies and Ifo Institute)University of California, San Diego (UCSD) - Rady School of Management
Downloads 239 (163,866)
Citation 16

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17.

Expected and Unexpected Cost of Trading in the Xetra Automated Auction Market

Number of pages: 19 Posted: 20 Feb 2002
Pierre Giot, Helena M. Beltran-Lopez and Joachim Grammig
Facultés Universitaires Notre-Dame de la Paix (FUNDP), Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and University of Tuebingen
Downloads 226 (172,949)

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XETRA, automated auction market, market liquidity, trading risk, intraday data

18.
Downloads 215 (181,233)
Citation 4

Commonalities in the Order Book

CORE Discussion Paper
Number of pages: 45 Posted: 23 Feb 2006
Helena M. Beltran-Lopez, Pierre Giot and Joachim Grammig
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and University of Tuebingen
Downloads 215 (181,008)
Citation 4

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limit order book, commonalities, liquidity, market microstructure

Commonalities in the Order Book

Financial Markets and Portfolio Management, Vol. 23, No. 3, pp. 209-242, 2009
Posted: 20 Jun 2010
Helena M. Beltran-Lopez, Pierre Giot and Joachim Grammig
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and University of Tuebingen

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Limit order book, Commonalities, Liquidity, Market microstructure

19.

A Comparison of Financial Duration Models Via Density Forecast

International Journal of Forecasting, Vol. 20, pp. 589-604
Number of pages: 37 Posted: 09 Sep 2005
Luc Bauwens, Joachim Grammig, David Veredas and Pierre Giot
Université catholique de Louvain, University of Tuebingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 215 (181,233)
Citation 8

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Duration processes, transactions data, intra-day financial markets, density forecast evaluation

20.

Asset Pricing with a Reference Level of Consumption: New Evidence from the Cross-Section of Stock Returns

ZEW - Centre for European Economic Research Discussion Paper No. 06-032
Number of pages: 38 Posted: 23 May 2006 Last Revised: 26 Aug 2008
Joachim Grammig, Andreas Schrimpf and Andreas Schrimpf
University of Tuebingen and Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University
Downloads 192 (201,071)

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Consumption-Based Asset Pricing, Cross-Section of Stock Returns, Reference Level

21.

Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence

Paris December 2008 Finance International Meeting Paper
Number of pages: 36 Posted: 23 Oct 2008 Last Revised: 26 Oct 2009
University of Tuebingen, Bank for International Settlements (BIS) - Monetary and Economic DepartmentCREATES - Aarhus University and University of Muenster
Downloads 134 (271,557)

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Consumption-based Asset Pricing, Long-Run Consumption Risk, Value Puzzle, International Stock Markets

22.

Consumption-Based Asset Pricing with Rare Disaster Risk - A Simulated Method of Moments Approach

CFS Working Paper No. 480
Number of pages: 60 Posted: 11 Oct 2014 Last Revised: 29 Jun 2016
Joachim Grammig and Jantje Sönksen
University of Tuebingen and University of Tübingen
Downloads 121 (292,852)
Citation 1

Abstract:

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equity premium, rare disaster risk, asset pricing, simulated method of moments

23.

Estimation of the SARS-CoV-2 Infection Fatality Rate in Germany

Number of pages: 16 Posted: 28 Jan 2021
University of Hohenheim, University of Tübingen, University of Leipzig - Institute of Anatomy and University of Tuebingen
Downloads 93 (349,826)

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COVID-19, SARS-CoV-2, infection fatality rate, Gangelt, Ischgl, sample selection

24.

Empirical Asset Pricing with Multi-Period Disaster Risk: A Simulation-Based Approach

Number of pages: 73 Posted: 04 Jun 2019 Last Revised: 17 Aug 2020
Jantje Sönksen and Joachim Grammig
University of Tübingen and University of Tuebingen
Downloads 76 (394,911)
Citation 2

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empirical asset pricing, multi-period disasters, simulation-based estimation

25.

Is Best Really Better? Internalization of Orders in an Open Limit Order Book

Schmalenbach Business Review, Vol. 64, April 2012, pp. 82-100
Number of pages: 19 Posted: 14 Apr 2012
Joachim Grammig and Erik Theissen
University of Tuebingen and University of Mannheim - Finance Area
Downloads 74 (400,879)

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Adverse Selection Costs, Execution Quality, Internalization

26.

Tumbling Titans? The Changing Patterns of Price Discovery in the U.S. Equity Market

Number of pages: 40 Posted: 27 Jun 2018
Joachim Grammig and Franziska J. Peter
University of Tuebingen and Zeppelin University
Downloads 59 (450,861)
Citation 2

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Equity Markets, Price Discovery, Market Fragmentation, Off-Exchange Markets, Liquidity

27.

Empirical Asset Pricing in a DSGE Framework: Reconciling Calibration and Econometrics using Partial Indirect Inference

Number of pages: 66 Posted: 17 Aug 2020 Last Revised: 03 Nov 2020
Joachim Grammig, Julie Schnaitmann and Dalia Elshiaty
University of Tuebingen, University of Konstanz - Department of Economics and University of Tuebingen - Department of Statistics and Econometrics
Downloads 40 (530,663)

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empirical asset pricing, DSGE model, partial indirect inference, simulation-based estimation

28.

Tell-Tale Tails: A New Approach to Estimating Unique Information Shares

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 05 Aug 2008 Last Revised: 18 Mar 2014
Joachim Grammig and Franziska J. Peter
University of Tuebingen and Eberhard Karls Universität Tübingen

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price discovery, information shares, tail dependence