Home » Expertise » Academic Staff

Academic staff - Erasmus School of Economics

Dr. M.P.E. Martens

ssrn linkedin google

Martin Martens

Dr. M.P.E. Martens

Department of Business Economics

Erasmus School of Economics

Erasmus University Rotterdam

 

Personal website: http://people.few.eur.nl/mmartens/


 

Profile

expand all tabs | collapse all tabs

Professional experience

Present position
Associate Professor
University Erasmus University Rotterdam
School Erasmus School of Economics
Department Business Economics
   
Other position

Research

Martin Martens is Associate Professor at the Department of Finance at Erasmus University Rotterdam for 1 day a week. For 4 days a week he is co-head of Quantitative Strategies at asset manager Robeco. His main academic research interests are volatility forecasting with high-frequency data and the time-varying risk exposures of momentum strategies in equity and mutual funds. As a practitioner his focus is on forecasting treasury yields and currencies.

Financial Economics & Accounting
Role Member
 

Publications

expand all tabs | collapse all tabs | show all publications

Scholarly publications (38)
  • Duyvesteyn, J., Martens, M.P.E. & Nic Safavi, S. (2011). Forecasting bond returns using jumps in intraday prices. The Journal of Fixed Income, 80-90.
  • Blitz, D., Huij, J.J. & Martens, M.P.E. (2011). Residual Momentum. Journal of Empirical Finance, 18(3), 506-521.
  • Chulia-Soler, H., Martens, M.P.E. & Dijk, D.J.C. van (2010). Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking and Finance, 34(4), 834-839.
  • Chulia, H., Martens, M.P.E. & Dijk, D.J.C. van (2010). Asymmetric effects of Federal Target rate Changes on S&P100 Stock Returns, Volatilities and Correlations. (EI reprint reeksEI-1532 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Henker, T. & Martens, M.P.E. (2010). Spread decomposition with common spread components. International Journal of Managerial Finance, 6, 88-115.
  • Budiono, D. & Martens, M.P.E. (2010). Mutual funds selection based on fund characteristics. The Journal of Financial Research, 33(Fall), 249-265.
  • Bannouh, K., Dijk, D.J.C. van & Martens, M.P.E. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. (EI reprint reeksEI-1523 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Bannouh, K., Dijk, D.J.C. van & Martens, M.P.E. (2009). Range-based covariance estimation using high-frequency data: the realized co-range. Journal of Financial Econometrics, 7(4), 341-372.
  • Oord, J.A. van, Martens, M.P.E. & Dijk, H.K. van (2009). Robust Optimization of the Equity Momentum Strategy. (Tinbergen Institute Discussion Paper2009-011/4 ). 3000 DR Rotterdam: Econometrics.
  • Martens, M.P.E., Dijk, D.J.C. van & Pooter, M.D. de (2009). Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. International Journal of Forecasting, 25(2), 282-303.
  • Martens, M.P.E., Dijk, D.J.C. van & Pooter, M.D. de (2009). Forecasting S&P 500 volatility: long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements. (EI reprint reeksEI-1501 ). 3000 DR Rotterdam: DEPARTMENT OF ECONOMETRICS.
  • Pooter, M.D. de, Martens, M.P.E. & Dijk, D.J.C. van (2008). Predicting the daily covariance matrix for s&p 100 stocks using intraday data - but which frequency in use? (EI reprint reeksEI 1475 ). 3000 DR Rotterdam: Econometrics.
  • Pooter, M.D. de, Martens, M.P.E. & Dijk, D.J.C. van (2008). Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use? Econometric Reviews, 27(1-3), 199-229.
  • Henker, T. & Martens, M.P.E. (2008). Price discovery and liquidity in basket securities. The Financial Review, 43(2), 219-239.
  • Huij, J., Martens, M.P.E. & Post, G.T. (2007). Return Persistence, Risk Dynamics and Momentum Exposures of Equity and Bond Mutual Funds. (ERIM Report Series). 3000 DR Rotterdam: ERIM.
  • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. (Econometric Institute ReprintEI-1440 ). 3000 DR Rotterdam: Econometrics.
  • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1), 181-207.
  • Dijk, D.J.C. van, Chulia-Soler, H. & Martens, M.P.E. (2007). The effects of Federal funds target rate changes on S&P100 stock returns, volatilities, and correlations. (ERIM Report Series2007-066-F&A ). 3000 DR Rotterdam: ERIM.
  • Martens, M.P.E. & Dijk, D.J.C. van (2006). Measuring volatility with the realized range. (Econometric Institute ReportEI 2006-10 ). 3000 DR Rotterdam: Econometrics.
  • Martens, M.P.E. & Zein, J. (2005). Predicting financial volalility: High-frequency time-series forecasts vis-a-vis implied volatility. (Econometric Institute Reprint SerieEI-1341 ). 3000 DR Rotterdam: Econometrics.
  • Pooter, M.D. de, Martens, M.P.E. & Dijk, D.J.C. van (2005). Predicting the daily covariance matrix for S&P 100 stocks using intraday data-but which frequency to use? (Tinbergen Institute Discussion Papers05-089/4 ). 3000 DR Rotterdam: Econometrics.
  • Henker, T. & Martens, M.P.E. (2005). Index futures arbitrage before and after the introduction of sixteenth on the NYSE. Journal of Empirical Finance, 12(3), 353-373.
  • Martens, M.P.E. & Zein, J. (2004). Predicting financial volatility: high-frequency time-series forecasts vis-à-vis implied volatility. The Journal of Futures Markets, 24(11), 1005-1028.
  • Martens, M.P.E., Dijk, D.J.C. van & Pooter, M.D. de (2004). Modeling and forecasting S&P 500 volatility: long memory, structural breaks and nonlinearity. (Econometric Institute Report067/4 ). : .
  • Luu, J.C.L. & Martens, M.P.E. (2003). Testing the mixture of distributions hypothesis using 'realized' volatility. The Journal of Futures Markets, 23(7), 661-679.
  • Martens, M.P.E., Chang, Y.C. & Taylor, S.J. (2002). A comparison of seasonal adjustment methods when forecasting intraday volatility. The Journal of Financial Research, 25(2), 283-299.
  • Martens, M.P.E. & Fong, K. (2002). Overnight futures trading: now even Australia and U.S. have common trading hours. Journal of International Financial Markets, Institutions and Money, 12, 167-182.
  • Martens, M.P.E. (2002). Measuring and forecasting S&P 500 index-futures volatility using high-frequency data. The Journal of Futures Markets, 22, 497-518.
  • Martens, M.P.E. & Steenbeek, O.W. (2001). Intraday trading halts in the Nikkei futures market. Pacific-Basin Finance Journal, 9(5), 535-561.
  • Martens, M.P.E. (2001). Forecasting daily exchange rate volatility using intraday returns. Journal of International Money and Finance, 20, 1-23.
  • Martens, M.P.E. & Poon, S-H. (2001). Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking and Finance, 25, 1805-1827.
  • Steenbeek, O.W. & Martens, M.P.E. (2000). Handelssystemen en concurrentie tussen effectenbeurzen. Bank- en Effectenbedrijf, november, 24-28.
  • Steenbeek, O.W. & Martens, M.P.E. (1999). Intraday trading halts in the Nikkei futures market. In J. Annaert, R. Huisman & J. Spronk (Eds.), Financiering en Belegging (pp. 100-133). Rotterdam: Sectie Finance & Investments.
  • Martens, M.P.E. & Kofman, P. (1998). The inefficiency of Reuters foreign exchange quotes. Journal of Banking and Finance, 22, 347-366.
  • Vorst, A.C.F., Martens, M.P.E. & Kofman, P. (1998). A threshold error correction model for intraday futures and index returns. Journal of Applied Econometrics, 13, 245-263.
  • Martens, M.P.E. (1998). Price discovery in high and low volatility periods: Open outcry vs electronic trading. Journal of International Financial Markets, Institutions and Money, 8, 243-260.
  • Kofman, P. & Martens, M.P.E. (1997). Interaction between stock markets: an analysis of the common trading hours of the London and New York Stock Exchange. Journal of International Money and Finance, 16, 387-414.
  • Vorst, A.C.F., Kofman, P. & Martens, M.P.E. (1996). A threshold error correction model for intraday futures and index returns. In J.R. Sweeney (Ed.), Proceedings of the Eight Annual European Futures Research Symposium (pp. 231-265). Chigago: Board of trade of the city of Chigago.
Doctoral thesis (1)
  • Martens, M.P.E. (1997, juni 19). Interaction between financial markets. Erasmus University Rotterdam (208 pag.) (Amsterdam: Thela Thesis). Prom./coprom.: Prof.Dr. A.C.F. Vorst.