Onno Kleen, M.Sc.
Bergheimer Strasse 58
69115 Heidelberg
Phone: +49 6221 54 2908
Email: onno.kleen@awi.uni-heidelberg.de
Personal website: https://onnokleen.de
Office hours: Tuesday, 9:30 - 10:30
Room: 01.020
Research Interests
Econometrics in finance and macroeconomics, forecasting and portfolio analysis
Education
PhD candidate in Economics, Heidelberg University, since 2015
Visiting Scholar, Duke University, fall 2019
M.Sc., Economics, Heidelberg University, 2013 - 2015
M.Sc., Mathematics, Heidelberg University, 2011 - 2014
Visiting Student, Complutense University of Madrid, 2012 - 2013
B.Sc., Mathematics, Heidelberg University, 2008 - 2011
Publications in refereed journals
- Conrad, Christian and Kleen, Onno (2019). Two are better than one: volatility forecasting using multiplicative component GARCH-MIDAS models. Journal of Applied Econometrics (forthcoming), https://doi.org/10.1002/jae.2742. Working paper version available at SSRN: https://ssrn.com/abstract=2752354.
Job market paper
- Measurement error sensitivity of loss functions for distribution forecasts (2019), available at SSRN: https://ssrn.com/abstract=3476461.
Work in progress
- Volatility forecasting for low-volatility investing
Conferences
- 2019
- CAIR Sponsored Konstanz-Lancaster-Manchester-Warwick Joint PhD Workshop on Quantitative Finance and Econometrics, Manchester
- 2018
- 12th International Conference on Computational and Financial Econometrics (CFE), Pisa
- 4th Konstanz - Lancaster Workshop on Finance and Econometrics, Konstanz
- Big Data in Finance and Economics, SoFiE Summer School, Brussels
- Frontiers of Factor Investing, Lancaster
- IV International PhD Conference in Economics, Leicester
- 2017
- ScienceFore Summer School, Heidelberg
- The Econometrics of Derivatives Markets, SoFiE Summer School, Chicago
- Fourth Annual Conference of the International Association for Applied Econometrics (IAAE), Sapporo
- Rhenish Multivariate Time Series Econometrics (RMSE), Rotterdam
- 2016
- European Meeting of the Econometric Society (ESEM), Geneva
Teaching
Tutorials (Bachelor)
Macroeconometrics (summer 2016)
Mathematics for Economists (winter 2013/14 - 2019/20)
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E-Mail
Letzte Änderung:
03.04.2020