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Ilze Kalnina
Ilze Kalnina
Verified email at ncsu.edu - Homepage
Title
Cited by
Cited by
Year
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
I Kalnina, O Linton
Journal of econometrics 147 (1), 47-59, 2008
1492008
Nonparametric estimation of the leverage effect: A trade-off between robustness and efficiency
I Kalnina, D Xiu
Journal of the American Statistical Association 112 (517), 384-396, 2017
642017
High-frequency factor models and regressions
Y Aït-Sahalia, I Kalnina, D Xiu
Journal of Econometrics 216 (1), 86-105, 2020
622020
Subsampling high frequency data
I Kalnina
Journal of Econometrics 161 (2), 262-283, 2011
482011
Nonparametric tests of time variation in betas
I Kalnina
Université de Montréal, 2012
232012
The idiosyncratic volatility puzzle: A reassessment at high frequency
Y Ait-Sahalia, I Kalnina, D Xiu
Tech. rep., Working Paper, University of Chicago, 2014
142014
Inference about realized volatility using infill subsampling
I Kalnina, OB Linton
LSE STICERD Research Paper No. EM523, 2007
122007
Inference for nonparametric high-frequency estimators with an application to time variation in betas
I Kalnina
Journal of Business & Economic Statistics 41 (2), 538-549, 2023
112023
Nonparametric estimation of the leverage effect using information from derivatives markets
I Kalnina, D Xiu
Working paper, University of Chicago, Booth School of Business, 2015
102015
Cross-sectional dependence in idiosyncratic volatility
I Kalnina, K Tewou
Cahier de recherche, 2015
92015
Model-Free Leverage Effect Estimators at High Frequency
I Kalnina, D Xiu
Chicago Booth Research Paper, 2013
22013
Time-varying risk premia with intermittently useless factors
EM Pondi, I KALNINA
Working Paper, 2017
12017
Marginal effects for probit and tobit with endogeneity
KS Evdokimov, I Kalnina, A Zeleneev
arXiv preprint arXiv:2306.14862, 2023
2023
Estimation of volatility measures using high frequency data (in Russian)
I Kalnina, N Sizova
Quantile, 3-14, 2015
2015
Nonparametric estimation of the leverage effect using information from derivatives markets
I Kalnina, D Xiu
Working paper, 2014
2014
Essays on estimation and inference for volatility with high frequency data
I Kalnina
PQDT-Global, 2009
2009
Discussion of Ait-Sahalia and Barndorff-Nielsen and Shephard
O Linton, I Kalnina
ECONOMETRIC SOCIETY MONOGRAPHS 43, 373, 2007
2007
Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError
I Kalnina, O Linton
STICERD-Econometrics Paper Series, 2006
2006
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