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Martin P.E. Martens · Study
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Author
Martin P.E. Martens
21 works
· latest 2021
· 4 institutions
cluster: provisional
ORCID 0000-0002-3246-6388
Works
21 shown
Hedging demand and market intraday momentum
Journal of Financial Economics
·
2021
·
4 authors
·
Open access
98
citations
Political risk and expected government bond returns
Journal of Empirical Finance
·
2016
·
3 authors
·
Open access
43
citations
Residual momentum
Journal of Empirical Finance
·
2011
·
3 authors
·
Open access
186
citations
Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations
Journal of Banking & Finance
·
2009
·
3 authors
167
citations
Range-Based Covariance Estimation Using High-Frequency Data: The Realized Co-Range
Journal of Financial Econometrics
·
2009
·
3 authors
40
citations
Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
International Journal of Forecasting
·
2009
·
3 authors
151
citations
Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
Econometric Reviews
·
2008
·
3 authors
·
Open access
139
citations
Measuring volatility with the realized range
Journal of Econometrics
·
2006
·
2 authors
·
Open access
326
citations
Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility
Journal of Futures Markets
·
2004
·
2 authors
189
citations
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
RePEc: Research Papers in Economics
·
2004
·
3 authors
·
preprint
45
citations
Estimating Unbiased and Precise Realized Covariances
SSRN Electronic Journal
·
2004
·
1 author
·
preprint
·
Open access
63
citations
Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity
SSRN Electronic Journal
·
2004
·
3 authors
·
preprint
·
Open access
44
citations
Testing the mixture‐of‐distributions hypothesis using “realized” volatility
Journal of Futures Markets
·
2003
·
2 authors
·
Open access
64
citations
A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility
The Journal of Financial Research
·
2002
·
3 authors
·
Open access
121
citations
Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data
Journal of Futures Markets
·
2002
·
1 author
237
citations
Predicting Financial Volatility: High-Frequency Time-Series Forecasts Vis-a-Vis Implied Volatility
SSRN Electronic Journal
·
2002
·
2 authors
·
preprint
·
Open access
56
citations
Returns synchronization and daily correlation dynamics between international stock markets
Journal of Banking & Finance
·
2001
·
2 authors
·
Open access
231
citations
Forecasting daily exchange rate volatility using intraday returns
Journal of International Money and Finance
·
2001
·
1 author
108
citations
Price discovery in high and low volatility periods: open outcry versus electronic trading
Journal of International Financial Markets Institutions and Money
·
1998
·
1 author
96
citations
A threshold error-correction model for intraday futures and index returns
Journal of Applied Econometrics
·
1998
·
3 authors
164
citations
Interaction between stock markets: an analysis of the common trading hours at the London and New York stock exchange
Journal of International Money and Finance
·
1997
·
2 authors
38
citations