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Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data - But Which Frequency to Use?
de Pooter, Michiel; Martens, Martin; van Dijk, Dick - In: Econometric reviews 27 (2008) 1-3, pp. 199-229
Persistent link: https://www.econbiz.de/10007993915
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Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; van Dijk, Dick; de Pooter, Michiel - In: International journal of forecasting 25 (2009) 2, pp. 282-304
Persistent link: https://www.econbiz.de/10008892141
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Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; van Dijk, Dick; de Pooter, Michiel - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10008231949
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Forecasting daily exchange rate volatility using intraday returns
Martens, Martin - In: Journal of international money and finance 20 (2001) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10006902050
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Interaction between stock markets: An analysis of the common trading hours at the London and New York stock exchange
Kofman, Paul; Martens, Martin - In: Journal of international money and finance 16 (1997) 3, pp. 387-414
Persistent link: https://www.econbiz.de/10006923940
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Testing the mixture-of-distributions hypothesis using "realized" volatility
Luu, James C.; Martens, Martin - In: The journal of futures markets 23 (2003) 7, pp. 661-680
Persistent link: https://www.econbiz.de/10006822759
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A Comparison of Seasonal Adjustment Methods When Forecasting Intraday Volatility
Martens, Martin; Chang, Yuan-Chen; Taylor, Stephen J. - In: The journal of financial research : a publ. of the … 25 (2002) 2, pp. 283-300
Persistent link: https://www.econbiz.de/10006827134
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Measuring and Forecasting S&P 500 Index-Futures Volatility Using High-Frequency Data
Martens, Martin - In: The journal of futures markets 22 (2002) 6, pp. 497-518
Persistent link: https://www.econbiz.de/10006827896
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Predicting financial volatility: High-frequency time-series forecasts vis-à-vis implied volatility
Martens, Martin; Zein, Jason - In: The journal of futures markets 24 (2004) 11, pp. 1005-1028
Persistent link: https://www.econbiz.de/10006815666
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Handelssystemen en concurrentie tussen effectenbeurzen
Martens, Martin; Steenbeek, Onno - In: Bank- en effectenbedrijf 49 (2000) 11, pp. 24-29
Persistent link: https://www.econbiz.de/10006382468