Dr. M.P.E. Martens

Update Persondata

• econometrics
• finance
• market
• noise

Active as

Publications

(the most recent at the top)

Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading

Realized mixed-frequency factor models for vast dimensional covariance estimation

Current research

(the most recent research is at the top)
Project leader	Response to Macroeconomic News Announcements: Fundamental or Sentimental?
Co-supervisor	Active portfolio selection with uncertainty in returns and the covariance

Completed research projects

(the most recent research is at the top)
Co-supervisor	Measuring and Forecasting Financial Market Volatility using High-Frequency Data

Classification

A55000	Management, accountancy
D43000	Economics