Details about Franck Martin

Access statistics for papers by Franck Martin.

Last updated 2024-11-23. Update your information in the RePEc Author Service.

Short-id: pma2308

Working Papers

2024

1. Optimized pairs-trading strategies in the cryptocurrencies market using genetic algorithms and cointegration
   Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS

2021

2. A Dual Banking Sector With Credit Unions and Traditional Banks: What Implications on Macroeconomic Performances?
   Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS

2020

3. The Yield curve revisited for crisis period: between contagion, flight to quality and quantitative easing
   (La structure des taux revisitée pour période de crise: entre contagion, flight to quality et quantitative easing)
   Post-Print, HAL View citations (1)

2019

4. Impact of QE on European Sovereign Bond Market Equilibrium
   Post-Print, HAL View citations (1)
   See also Chapter Impact of QE on European Sovereign Bond Market Equilibrium, World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd. (2019) View citations (1) (2019)
5. Pairs trading strategies in a cointegration framework: back-tested on CFD and optimized by profit factor
   Post-Print, HAL View citations (1)
   See also Journal Article Pairs trading strategies in a cointegration framework: back-tested on CFD and optimized by profit factor, Applied Economics, Taylor & Francis Journals (2019) View citations (1) (2019)

2018

6. Dynamic connectedness of global currencies: a conditional Granger-causality approach
   Working Papers, HAL
   Also in Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS (2018) View citations (1)

2017

7. Impact of QE on European sovereign bond market
   Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS
8. Modelling European sovereign bond yields with international portfolio effects
   Post-Print, HAL View citations (1)
   See also Journal Article Modelling European sovereign bond yields with international portfolio effects, Economic Modelling, Elsevier (2017) View citations (1) (2017)
9. Optimal pairs trading strategies in a cointegration framework
   Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS View citations (1)
   Also in Working Papers, HAL (2017) View citations (1)

2016

10. La structure des taux revisitée pour période de crise: entre contagion, ?ight to quality et Quantitative Easing
    Economics Working Paper Archive (University of Rennes & University of Caen), Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS
    See also Journal Article La structure des taux revisitée pour période de crise: entre contagion, flight to quality et quantitative easing, Revue économique, Presses de Sciences-Po (2020) (2020)

2015

11. Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?
    Post-Print, HAL
    Also in Post-Print, HAL (2015) View citations (1)
    See also Journal Article Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?, Economics Bulletin, AccessEcon (2015) View citations (1) (2015)
12. Dynamics of bond markets during the EMU crisis: theoretical and empirical approaches in a portfolio theory framework
    Post-Print, HAL View citations (2)

2014

13. Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?
    Post-Print, HAL View citations (3)
    See also Journal Article Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?, Economics Bulletin, AccessEcon (2014) View citations (3) (2014)

2011

14. Structural effects and spillovers: Evidence from South-East Asian countries
    Post-Print, HAL
15. Volatility spillovers and contagion during U.S. subprime crisis: Evidence from Asian stock markets
    Post-Print, HAL

2010

16. Marchés boursiers et hedge funds global macro: interdépendances dynamiques ou neutralité ?
    Post-Print, HAL

2009

17. Econométrie appliquée
    Post-Print, HAL View citations (11)
18. Le pouvoir de déstabilisation des Hedge Funds: évaluation empirique sur les indices boursiers
    Post-Print, HAL

2007

19. Concurrence et régulation dans l'industrie de la gestion d'actifs
    Post-Print, HAL
20. La propagation des chocs conjoncturels sur les cours boursiers: le rôle des rachats d'actions
    Post-Print, HAL

2005

21. Concurrence dans le système financier et croissance.Le cas du secteur des services dans les pays de l'OCDE
    Post-Print, HAL

2001

22. Structure par terme des taux d'intérêt, règle monétaire et identification des chocs d'activité
    Post-Print, HAL View citations (3)

1998

23. L'efficience des marchés de taux sur les euro devises: réexamen à partir de tests glissants
    Post-Print, HAL

1995

24. Un modele a correction d'erreur de la deformation de la courbe des taux
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche

1994

25. Concurrence bancaire et assymetrie d'information
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche
26. Cost Structure in French Banking: A Reexamination Based on a Regular CES-Quadratic Form
    Post-Print, HAL

1993

27. Couts, efficacite et strategie de gamme dans l'industrie des SICAV
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche

1992

28. Structure des couts dans la banque francaise
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche View citations (1)

Journal Articles

2020

1. La structure des taux revisitée pour période de crise: entre contagion, flight to quality et quantitative easing
   Revue économique, 2020, 71, (4), 623-665
   See also Working Paper La structure des taux revisitée pour période de crise: entre contagion, ?ight to quality et Quantitative Easing, Economics Working Paper Archive (University of Rennes & University of Caen) (2016) (2016)

2019

2. Pairs trading strategies in a cointegration framework: back-tested on CFD and optimized by profit factor
   Applied Economics, 2019, 51, (22), 2436-2452 View citations (1)
   See also Working Paper Pairs trading strategies in a cointegration framework: back-tested on CFD and optimized by profit factor, Post-Print (2019) View citations (1) (2019)

2017

3. Modelling European sovereign bond yields with international portfolio effects
   Economic Modelling, 2017, 64, (C), 178-200 View citations (1)
   See also Working Paper Modelling European sovereign bond yields with international portfolio effects, Post-Print (2017) View citations (1) (2017)

2015

4. Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?
   Economics Bulletin, 2015, 35, (4), 2110-2125 View citations (1)
   See also Working Paper Asymmetric dynamics in the correlations of hedge fund strategy indices: what lessons about financial contagion ?, Post-Print (2015) (2015)

2014

5. Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?
   Economics Bulletin, 2014, 34, (2), 1327-1349 View citations (3)
   See also Working Paper Correlation and volatility on bond markets during the EMU crisis: does the OMT change the process ?, Post-Print (2014) View citations (3) (2014)

1995

6. Concurrence bancaire, jeux séquentiels et information complète
   Revue Économique, 1995, 46, (2), 301-324 View citations (1)

1992

7. Souscriptions de Sicav et concurrence entre réseaux
   Revue d'Économie Financière, 1992, 20, (1), 185-198

Chapters

2019

1. Impact of QE on European Sovereign Bond Market Equilibrium
   Chapter 17 in HANDBOOK OF GLOBAL FINANCIAL MARKETS Transformations, Dependence, and Risk Spillovers, 2019, pp 411-466 View citations (1)
   See also Working Paper Impact of QE on European Sovereign Bond Market Equilibrium, HAL (2019) View citations (1) (2019)