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Martens, Martin's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,000 |
Total
Citations
151 |
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1.
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Henker, Thomas
Bond University Martens, Martin
Erasmus University Rotterdam (EUR) Huynh, Robert
University of New South Wales (UNSW) - School of Banking and Finance
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18 Aug 06
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Last Revised:
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12 May 09
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1,038
(8,766)
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3
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Momentum portfolio, front-running, abnormal return, portfolio selection
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2.
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Martens, Martin
Erasmus University Rotterdam (EUR) Zein, Jason
Australian School of Business
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871
(11,529)
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28
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Implied volatility, long memory, high-frequency data
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3.
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Martens, Martin
Erasmus University Rotterdam (EUR) De Pooter, Michiel
Federal Reserve Board van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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750
(14,474)
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16
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Realized volatility, high-frequency data, long memory, day-of-the-week effect, leverage effect, volatility forecasting, smooth transition
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4.
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Martens, Martin
Erasmus University Rotterdam (EUR) Poon, Ser-Huang
University of Manchester - Business School
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547
(22,622)
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25
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5.
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A Comparison of Seasonal Adjustment Methods when Forecasting Intraday Volatility
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Hide Abstracts |
Versions (2)
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hide multiple versions |
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Martens, Martin
Erasmus University Rotterdam (EUR) Chang, Yuan-Chen
National Chung Hsing University Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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Posted:
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12 Apr 01
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Last Revised:
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11 Sep 01
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419
(32,150)
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15
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Martens, Martin
Erasmus University Rotterdam (EUR) Chang, Yuan-Chen
National Chung Hsing University Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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419
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15
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Martens, Martin
Erasmus University Rotterdam (EUR) Chang, Yuan-Chen
National Chung Hsing University Taylor, Stephen J.
Lancaster University - Department of Accounting and Finance
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6.
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The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations
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Show Abstracts |
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Versions (3)
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hide multiple versions |
Export Bibliographic Info |
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Chuliá, Helena
University of Barcelona - Faculty of Economic Science and Business Studies Martens, Martin
Erasmus University Rotterdam (EUR) van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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Posted:
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27 Nov 07
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Last Revised:
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25 Mar 10
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413
(32,797)
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5
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Chuliá, Helena
University of Barcelona - Faculty of Economic Science and Business Studies Martens, Martin
Erasmus University Rotterdam (EUR) van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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67
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5
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monetary policy announcements, interest rate surprises, high-frequency data, realized volatility
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Chuliá, Helena
University of Barcelona - Faculty of Economic Science and Business Studies Martens, Martin
Erasmus University Rotterdam (EUR) van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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158
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5
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monetary policy announcements, interest rate surprises, high-frequency data, realized volatility
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Chuliá, Helena
University of Barcelona - Faculty of Economic Science and Business Studies van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute Martens, Martin
Erasmus University Rotterdam (EUR)
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188
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5
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monetary policy announcements, interest rate surprises, high-frequency data, realized volatility
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7.
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Henker, Thomas
Bond University Martens, Martin
Erasmus University Rotterdam (EUR)
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411
(32,994)
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6
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Index-futures arbitrage, program trading
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8.
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De Pooter, Michiel
Federal Reserve Board Martens, Martin
Erasmus University Rotterdam (EUR) van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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393
(34,842)
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17
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realized volatility, high-frequency data, volatility timing, mean-variance analysis, tracking error
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9.
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Henker, Thomas
Bond University Martens, Martin
Erasmus University Rotterdam (EUR)
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373
(37,178)
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3
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spread component, spread decomposition, commonality, microstructure
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10.
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Van Oord, Arco
Erasmus University Rotterdam (EUR) - Department of Econometrics Martens, Martin
Erasmus University Rotterdam (EUR) van Dijk, H. K.
Tinbergen Institute
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318
(45,074)
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quadratic optimization, momentum strategy, robust optimization
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11.
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Duyvesteyn, Johan G.
Robeco Asset Management Martens, Martin
Erasmus University Rotterdam (EUR)
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14 May 11
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Last Revised:
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17 Oct 12
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313
(45,922)
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Sovereign credit risk, structural model, emerging debt
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12.
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Martens, Martin
Erasmus University Rotterdam (EUR) Post, Thierry
Koc University - Graduate School of Business Huij, Joop
Erasmus University - Rotterdam School of Management
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06 Mar 07
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Last Revised:
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29 Apr 08
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291
(49,969)
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2
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mutual funds, performance persistence, momentum, time-varying risk exposures
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13.
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Henker, Thomas
Bond University Martens, Martin
Erasmus University Rotterdam (EUR) Huynh, Robert
University of New South Wales (UNSW) - School of Banking and Finance
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272
(54,212)
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2
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Momentum portfolio, front-running, abnormal return, portfolio selection
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14.
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Luu, James C.
University of New South Wales (UNSW) - School of Banking and Finance Martens, Martin
Erasmus University Rotterdam (EUR)
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245
(60,579)
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2
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Mixture of Distributions Hypothesis, high-frequency data
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15.
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Martens, Martin
Erasmus University Rotterdam (EUR) Van Oord, Arco
Erasmus University Rotterdam (EUR) - Department of Econometrics
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06 Mar 08
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Last Revised:
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12 Oct 12
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241
(61,617)
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2
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Momentum, hedging, conditional factor model
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16.
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Duyvesteyn, Johan G.
Robeco Asset Management Martens, Martin
Erasmus University Rotterdam (EUR) Safavi Nic, Siawash
Robeco Asset Management
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| Posted: |
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01 Dec 10
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Last Revised:
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05 Apr 13
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232
(64,241)
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Bond return predictability, mean-reversion, realized jumps
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17.
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Martens, Martin
Erasmus University Rotterdam (EUR)
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208
(71,941)
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20
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Realized volatility, covariance, beta, subsampling
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18.
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Budiono, Diana
Syntrus Achmea Asset Management Martens, Martin
Erasmus University Rotterdam (EUR)
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153
(96,298)
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1
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mutual funds, performance persistence, time-varying risk exposures
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19.
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Budiono, Diana
Syntrus Achmea Asset Management Martens, Martin
Erasmus University Rotterdam (EUR) Verbeek, Marno
Erasmus University - Rotterdam School of Management
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130
(110,761)
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mutual funds, risk-adjusted returns, dynamics of alphas
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20.
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Budiono, Diana
Syntrus Achmea Asset Management Martens, Martin
Erasmus University Rotterdam (EUR)
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| Posted: |
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12 Feb 09
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Last Revised:
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17 Dec 09
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110
(126,420)
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2
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mutual funds, style timing skill, alpha
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21.
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Bannouh, Karim
Erasmus University Rotterdam (EUR) - Department of Econometrics Martens, Martin
Erasmus University Rotterdam (EUR) Oomen, Roel C. A.
Deutsche Bank AG van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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84
(151,869)
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3
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factor models, high-frequency data, realized covariance, microstructure noise, non-synchronous trading
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22.
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Henker, Thomas
Bond University Martens, Martin
Erasmus University Rotterdam (EUR)
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78
(158,955)
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Price discovery, basket securities, HOLDR, information share
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23.
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Bannouh, Karim
Erasmus University Rotterdam (EUR) - Department of Econometrics Martens, Martin
Erasmus University Rotterdam (EUR) van Dijk, Dick J. C.
Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
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51
(198,826)
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forecasting, high frequency data, market microstructure noise, realized range, two time scales, realized variance
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24.
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Duyvesteyn, Johan G.
Robeco Asset Management Martens, Martin
Erasmus University Rotterdam (EUR)
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50
(200,611)
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Market timing, emerging debt, government bonds, bond momentum
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25.
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Henker, Thomas
Bond University Martens, Martin
Erasmus University Rotterdam (EUR)
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9
(313,827)
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1
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26.
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Martens, Martin
Erasmus University Rotterdam (EUR) Kofman, Paul
The University of Melbourne Vorst, Ton
VU University Amsterdam - Department of Finance and Financial Sector Management
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