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

Research interests

Recent research (paper downloads)

Presentations of papers (Conference links)

Recent teaching (including evaluations)

Academic curriculum vitae

Research interests:

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 Unpublished Habilitationsschrift, October 2000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].

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.

Academic curriculum vitae

Academic teaching (incl. evaluations)

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last update: 13/10/2001