• Kleen, O. (2024). Scaling and measurement error sensitivity of scoring rules for distribution forecasts. Journal of Applied Econometrics, 39(5):833–849. https://doi.org/10.1002/jae.3056

• Boudt, K., Kleen, O., Sjørup, E. (2022). Analyzing intraday financial data in R: The highfrequency package. Journal of Statistical Software, 104(8):1–36. https://doi.org/10.18637/jss.v104.i08

• Conrad, C., Kleen, O. (2020). Two are better than one: Volatility forecasting using multiplicative component GARCH-MIDAS models. Journal of Applied Econometrics, 35(1):19–45. https://doi.org/10.1002/jae.2742

• A forest full of risk forecasts for managing volatility. Joint work with Anastasija Tetereva. Available at SSRN: https://ssrn.com/abstract=4161957

• Volatility forecasting for low-volatility investing. Joint work with Christian Conrad and Rasmus Lönn. Available at SSRN: http://ssrn.com/abstract=4158925

• Equity options and firm characteristics. Joint work with Gustavo Freire. Available at SSRN: https://ssrn.com/abstract=4342597

R package: mfGARCH

• An R package for estimating multiplicative mixed-frequency GARCH models (GARCH-MIDAS) as proposed in Engle et al. (2013)
• Can be installed from CRAN
• Development version can be found in its Github repository
• Creator and maintainer

R package: alfred

• Provides direct access to the FRED and ALFRED databases. Its functions return tidy data frames for different releases of the specified time series.
• Can be installed from CRAN
• Development version can be found in its Github repository
• Creator and maintainer

R package: highfrequency

• Provides functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, detect price jumps and investigate microstructure noise and intraday periodicity.
• Can be installed from CRAN
• Development version can be found in its Github repository
• Author