Joachim Grammig

Eberhard Karls Universitaet Tübingen

Mohlstrasse 36

D-72074 Tuebingen, 72074

Germany

http://www.uni-tuebingen.de/uni/wwo/Grammig/grammigeng.html

Centre for Financial Research (CfR)

Research Fellow

Albertus-Magnus Platz

Cologne, 50923

Germany

Center for Financial Studies (CfS)

Research Fellow

Taunusanlage 6

Frankfurt/Germany, D-60329

Germany

SCHOLARLY PAPERS

24

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CITATIONS
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91

Scholarly Papers (24)

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, Eberhard Karls Universitaet Tübingen and University of Mannheim - Finance Area
Downloads 800 (29,099)
Citation 7

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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
Eberhard Karls Universitaet Tübingen, 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

2.
Downloads 601 ( 43,558)
Citation 2

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 and Stephan Jank
Eberhard Karls Universitaet Tübingen and Deutsche Bundesbank
Downloads 398 (72,143)
Citation 2

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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 and Stephan Jank
Eberhard Karls Universitaet Tübingen and Deutsche Bundesbank
Downloads 203 (148,689)

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

3.

Price Discovery in International Equity Trading

AFA 2002 Atlanta Meetings
Number of pages: 31 Posted: 10 May 2001
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 511 (53,588)
Citation 14

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4.

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 Eberhard Karls Universitaet Tübingen
Downloads 482 (57,713)
Citation 1

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

5.

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 and Joachim Grammig
Leibniz Universität Hannover and Eberhard Karls Universitaet Tübingen
Downloads 435 (65,426)
Citation 1

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Limit order book market, liquidity supply, adverse selection

6.

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
Eberhard Karls Universitaet Tübingen, University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 389 (74,769)
Citation 3

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Market microstructure, Liquidity, Trading activity, Multivariate count process

7.

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), VU Amsterdam and Eberhard Karls Universitaet Tübingen
Downloads 362 (81,282)

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Informational content of trades, limit order book

8.

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
Eberhard Karls Universitaet Tübingen and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 318 (94,081)
Citation 8

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Liquidity, Value-at-Risk, Microstructure

9.

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
Eberhard Karls Universitaet Tübingen and Independent
Downloads 305 (98,446)

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

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
Eberhard Karls Universitaet Tübingen and Eberhard Karls Universitaet Tuebingen
Downloads 221 (137,016)
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
Eberhard Karls Universitaet Tübingen and Eberhard Karls Universitaet Tuebingen
Downloads 67 (339,646)
Citation 3

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

11.

Is Best Really Better? Internalization in Xetra Best

Number of pages: 32 Posted: 05 Apr 2005
Joachim Grammig and Erik Theissen
Eberhard Karls Universitaet Tübingen and University of Mannheim - Finance Area
Downloads 231 (131,606)
Citation 2

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Internalization, execution quality, adverse selection costs

12.

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

EFA 2004 Maastricht Meetings Paper No. 3267
Number of pages: 46 Posted: 22 Jul 2004
Joachim Grammig, Christian Schlag and Michael Melvin
Eberhard Karls Universitaet Tübingen, Goethe University Frankfurt - Research Center SAFE and University of California, San Diego (UCSD) - Rady School of Management
Downloads 227 (133,903)
Citation 13

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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
Eberhard Karls Universitaet Tübingen and University of Tübingen
Downloads 221 (137,412)
Citation 2

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

14.

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 Eberhard Karls Universitaet Tübingen
Downloads 219 (138,628)

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

15.

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, Eberhard Karls Universitaet Tübingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 211 (143,601)
Citation 8

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

16.
Downloads 204 (148,271)
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 Eberhard Karls Universitaet Tübingen
Downloads 204 (148,060)
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 Eberhard Karls Universitaet Tübingen

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Limit order book, Commonalities, Liquidity, Market microstructure

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
Eberhard Karls Universitaet Tübingen and Eberhard Karls Universitaet Tuebingen
Downloads 164 (180,588)
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
Eberhard Karls Universitaet Tübingen and Eberhard Karls Universitaet Tuebingen
Downloads 28 (488,178)

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Indirect Inference Estimation, Asset Pricing, Long-Run Risk

18.

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 and Andreas Schrimpf
Eberhard Karls Universitaet Tübingen and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 187 (160,690)

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

19.

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
Joachim Grammig, Andreas Schrimpf and Michael Schuppli
Eberhard Karls Universitaet Tübingen, Bank for International Settlements (BIS) - Monetary and Economic Department and University of Muenster
Downloads 124 (226,303)

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

20.

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
Eberhard Karls Universitaet Tübingen and University of Tübingen
Downloads 107 (251,827)
Citation 1

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

21.

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
Eberhard Karls Universitaet Tübingen and University of Mannheim - Finance Area
Downloads 69 (330,274)

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Adverse Selection Costs, Execution Quality, Internalization

22.

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 Peter
Eberhard Karls Universitaet Tübingen and Zeppelin University
Downloads 37 (434,548)
Citation 1

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

23.

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

Number of pages: 65 Posted: 04 Jun 2019
Joachim Grammig and Jantje Sönksen
Eberhard Karls Universitaet Tübingen and University of Tübingen
Downloads 16 (542,717)

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

24.

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
Eberhard Karls Universitaet Tübingen and Eberhard Karls Universität Tübingen

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price discovery, information shares, tail dependence