I am an Assistant Professor at the Erasmus University Rotterdam. My focus in research is upon time series analysis and its applications in macro-finance and distribution forecasting.
PhD in Economics, 2020
Heidelberg University
MSc in Economics/MSc in Mathematics, 2015/2014
Heidelberg University
Kleen, O. (2024+). Scaling and measurement error sensitivity of scoring rules for distribution forecasts. Journal of Applied Econometrics. https://doi.org/10.1002/jae.3056
Boudt, K., Kleen, O., Sjørup, E. (2022). Analyzing intraday financial data in R: The highfrequency package. Journal of Statistical Software, 104(8):1–36. https://doi.org/10.18637/jss.v104.i08
Conrad, C., Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models. Journal of Applied Econometrics, 35(1):19–45. https://doi.org/10.1002/jae.2742
A forest full of risk forecasts for managing volatility. Joint work with Anastasija Tetereva. Available at SSRN: https://ssrn.com/abstract=4161957
Volatility forecasting for low-volatility investing. Joint work with Christian Conrad and Rasmus Lönn. Available at SSRN: http://ssrn.com/abstract=4158925
Equity options and firm characteristics. Joint work with Gustavo Freire. Available at SSRN: https://ssrn.com/abstract=4342597