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

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

Christian Conrad, Onno Kleen (2019). Volatility forecasting for low-volatility investing.

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