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 (2021). Measurement error sensitivity of loss functions for distribution forecasts.

Working paper

Christian Conrad, Onno Kleen (2021). Volatility forecasting for low-volatility investing.

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

Recent Posts

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

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