Martin Martens - Concepedia

Author

Martin Martens

Also Known As

Arco J.A. Van Oord, Dick van Dijk, Johan G. Duyvesteyn, M. Martens, MPE Martens, Martens, Martin, Martin Martens, Martin P.E. Martens, Paul Beekhuizen

Publications

3.1K

Citations

H-Index

Concepts

All Affiliations

Erasmus University Rotterdam UNSW Sydney Lancaster University Environmental Research Institute of Michigan Tinbergen Institute

About

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

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	19	23	2.1K
2	Engineering	9	9	1.2K
3	Management	4	4	198
4	Accounting	2	2	146
5	Data Science	1	1	103

Martin Martens

Publications

2.9K

Citations

H-Index

Page 1

	Year	Citations
Measuring volatility with the realized range Martin Martens, Dick van Dijk Journal of Econometrics Volatility ModelingEngineeringMeasurementCalibrationInterval Analysis	2006	320
Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data Martin Martens Journal of Futures Markets Volatility ModelingEngineeringVolume PredictionTime Series EconometricsEconomic Forecasting	2002	252
Returns synchronization and daily correlation dynamics between international stock markets Martin Martens, Ser‐Huang Poon Journal of Banking & Finance EconomicsFinancial EconomicsInternational FinanceAsset PricingMarket Trend	2001	235
Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility Martin Martens, Jason Zein Journal of Futures Markets Volatility ModelingEngineeringTime Series EconometricsEconomic ForecastingAsset Pricing	2004	206
Residual momentum David Blitz, Joop Huij, Martin Martens Journal of Empirical Finance	2011	182
Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations Helena Chuliá, Martin Martens, Dick van Dijk Journal of Banking & Finance Empirical FinanceEconomicsFinancial EconomicsAsset PricingMarket Trend	2009	174
A threshold error-correction model for intraday futures and index returns Martin Martens, Paul Kofman, Ton Vorst Journal of Applied Econometrics Empirical FinanceVolatility ModelingEngineeringThreshold Autoregression ModelEconomic Forecasting	1998	166
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements Martin Martens, Dick van Dijk, Michiel De Pooter International Journal of Forecasting EconomicsVolatility ModelingFinancial EconomicsAsset PricingMarket Trend	2009	161
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? Michiel De Pooter, Martin Martens, Dick van Dijk Econometric Reviews Portfolio OptimizationAsset PricingHigh-frequency Intraday DataAccountingManagement	2008	127
A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility Martin Martens, Yuanchen Chang, Stephen J. Taylor The Journal of Financial Research Flexible Fourier FormForecasting MethodologyVolatility ModelingEngineeringU.s. Dollar	2002	120

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