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Modeling the interdependence of volatility and inter-transaction duration processes

GRAMMIG, Joachim; WELLNER, Marc - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010927555

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - In: Journal of Econometrics 106 (2002) 2, pp. 369-400

Persistent link: https://www.econbiz.de/10005192580

Modeling the interdependence of volatility and inter-transaction duration processes

GRAMMIG, Joachim; WELLNER, Marc - Center for Operations Research and Econometrics (CORE), …

Persistent link: https://www.econbiz.de/10010694584

Estimating the Effect of Vocational Training on Unemployment Duration in West Germany / Auswirkungen beruflicher Weiterbildung auf die Arbeitslosigkeitsdauer in Westdeutschland

Hujer, Reinhard; Maurer, Kai-Oliver; Wellner, Marc - In: Jahrbücher für Nationalökonomie und Statistik 218 (1999) 5-6, pp. 619-646

Summary This paper is concerned with the effect of vocational training on individual unemployment duration in West Germany. The data base used in this study is the German Socio-Economic Panel (GSOEP) for West Germany for the period from 1984 to 1994. The econometric model is a semi-parametric...

Persistent link: https://www.econbiz.de/10014608716

Estimating the Effect of Vocational Training on Unemployment Duration in West Germany: A Discrete Hazard Rate Model with Instrumental Variables.

Hujer, Reinhard; Maurer, Kai-Oliver; Wellner, Marc - In: Journal of Economics and Statistics (Jahrbuecher fuer … 218 (1999) 5+6, pp. 619-646

This paper is concerned with the effect of vocational training on individual unemployment duration in West Germany. The database used in this study is the German Socio-Economic Panel (GSOEP) for West Germany for the period from 1984 to 1994. The econometric model is a semi-parametric single risk...

Persistent link: https://www.econbiz.de/10008596519

A Comparative Empirical Analysis of Labour Supply and Wages of Married Women in the FRG and the USA

Hujer, Reinhard; Grammig, Joachim; Schnabel, Reinhold - In: Jahrbücher für Nationalökonomie und Statistik 213 (1994) 2, pp. 129-147

Persistent link: https://www.econbiz.de/10014608345

Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO

Hujer, Reinhard; Grammig, Joachim; Kokot, Stefan - In: Jahrbücher für Nationalökonomie und Statistik 220 (2000) 6, pp. 689-714

Summary We apply the Threshold Autoregressive Conditional Duration Model (TACD) as proposed by Zhang, Russell, and Tsay (1999) to model the after market trading duration process associated with the initial public offering of the Deutsche Telekom AG share in November of 1996. Special emphasis is...

Persistent link: https://www.econbiz.de/10014608802

Time varying trade intensities and the Deutsche Telekom IPO

Hujer, Reinhard; Grammig, Joachim; Kokot, Stefan - In: Jahrbücher für Nationalökonomie und Statistik 220 (2000) 6, pp. 689-714

Persistent link: https://www.econbiz.de/10001533951

Empirical asset pricing with multi-period disaster risk : a simulation-based approach

Sönksen, Jantje; Grammig, Joachim - In: Journal of econometrics 222 (2021) 1,3, pp. 805-832

Persistent link: https://www.econbiz.de/10012619790

Reinhard Hujer : ein Forscherleben als Spiegelbild der Ökonometrie

Caliendo, Marco; Grammig, Joachim; Schneider, Hilmar - In: Wirtschafts- und sozialstatistisches Archiv : ASTA ; … 14 (2020) 3/4, pp. 219-223

Persistent link: https://www.econbiz.de/10012606817