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
Recent research (paper downloads)
Presentations of papers (Conference links)
Recent teaching (including evaluations)
Academic curriculum vitae


Research interests:

  • Applied Econom[etr]ics
  • Quantitative and empirical finance
  • Market Microstructure
  • High Frequency Data
  • Airline Economics
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    Recent research

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    Price discovery in international equity trading
    (pdf) , CORE Discussion Paper 2001-28. [with M. Melvin and C. Schlag]

    A Family of Autoregressive Conditional Duration Models
    Working paper Graduate School of Economics, Fudação Getulio Vargas and CORE. CORE Discussion Paper 2001-31. [With M. Fernandes]

    Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes
    Discussion Paper 21/1999, Sonderforschungsbereich 373, Humboldt University, Berlin.
    Journal of Econometrics, Vol 106/2, 2002, 369-400.

    Knowing Me, Knowing You: Trader Anonymity and Informed Trading in Parallel Markets
    Journal of Financial Markets. Vol 4, 2001, 385-412.[with D. Schiereck and E. Theissen]

    Tackling boundary effects in nonparametric estimation of intra-day liquidity measures
    Working Paper Series: Finance and Accounting No. 53,
    forthcoming in: Computational Statistics 2/2002. [with R. Hujer and S. Kokot]

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 Unpublished Habilitationsschrift, October 2000

    A Comparison of Financial Duration Models via Density Forecasts
    (pdf) , CORE Discussion Paper 2000-60. [with L. Bauwens, P. Giot, D. Veredas]

    Non-parametric Specification Tests for Conditional Duration Models
    (pdf) Working Paper ECO No. 2000/4 European University Institute [with M. Fernandes]

    The Econometrics of Airline Network Management
    (pdf) Working Paper/first draft. [with R. Hujer and M. Scheidler]

    Non-Monotonic Hazard Functions and the Autoregressive Conditional Duration Model.
    Discussion Paper 50/1999, Sonderforschungsbereich 373, Humboldt University, Berlin.
    Published in: Econometrics Journal , Vol 3, 2000, 16-38. [with K.-O. Maurer].

    Informationsbasierter Aktienhandel über IBIS
    Working Paper Series: Finance and Accounting No. 29, (pdf)
    Published in: Zeitschrift für betriebswirtschaftliche Forschung,52/2000, 2000, 619-642 .

    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].

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    Conference presentations of papers (links)

    January 2002: American Finance Association, Atlanta.

    August 2001: 56th European Econometric Society Meeting, Lausanne.

    August 2001: 16th Congress of the European Economic Association, Lausanne

    August 2001: Market Microstructure and High-Frequency Data in Finance, Aarhus

    January 2001: PAI Financial Econometrics Conference, Leuven

    October 2000: Jahrestagung des Vereins für Socialpolitik, 2000

    August 2000: World Congress of the Econometric Society, Seattle

    August 2000: 15th Congress of the European Economic Association, Bolzano

    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 professor Universite Catholique de Louvain
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    Academic teaching (incl. evaluations)

    Fall 2001

    Advanced Econometrics (Universite Catholique de Louvain)
    Spring 2001

    Econometrics Workshop (Universite Catholique de Louvain)
    Winter 2000/2001

    Statistik II
    Evaluation
    Summer 2000

    Statistik I
    Evaluation

    Summer 1999

    Financial Econometrics and Practice Section
    Evaluation: Lecturer
    Evaluation: Lecture

    Winter 1998/99

    Advanced Econometrics
    Evaluation: Lecturer
    Evaluation: Lecture
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    last update: 13/10/2001