Onno Kleen

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

5

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Rank 36,671

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Top 36,671

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1,896

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (5)

1.

Analyzing intraday financial data in R: The highfrequency package

Number of pages: 37 Posted: 07 Sep 2021 Last Revised: 06 Nov 2021
Kris Boudt, Onno Kleen and Emil Sjørup
Ghent University, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and affiliation not provided to SSRN
Downloads 912 (36,791)

Abstract:

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financial markets, high-frequency data, realized measures, jumps, R

2.

Two Are Better Than One: Volatility Forecasting Using Multiplicative Component GARCH-MIDAS Models

Journal of Applied Econometrics, Forthcoming
Number of pages: 68 Posted: 21 Mar 2016 Last Revised: 21 Aug 2019
Christian Conrad and Onno Kleen
Heidelberg University - Alfred Weber Institute for Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 720 (50,442)
Citation 12

Abstract:

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Forecast Evaluation, GARCH-MIDAS, Mincer-Zarnowitz Regression, Volatility Persistence, Volatility Component Model, Long-Term Volatility, Model Confidence Set

3.

Scaling and Measurement Error Sensitivity of Scoring Rules for Distribution Forecasts

Number of pages: 46 Posted: 08 Nov 2019 Last Revised: 30 Mar 2022
Onno Kleen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 123 (314,655)
Citation 1

Abstract:

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Forecast evaluation, measurement error, distribution forecasts, proper scoring rules

4.

A Forest Full of Risk Forecasts for Managing Volatility

Number of pages: 34 Posted: 22 Jul 2022 Last Revised: 25 Jul 2022
Onno Kleen and Anastasija Tetereva
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 82 (409,666)

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Volatility forecasting, local linear random forest, pooled estimation

5.

Volatility Forecasting for Low-Volatility Investing

Number of pages: 38 Posted: 01 Aug 2022
Christian Conrad and Onno Kleen
Heidelberg University - Alfred Weber Institute for Economics and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 59 (487,367)

Abstract:

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factor investing, low-volatility anomaly, volatility forecasts, forecast evaluation