Martin Martens
Publications by Year
Research Areas
Financial Markets and Investment Strategies, Market Dynamics and Volatility, Financial Risk and Volatility Modeling, Monetary Policy and Economic Impact, Complex Systems and Time Series Analysis
Most-Cited Works
- → Measuring volatility with the realized range(2006)320 cited
- → Measuring and forecasting S&P 500 index‐futures volatility using high‐frequency data(2002)253 cited
- → Returns synchronization and daily correlation dynamics between international stock markets(2001)235 cited
- → Predicting financial volatility: High‐frequency time‐series forecasts vis‐à‐vis implied volatility(2004)206 cited
- → Residual momentum(2011)182 cited
- → Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations(2009)175 cited
- → A threshold error-correction model for intraday futures and index returns(1998)166 cited
- → Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements(2009)161 cited
- → Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?(2008)127 cited
- → A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility(2002)120 cited