ERIM homePeople

M.P.E. (Martin) Martens

Associate Professor

Martin Martens
Slide 1 Slide 2

Finance & Accounting
ERIM Membership:
Member ERIM, affiliated since 2002

Martin Martens is a part-time associate professor at the Erasmus School of Economics (ESE).

Professor Martens combines his role at RSM with that of co-head of Quantitative Strategies at asset management company Robeco.

His main academic interests are in the area of 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.

Publications (32)
  • Book contributions (2)
    • 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.
    • 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
    • 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.
PhD Projects (4)

Response to Macroeconomic News Announcements: Fundamental or Sentimental?

Justinas Brazys
PhD Candidate: Justinas Brazys Role: Daily Supervisor Timeframe: 2011 -

Measuring and Forecasting Financial Market Volatility using High-Frequency Data

Karim Bannouh
PhD Candidate: Karim Bannouh Role: Co-supervisor Defended: 11 January 2013 Full text: Download this thesis

The Analysis of Mutual Fund Performance: Evidence from U.S. Equity Mutual Funds

Diana Budiono
PhD Candidate: Diana Budiono Role: Supervisor Defended: 04 February 2010 Full text: Download this thesis
Events (3)
Nov 2, 2011 Explaining and Predicting Sovereign Credit Risk with Exchange Rate Volatility
  ERIM Research Seminar | Finance

Apr 28, 2010 Realized Mixed-frequency Factor Models for Vast Dimensional Covariance Estimation
  ERIM Research Seminar | Finance

Nov 22, 2007 Workshop "Modeling and Managing Risk"
  ERIM Research Workshop | Finance

Visiting address
Office: H14-25
Burgemeester Oudlaan 50
3062 PA, Rotterdam
Postal address
Postbus 1738
3000 DR, Rotterdam