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Publications by Joachim Grammig

Modeling the Interdependence of Volatility and Inter-Transaction Duration Processes

Journal of Econometrics

Philosophy of Science

Applied Mathematics

English

Expected and Unexpected Cost of Trading in the Xetra Automated Auction Market

SSRN Electronic Journal

English

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

SSRN Electronic Journal

English

Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

SSRN Electronic Journal

English

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