dr. O (Onno) Kleen

Biography

Onno Kleen is an Assistant Professor at the Erasmus University Rotterdam. His focus in research is upon time series analysis and its applications in financial economics, macro-finance and distribution forecasting. He analyzes financial risk; for example, via the analysis of high-dimensional data with machine learning.

Erasmus School of Economics

Assistant professor | Econometrics

Email: kleen@ese.eur.nl

Work

Onno Kleen (2024) - Scaling and measurement error sensitivity of scoring rules for distribution forecasts - Journal of Applied Econometrics, 39 (5), 833-849 - doi: 10.1002/jae.3056 - [link]
Gustavo Freire & Onno Kleen (2023) - Equity Option Prices and Firm Characteristics - doi: 10.2139/ssrn.4342597
Christian Conrad, Onno Kleen & Rasmus Lonn (2022) - Volatility forecasting for low-volatility investing - doi: 10.2139/ssrn.4158925
Onno Kleen & Anastasija Tetereva (2022) - A Forest Full of Risk Forecasts for Managing Volatility - doi: 10.2139/ssrn.4161957
Onno Kleen, Kris Boudt & Emil Sjørup (2022) - Analyzing Intraday Financial Data in R: The highfrequency Package - Journal of Statistical Software, 104 (8), 1-36 - doi: 10.18637/jss.v104.i08 - [link]
Christian Conrad & Onno Kleen (2020) - Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models - Journal of Applied Econometrics, 35 (1), 19-45 - doi: 10.1002/jae.2742 - [link]
Onno Kleen (2019) - Scaling and Measurement Error Sensitivity of Scoring Rules for Distribution Forecasts - doi: 10.2139/ssrn.3476461

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Onno Kleen (2025) - Volatility forecasting for low-volatility investing (Speaker)
Activiteit: Oral presentation › Academic
Onno Kleen (2025) - Leverage, feedback, or both? (Speaker)
Activiteit: Invited talk › Academic
Onno Kleen (2024) - Cluster Natural Gradient Boosting for Cross-sectional Distribution Forecasting of Volatility (Speaker)
Activiteit: Oral presentation › Academic
Onno Kleen (2024) - Equity option prices and firm characteristics (Speaker)
Activiteit: Oral presentation › Academic
Onno Kleen (2024) - University of Copenhagen (Visiting researcher)
Activiteit: Visiting an external academic institution › Academic
Onno Kleen (2024) - Financial Econometrics Meets Machine Learning 2024 (Participant)
Activiteit: Organising and contributing to an event › Academic
Onno Kleen (2023) - Equity Options and Firm Characteristics (Speaker)
Activiteit: Oral presentation › Academic
Onno Kleen (2023) - Equity Options and Firm Characteristics (Speaker)
Activiteit: Oral presentation › Academic
Onno Kleen (2023) - Equity Options and Firm Characteristics (Speaker)
Activiteit: Oral presentation › Academic
Onno Kleen, Anastasija Tetereva, Gustavo Bulhoes Carvalho da Paz Freire, Maria Grith, Alberto Quaini & Rasmus Lonn (2023) - Financial Econometrics meets Machine Learning (FinEML) (Organiser)
Activiteit: Organising and contributing to an event › Academic