Details about Ilze Kalnina

Access statistics for papers by Ilze Kalnina.

Last updated 2024-03-07. Update your information in the RePEc Author Service.

Short-id: pka336

Working Papers

2025

1. Marginal Effects for Probit and Tobit with Endogeneity
   Papers, arXiv.org
   Also in CeMMAP working papers, Institute for Fiscal Studies (2023)

2015

2. Cross-sectional Dependence in Idiosyncratic Volatility
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (2)
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) View citations (3)
3. Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ View citations (3)
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) View citations (3)
   See also Journal Article Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas, Journal of Business & Economic Statistics, Taylor & Francis Journals (2023) View citations (1) (2023)
4. Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency
   Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ
   Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) View citations (1)
   See also Journal Article Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency, Journal of the American Statistical Association, Taylor & Francis Journals (2017) View citations (21) (2017)

2007

5. Inference about Realized Volatility using Infill Subsampling
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE View citations (6)
   Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (6)

2006

6. Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError
   STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
7. Estimating quadratic variation consistently in the presence of correlated measurement error
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (16)

Journal Articles

2023

1. Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas
   Journal of Business & Economic Statistics, 2023, 41, (2), 538-549 View citations (1)
   See also Working Paper Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas, Cahiers de recherche (2015) View citations (3) (2015)

2020

2. High-frequency factor models and regressions
   Journal of Econometrics, 2020, 216, (1), 86-105 View citations (22)

2017

3. Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
   Journal of the American Statistical Association, 2017, 112, (517), 384-396 View citations (21)
   See also Working Paper Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency, Cahiers de recherche (2015) (2015)

2015

4. Estimation of volatility measures using high frequency data (in Russian)
   Quantile, 2015, (13), 3-14

2011

5. Subsampling high frequency data
   Journal of Econometrics, 2011, 161, (2), 262-283 View citations (26)

2008

6. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
   Journal of Econometrics, 2008, 147, (1), 47-59 View citations (63)