PD Dr. Joachim Grammig

Faculty of Economics and Business Administration
Department of Statistics and Econometrics
Johann Wolfgang-Goethe University Frankfurt/Main
P.O. Box 11 19 32
Mertonstrasse 17
D-60054 Frankfurt/Main
Germany

and

Center for Operations Research and Econometrics (CORE)
Voie du Roman Pays, 34
B-1348 Louvain-La-Neuve
Belgium
Tel:    0032 10 47 43 33
Fax:   0032 10 47 43 01
Mobile:    0049 171 6071385
email: grammig@core.ucl.ac.be
Photo


Research interests
Unpublished current working papers (download)
Recent conference presentations (links)
Recent teaching (including evaluations)
Academic curriculum vitae


Research interests:

  • Econometric modeling of financial market microstructure processes
  • Einancial econometrics/Empirical finance
  • Airline economics
  • Applications of quantitative models in marketing and consulting
  • International labor markets
  • Panel data
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    Download unpublished working papers (You can also request a hard copy or an alternative file format).

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    Price discovery in international equity trading
    (pdf) Working Paper. [with M. Melvin and C. Schlag, February 2001]
    Presented at the
    PAI conference on financial econometrics, Leuven, January 2001

    Applied Econometric Analysis of Financial Microstructure. Unpublished Habilitationsschrift, October 2000]

    Bias-free Nonparametric Estimation of Intra-Day Trade Activity Measures
    (pdf) Working Paper. [with R. Hujer and S. Kokot, May 2000]

    Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets
    (pdf) Working Paper/first draft. [with D. Schiereck and E. Theissen, Feb. 2000]
    Presented (by Erik Theissen) at the
    Annual Conference of the German Economic Association, Berlin, August 2000.
    EEA, European Economic Association Annual Conference, Bozen, August 2000 Forthcoming in "Journal of Financial Markets"

    A Comparison of Financial Duration Models via Density Forecasts
    (pdf) Working Paper/first draft. [with L. Bauwens, P. Giot, D. Veredas, February 2000]
    Presented (by Luc Bauwens) at the
    World Congress of the Econometric Society
    , Seattle, USA, August 2000. Annual Conference of the German Economic Association , Berlin, September 2000.

    Non-parametric Specification Tests for Conditional Duration Models
    (pdf) Working Paper ECO No. 2000/4 European University Institute [with M. Fernandes, February 2000] Presented at the
    EEA, European Economic Association Annual Conference, Bozen, August 2000.

    The Econometrics of Airline Network Management
    (pdf) Working Paper/first draft. [with R. Hujer and M. Scheidler, February 2000]
    Presented at the Annual Conference of the German Economic Association, Berlin, August 2000.

    Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes
    (ps-Version Jan. 2000) Discussion Paper 21/1999, Sonderforschungsbereich 373, Humboldt University, Berlin. [with M.Wellner, 1999]
    Presented at:
    14th Congress of the European Economic Association, Santiago de Compostela, 1999
    54rd European Econometric Society Meeting, Santiago de Compostela, 1999
    Jahrestagung des Vereins für Socialpolitik, Mainz, 1999
    2000 North American Winter Meeting of the Econometric Society, Boston, 2000

    Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model.
    (pdf) Discussion Paper 50/1999, Sonderforschungsbereich 373, Humboldt University, Berlin. [with K.-O. Maurer, 1999].
    Presented at the 9th European Conference of the Econom[etr]ic Society 1998, Stockholm
    Presented at:
    Jahrestagung des Vereins für Socialpolitik, 1999
    53rd Econometric Society European Meeting 1998, Berlin. Forthcoming in "Econometrics Journal"

    Informationsbasierter Aktienhandel über IBIS
    Working Paper Series: Finance and Accounting No. 29, (download) revised version of Working Paper No. 98/07, Lehrstühle für Finanzwissenschaft, University Mannheim.[with D. Schiereck, E. Theissen, 1999]
    Presented at:
    Jahrestagung des Vereins für Socialpolitik, 1999 Forthcoming in "Zeitschrift für betriebswirtschaftliche Forschung".

    Modeling the Deutsche Telekom IPO Using a New ACD Specification - An Application of the Burr-ACD Model Using High Frequency IBIS Data
    Discussion Paper 55/1998, Sfb 373, Humboldt University, Berlin. [with R. Hujer, K.-O. Maurer, S. Kokot, 1998].

    Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten
    Working Paper Series: Finance and Accounting No. 18 , Download [with R. Hujer, S. Kokot and K.-O. Maurer, 1998]

    A Microeconometric Approach towards Strategic Product Positioning. Application to a New Product Launch in the Pharmaceuticals Market.
    Working Paper, Johann Wolfgang Goethe-University, Frankfurt/Main. (pdf) [with R. Hujer and K.O. Maurer. Revised version March 2000].
    Presented at the 53rd Econometric Society European Meeting 1998, Berlin.

    Labour Supply under Demand Side Constraints in the USA and the FRG. A Comparative Analysis using PSID and GSOEP data
    Frankfurter Volkswirtschaftliche Diskussionsbeiträge, No. 59. (download) [with R. Hujer, revised version March 1999].
    Presented at the 7th International Conference on Panel Data, Paris, and at the Econometric Society European Meeting 1997, Toulouse.
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    Recent conference presentations (links)

    January 2001: PAI Financial Econometrics Conference, Leuven

    October 2000: Jahrestagung des Vereins für Socialpolitik, 2000


    January 2000: North American Winter Meeting of the Econometric Society

    December 1999: Tenth European Conference of the Econom[etr]ic Community, Madrid (Financial Econometrics).

    October 1999: Jahrestagung des Vereins für Socialpolitik, 1999

    September 1999: 14th Congress of the European Economic Association, Santiago de Compostela

    August 1999: 54rd European Econometric Society Meeting, Santiago de Compostela

    December 1998: Ninth European Conference of the Econom[etr]ic Community, Stockholm.

    September 1998: 53rd European Econometric Society Meeting, Berlin.

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    Academic curriculum vitae

    1990 Diploma in economics, University of Frankfurt
    1994 Doctoral degree in economics, University of Frankfurt
    1996-2000 Assistant professor,University of Frankfurt, Department of Economics and Business Administration Habilitation February 2001
    since 1996 Academic advisory board Roland Berger & Partners, International Management Consultants Competence Center Aviation,
    since 2001 Research fellow at CORE (Center for Operations Research and Econometrics) and visiting assistant professor Universite Catholique de Louvain
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    Recent academic teaching (incl. evaluations)

    Winter 1997/98

    Financial Markets Seminar (jointly with department of Finance)

    Empirical Economics (Minerve Program at Lyon University)

    Summer 1997/98

    Financial Econometrics (Practice Section)

    Applied Economics Seminar (with R. Hujer)

    Winter 1998/99

    Advanced Econometrics

    Students Evaluation: Lecturer Students Evaluation: Lecture

    Summer 1999

    Financial Econometrics

    Financial Econometrics (Practice Section)

    Students Evaluation: Lecturer Students Evaluation: Lecture

    Summer 2000

    Statistik I

    Winter 2000/2001

    Statistik II (University of Frankfurt)
    Econometrics Workshop (CORE, UC de Louvain)
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    last update: 13/03/2001