Publications Professor Grammig

Selected Publications

Commonalties in the order book, (with H. Beltran and P. Giot), Financial Markets and Portfolio Management, Vol. 23, Issue 3, 2009, 209-242
Asset Pricing with a Reference Level: New Evidence from the Cross-Section of Stock Returns, (with A. Schrimpf), Review of Financial Economics, Vol. 18, Issue 3, 2009, 113-123
Long-Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence, (with A. Schrimpf and M. Schuppli), The European Journal of Finance, Vol. 15, Issue 5 & 6, 2009, 511-532
A New Marked Point Process Model for the Federal Funds Rate Target: Methodology and Forecast Evaluation, (with K.Kehrle), Journal of Economic Dynamics and Control, Vol. 32, Issue 7, 2008, 2370-2396 (Data, Programs and readme)
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?, (with E. Boehmer and E. Theissen), Journal of Financial Markets, Vol. 10, 2007, 26 - 47. (Data and Programs) (readme)
A Familiy of Autoregressive Conditional Duration Models, (with M. Fernandes), Journal of Econometrics, Vol. 130/1, 2006, 1 - 23. (Data and Programs) (readme)
How large is liquidity risk in an automated auction market?, (with P. Giot), Empirical Economics, Vol. 30/4, 2006, 867 - 887.
Liquidity supply and adverse selection in a pure limit order book market, (with S. Frey), Empirical Economics , Vol. 30/4, 2006, 1007 - 1033.
Non-parametric Specification Tests for Conditional Duration Models, (with M. Fernandes), Journal of Econometrics, Vol. 127, 2005, 35 - 68. (Data and Programs) (readme)
Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects, (with M. Melvin and C. Schlag), Journal of Empirical Finance, Vol. 12/1, 2005, 139 - 164.
Discrete Choice Modelling in Airline Network Management, (with R. Hujer and M. Scheidler), Journal of Applied Econometrics, Vol. 20, 2005, 467 - 486. (Data and Programs) (readme)
A Comparison of Financial Duration Models via Density Forecasts, (with L. Bauwens, P. Giot and D. Veredas), International Journal of Forecasting, Vol. 20, 2004, 589 - 609. (Data and Programs) (readme)
Comparison of neuronal density and subfield sizes in the hippocampus of CD95L-Deficient (GLD), CD95-Deficient (LPR) and Non-Deficient mice, (with I. Bechmann, A. Kovac, R. Nitsch), The Journal of European Neuroscience, Vol. 16, 2002, 159 - 163.
Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes, (with M. Wellner), Journal of Econometrics, Vol. 106/2, 2002, 369 - 400. (Data and Programs)
Tackling boundary effects in nonparametric estimation of intra-day liquidity measures, (with R. Hujer and S. Kokot), Computational Statistics Vol. 17,Issue 2, 2002, 233 - 249
Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets, (with D. Schiereck and E. Theissen), Journal of Financial Markets, Vol. 4, 2001, 385 - 412 . (Data and Programs)
Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model, (with K.-O. Maurer), Econometrics Journal, Vol. 3, 2000, 16 - 38. (Data and Programs)
Informationsbasierter Aktienhandel über IBIS, (with D. Schiereck and E. Theissen), Zeitschrift für betriebswirtschaftliche Forschung, 2000 - 52, 2000, 619 - 642.

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Working Papers

International Price Discovery in the Presence of Market Microstructure Effects (with Franziska J. Peter), 2008 available at SSRN
Time and the Price Impact of a Trade: A Structural Approach (with E. Theissen and O. Wuensche), 2007, available at SSRN, presented at the European Finance Association Meeting, Ljubljana 2007.
Limit order books and trade informativeness (with H. Beltran-Lopez and A. J. Menkveld),(pdf Version May/2007), Working Paper, Universities of Louvain, Amsterdam and Tübingen.
Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model (with A. Heinen and E.W. Rengifo) 2005. available at SSRN, CORE Discussion Paper No. 2004/58, presented at the European Finance Association Meeting, Moscow 2005
Is best really better? Internalization in Xetra BEST, (with E. Theissen), (pdf Version July/2005), Working Paper, Universities of Tübingen and Bonn.
The Role of U.S. Trading in Pricing Internationally Cross-Listed Stocks, (with M. Melvin and C. Schlag), (pdf Version February/2005), Working Paper, Universities of Tuebingen, Arizona and Frankfurt.

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