Onno Kleen

Onno Kleen

Heidelberg University

I am a PhD candidate and research associate in the Department of Economics at Heidelberg University. My focus in research is upon time series analysis and its applications in macro-finance and distribution forecasting. On September 1, 2020, I will join the Econometric Institute at Erasmus University Rotterdam.

Interests

  • Econometrics in Finance and Macroeconomics
  • Forecasting
  • Empirical Finance

Education

  • PhD in Economics, 2020

    Heidelberg University

  • MSc in Economics, 2015

    Heidelberg University

  • MSc in Mathematics, 2014

    Heidelberg University

Publications and working papers

Christian Conrad, Onno Kleen (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models. Journal of Applied Econometrics, 35(1).

PDF DOI Working paper

Onno Kleen (2019). Measurement error sensitivity of loss functions for distribution forecasts.

Working paper

Econometric software

R package: mfGARCH

  • An R package for estimating multiplicative mixed-frequency GARCH models (GARCH-MIDAS) as proposed in Engle et al. (2013)
  • Can be installed from CRAN
  • Development version can be found in its Github repository
  • Creator and maintainer

R package: alfred

  • Provides direct access to the FRED and ALFRED databases. Its functions return tidy data frames for different releases of the specified time series.
  • Can be installed from CRAN
  • Development version can be found in its Github repository
  • Creator and maintainer

R package: highfrequency

  • Provides functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, detect price jumps and investigate microstructure noise and intraday periodicity.
  • Can be installed from CRAN
  • Development version can be found in its Github repository
  • Author

Contact