M. Martens

发表

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Dick J. C. van Dijk, M. Martens, Michiel De Pooter, 2004 .

Estimating Unbiased and Precise Realized Covariances

M. Martens, 2004 .

Forecasting daily exchange rate volatility using intraday returns

M. Martens, 2001 .

Measuring volatility with the realized range

D. Dijk, M. Martens, 2006 .

Measuring and Forecasting S&P 500 Index-Futures Volatility Using High-Frequency Data

M. Martens, 2002 .

Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange

P. Kofman, M. Martens, Martin Martens, 1997 .

Predicting financial volatility: High-frequency time-series forecasts vis-à-vis implied volatility: Predicting Financial Volatility

M. Martens, Jason Zein, 2004 .

Predicting Financial Volatility: High-Frequency Time-Series Forecasts Vis-a-Vis Implied Volatility

M. Martens, Jason Zein, 2002 .

Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading

Dick J. C. van Dijk, M. Martens, Karim Bannouh, 2012 .

MUTUAL FUNDS SELECTION BASED ON FUNDS CHARACTERISTICS

M. Martens, D. Budiono, 2010 .

Mutual Fund Style Timing Skills and Alpha

M. Martens, D. Budiono, 2009 .

Robust Optimization of the Equity Momentum Strategy

M. Martens, H. van Dijk, Arco van Oord, 2009 .

Index-Futures Arbitrage Before and after the Introduction of Sixteenths on the NYSE

M. Martens, Thomas Henker, 2001 .

Political Risk and Expected Government Bond Returns

P. Verwijmeren, Johan G. Duyvesteyn, M. Martens, 2015 .

Political risk and expected government bond returns Journal of Empirical Finance

P. Verwijmeren, M. Martens, Johan Duyvesteyn, 2016 .

Overnight futures trading: now even Australia and US have common trading hours

M. Martens, Kingsley Fong, 2002 .

Intraday volatility forecasts using different seasonality adjustment methods

Stephen L Taylor, M. Martens, Y. Chang, 2002 .

Hedging Demand and Market Intraday Momentum

Zhi Da, M. Martens, Guido Baltussen, 2021, Journal of Financial Economics.

How important is economic news for bond markets ?

M. Martens, Justinas Brazys, 2014 .

Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Dick van Dijk, Michiel De Pooter, D. Dijk, 2009 .

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?

D. Dijk, M. Martens, M. D. Pooter, 2008 .

Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?

Dick J. C. van Dijk, M. Martens, Michiel De Pooter, 2005 .

Testing the Mixture of Distributions Hypothesis Using "Realized" Volatility

M. Martens, James C. Luu, 2002 .

Residual Momentum

M. Martens, David Blitz, J. Huij, 2009 .

The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations

Dick J. C. van Dijk, M. Martens, Helena Chuliá, 2007 .

Forecasting Bond Returns Using Jumps in Intraday Prices

M. Martens, Johan Duyvesteyn, Siawash Safavi Nic, 2010, The Journal of Fixed Income.

Forecasting Bond Risk Premia using Stationary Yield Factors

M. Martens, Michel van der Wel, T. Hoogteijling, 2021 .

Returns Synchronization and Daily Correlation Dynamics between International Stock Markets

S. Poon, M. Martens, 1999 .

Predicting Bond Returns: 70 Years of International Evidence

M. Martens, Guido Baltussen, O. Penninga, 2020, Financial Analysts Journal.

A Threshold Error Correction Model for Intraday Futures and Index Returns

Ton Vorst, T. Vorst, P. Kofman, 1998 .

Realized Mixed-Frequency Factor Models for Vast Dimensional Covariance Estimation

Karim Bannouh, Dick J. C. van Dijk, Dick J. C. van Dijk, 2012 .

Persistence in Mutual Fund Performance and Time-Varying Risk Exposures

M. Martens, D. Budiono, 2009 .

Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds

M. Martens, T. Post, J. Huij, 2007 .

Range-based covariance estimation using high-frequency data: The realized co-range

Dick van Dijk, Karim Bannouh, D. Dijk, 2008 .

Intraday trading halts in the Nikkei futures market

M. Martens, O. Steenbeek, 2001 .

Hedging the Time-Varying Risk Exposures of Momentum Returns

M. Martens, Arco van Oord, 2012 .

Carry Investing on the Yield Curve

M. Martens, Johan Duyvesteyn, P. Beekhuizen, 2019, Financial Analysts Journal.

Forecasting Sovereign Default Risk with Merton’s Model

M. Martens, Johan Duyvesteyn, 2015, The Journal of Fixed Income.

Emerging Government Bond Market Timing

M. Martens, Johan Duyvesteyn, 2013, The Journal of Fixed Income.

Price Discovery in Holdr Security Baskets and the Underlying Stocks

Thomas Henker, M. Martens, Martin Martens, 2006 .

The inefficiency of Reuters foreign exchange quotes

P. Kofman, M. Martens, 1998 .

A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility

Stephen L Taylor, Stephen L. Taylor, M. Martens, 2002 .

Factor Investing in Sovereign Bond Markets: Deep Sample Evidence

M. Martens, Guido Baltussen, O. Penninga, 2021, SSRN Electronic Journal.

Testing the mixture‐of‐distributions hypothesis using “realized” volatility

M. Martens, James C. Luu, 2003 .

Spread decomposition with common spread components

M. Martens, Thomas Henker, 2010 .

Spread Decomposition and Commonality in Liquidity

M. Martens, Thomas Henker, 2003 .

Price Discovery and Liquidity in Basket Securities

M. Martens, Thomas Henker, 2008 .

Political Risk and Expected Government Bond Returns

P. Verwijmeren, M. Martens, Johan Duyvesteyn, 2015 .

Price discovery in high and low volatility periods: open outcry versus electronic trading

M. Martens, Martin Martens, 1998 .

Explaining and predicting sovereign credit risk with exchange rate volatility

M. Martens, Johan Duyvesteyn, 2011 .