Onno Kleen

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

P.O. Box 1738

3000 DR Rotterdam, NL 3062 PA

Netherlands

Tinbergen Institute

Burg. Oudlaan 50

Rotterdam, 3062 PA

Netherlands

SCHOLARLY PAPERS

6

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4,479

SSRN CITATIONS
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SSRN RANKINGS

Top 42,564

in Total Papers Citations

15

CROSSREF CITATIONS

5

Scholarly Papers (6)

1.

Analyzing intraday financial data in R: The highfrequency package

Number of pages: 39 Posted: 07 Sep 2021 Last Revised: 28 Oct 2022
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 1,800 (17,295)
Citation 1

Abstract:

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

2.

Volatility forecasting for low-volatility investing

Number of pages: 54 Posted: 01 Aug 2022 Last Revised: 30 Nov 2023
Christian Conrad, Onno Kleen and Rasmus Lönn
Heidelberg University - Alfred Weber Institute for Economics, Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Department of Econometrics
Downloads 1,055 (38,221)

Abstract:

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Factor investing, low-volatility allocations, volatility forecasts

3.

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 807 (55,386)
Citation 24

Abstract:

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

4.

A Forest Full of Risk Forecasts for Managing Volatility

Number of pages: 33 Posted: 01 Mar 2023 Last Revised: 21 Jun 2023
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 345 (156,120)

Abstract:

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Risk management, volatility forecasting, local linear forest, firm characteristics, pooled estimation

5.

Equity Options and Firm Characteristics

Number of pages: 46 Posted: 31 Jan 2023 Last Revised: 26 Dec 2023
Gustavo Freire and Onno Kleen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) and Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 296 (183,749)

Abstract:

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Equity options, Firm characteristics, Implied volatility, Local linear random forest, Pooled estimation

6.

Scaling and Measurement Error Sensitivity of Scoring Rules for Distribution Forecasts

Number of pages: 51 Posted: 08 Nov 2019 Last Revised: 08 Aug 2023
Onno Kleen
Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)
Downloads 176 (301,605)
Citation 1

Abstract:

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