M.P.E. (Martin) Martens

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.

• Articles (25)
  • Henker, J, Henker, T., Huynh, R & Martens, M.P.E. (2012). The vanishing abnormal returns of momentum strategies and 'front-running' momentum strategies. Journal of Accounting and Finance, 12(4), 86-100.
  • Blitz, D., Huij, J.J. & Martens, M.P.E. (2011). Residual Momentum. Journal of Empirical Finance, 18(3), 506-521.
  • Duyvesteyn, J., Martens, M.P.E. & Nic Safavi, S. (2011). Forecasting bond returns using jumps in intraday prices. The Journal of Fixed Income, 20(4), 80-90.
  • Budiono, D. & Martens, M.P.E. (2010). Mutual funds selection based on fund characteristics. The Journal of Financial Research, 33(Fall), 249-265.
  • 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.
  • Henker, T. & Martens, M.P.E. (2010). Spread decomposition with common spread components. International Journal of Managerial Finance, 6(2), 88-115.
  • 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.
  • 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.
  • Henker, T. & Martens, M.P.E. (2008). Price discovery and liquidity in basket securities. The Financial Review, 43(2), 219-239.
  • 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.
  • Martens, M.P.E. & Dijk, D.J.C. van (2007). Measuring volatility with the realized range. Journal of Econometrics, 138(1), 181-207.
  • 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.
  • 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. (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., 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. & Poon, S-H. (2001). Returns synchronization and daily correlation dynamics between international stock markets. Journal of Banking and Finance, 25, 1805-1827.
  • 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.
  • Steenbeek, O.W. & Martens, M.P.E. (2000). Handelssystemen en concurrentie tussen effectenbeurzen. Bank- en Effectenbedrijf, november, 24-28.
  • 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.
  • 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.
  • 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.

• 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.