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Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

Persistent link: https://www.econbiz.de/10001377693

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …

Persistent link: https://www.econbiz.de/10012163064

Stock price booms and expected capital gains

Adam, Klaus; Beutel, Johannes; Marcet, Albert - 2014

The booms and busts in U.S. stock prices over the post-war period can to a large extent be explained by fluctuations in investors' subjective capital gains expectations. Survey measures of these expectations display excessive optimism at market peaks and excessive pessimism at market throughs....

Persistent link: https://www.econbiz.de/10011490485

Can a financial transaction tax prevent stock price booms?

Adam, Klaus; Marcet, Albert; Merkel, Sebastian; Beutel, … - 2015

Persistent link: https://www.econbiz.de/10011316459

Modeling the Deutsche Telekom IPO using a new ACD specification : an application of the Burr-ACD model using high frequency Ibis data

Grammig, Joachim (contributor) - 1998

Persistent link: https://www.econbiz.de/10000992448

A family of autoregressive conditional duration models

Fernandes, Marcelo; Grammig, Joachim - 2001

Persistent link: https://www.econbiz.de/10001640351

Bias-free nonparametric estimation of intra-day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10001517885

Non-parametric specification tests for conditional duration models

Fernandes, Marcelo; Grammig, Joachim - 2000

Persistent link: https://www.econbiz.de/10001480448

Trading activity and liquidity supply in a pure limit order book market : an empirical analysis using a multivariate count data model

Grammig, Joachim; Heinen, Andréas; Rengifo, Erick W. - 2004

Persistent link: https://www.econbiz.de/10002390653

Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...

Persistent link: https://www.econbiz.de/10009579173