• Conrad, C., Kleen, O., Lönn, R. (2025+). Volatility forecasting for low-volatility investing. International Journal of Forecasting, In press. https://doi.org/10.1016/j.ijforecast.2025.08.006

• Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts. Journal of Applied Econometrics, 39(5):833–849. 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 and André P. Santos. Available at SSRN: https://ssrn.com/abstract=4161957

• Equity options and firm characteristics. Joint work with Gustavo Freire. Available at SSRN: https://ssrn.com/abstract=4342597

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 and co-maintainer

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: HARforest

• Provides direct estimation routines and prediction functions for the HAR forest introduced in Kleen, Santos, and Tetereva (2025, http://dx.doi.org/10.2139/ssrn.4161957)
• It can be downloaded via 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