Onno Kleen

Candidate Fellow

Erasmus University Rotterdam

Econometrics

Finance, Financial Econometrics, Macroeconometrics, Risk Management, Time Series Econometrics

Biography

Onno's primary research field is time series econometrics with financial and macroeconomic applications in mind. He is interested in point and probabilistic forecasting, forecast evaluation, modeling mixed-frequency data, and asset price volatility.

Key publications

Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849.

Conrad, C. and Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models Journal of Applied Econometrics, 35(1):19--45.

List of publications

Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts Journal of Applied Econometrics, 39(5):833--849.

Conrad, C. and Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models Journal of Applied Econometrics, 35(1):19--45.