Onno Kleen

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

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

SCHOLARLY PAPERS

2

DOWNLOADS

739

SSRN CITATIONS

3

CROSSREF CITATIONS

4

Scholarly Papers (2)

1.

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 667 (47,091)
Citation 10

Abstract:

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

2.

Measurement Error Sensitivity of Loss Functions for Distribution Forecasts

Number of pages: 45 Posted: 08 Nov 2019 Last Revised: 25 Feb 2021
Onno Kleen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 72 (383,902)

Abstract:

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