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M.P.E. (Martin) Martens

Associate Professor

Martin Martens
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Programme:
Finance & Accounting
ERIM Membership:
Member ERIM, affiliated since 2002
Profile

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 (31)
  • Articles (28)
    • Duyvesteyn, J. & Martens, M.P.E. (2014). Emerging government bond market timing. The Journal of Fixed Income, 23, 36-49.
    • Bannouh, K., Martens, M.P.E. & Dijk, D.J.C. van (2013). Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading. The North American Journal of Economics and Finance, 26, 535-551.
    • Bannouh, K., Martens, M.P.E. & Dijk, D.J.C. van (2013). Forecasting volatility with the realized range in the presence of noise and non-trading. The North American Journal of Economics and Finance, 26, 535-551.
    • 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.[go to publisher's site]
    • 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.[go to publisher's site]
    • 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., 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.
    • Martens, M.P.E. & Kofman, P. (1998). The inefficiency of Reuters foreign exchange quotes. Journal of Banking and Finance, 22, 347-366.
    • 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.
    • 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.
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
Netherlands
Postal address
Postbus 1738
3000 DR, Rotterdam
Netherlands
 

Latest publication

Duyvesteyn, J. & Martens, M.P.E. (2014). Emerging government bond market timing. The Journal of Fixed Income, 23, 36-49.

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