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.
Onno Kleen
University
Erasmus University Rotterdam
E-mail
Research field
Econometrics
Interests
Finance, Financial Econometrics, Macroeconometrics, Risk Management, Time Series Econometrics
Website
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
List of publications
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.