Concepedia

Martin Martens

MM

35

Publications

2.9K

Citations

22

H-Index

1997

Active since

Affiliations

Erasmus University Rotterdam(Current)

Lancaster University

Environmental Research Institute of Michigan

Tinbergen Institute

Martin Martens is an author at Erasmus University Rotterdam specializing in finance, business, and financial economics.

Top concepts

FinanceBusinessFinancial EconomicsAsset PricingVolatility ModelingEconomicsStatisticsForecastingEngineeringHigh-frequency Trading

Publications per year

1997–2021

35

Publications

35

Measuring volatility with the realized range

Martin Martens, Dick van Dijk · Journal of Econometrics · 2006 · 320 citations

Volatility Modeling, Engineering, Measurement +3

Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data

Martin Martens · Journal of Futures Markets · 2002 · 252 citations

Volatility Modeling, Engineering, Volume Prediction +18

Returns synchronization and daily correlation dynamics between international stock markets

Martin Martens, Ser‐Huang Poon · Journal of Banking & Finance · 2001 · 235 citations

Economics, Financial Economics, International Finance +7

Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility

Martin Martens, Jason Zein · Journal of Futures Markets · 2004 · 206 citations

Volatility Modeling, Engineering, Time Series Econometrics +16

Residual momentum

David Blitz, Joop Huij, Martin Martens · Journal of Empirical Finance · 2011 · 182 citations · Full text

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