Onno Kleen

Onno Kleen

Erasmus University Rotterdam

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.

Interests

  • Econometrics in Finance and Macroeconomics
  • Forecasting
  • Empirical Finance

Education

  • PhD in Economics, 2020

    Heidelberg University

  • MSc in Economics/MSc in Mathematics, 2015/2014

    Heidelberg University

Publications and working papers

Onno Kleen, Gustavo Freire (2023). Equity options and firm characteristics.

Working paper

Kris Boudt, Onno Kleen, Emil Sjørup (2022). Analyzing intraday financial data in R: The highfrequency package. Journal of Statistical Software, 104(8).

PDF DOI Working paper

Onno Kleen, Anastasija Tetereva (2022). A forest full of risk forecasts for managing volatility.

Working paper

See all publications

Recent Posts

Advice for seminar papers and theses

In this blog post, I gather general advice on how to write theses and seminar papers. References can be found below. The recommendations here are not necessarily well-structured but are more like a list of things that I observe(d) through time and want to share with future students of mine.
Jul 9, 2023 5 min read Teaching

Download TAQ data via WRDS inside R

Welcome to my first blog post! I wanted to set up a blog for a while now and I am very excited that I finally found the time to do so.
Sep 21, 2020 7 min read R

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