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Details about Ilze Kalnina

E-mail:
Homepage:https://www.ilzekalnina.net
Workplace:Department of Economics, Poole College of Management, North Carolina State University, (more information at EDIRC)

Access statistics for papers by Ilze Kalnina.

Last updated 2020-05-19. Update your information in the RePEc Author Service.

Short-id: pka336


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Working Papers

2015

  1. Cross-sectional Dependence in Idiosyncratic Volatility
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) Downloads View citations (3)
  2. 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 Downloads View citations (3)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) Downloads View citations (3)
  3. Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2015) Downloads View citations (1)

    See also Journal Article in Journal of the American Statistical Association (2017)

2007

  1. Inference about Realized Volatility using Infill Subsampling
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (6)

2006

  1. Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError
    STICERD - Econometrics Paper Series, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE Downloads
  2. 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 Downloads View citations (16)

Journal Articles

2020

  1. High-frequency factor models and regressions
    Journal of Econometrics, 2020, 216, (1), 86-105 Downloads View citations (4)

2017

  1. Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency
    Journal of the American Statistical Association, 2017, 112, (517), 384-396 Downloads View citations (8)
    See also Working Paper (2015)

2015

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

2011

  1. Subsampling high frequency data
    Journal of Econometrics, 2011, 161, (2), 262-283 Downloads View citations (24)

2008

  1. Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
    Journal of Econometrics, 2008, 147, (1), 47-59 Downloads View citations (54)
 
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