Ilze Kalnina

Curriculum Vitae: pdf

Research papers:

"Marginal Effects for Probit and Tobit with Endogeneity," 2024 (with K. Evdokimov and A. Zeleneev), revise and resubmit, Econometrics Journal (pdf)

"Improved Estimation by Simulated Maximum Likelihood," 2024 (with K. Evdokimov)

"Cross-Sectional Dependence in Idiosyncratic Volatility," 2024 (with K. Tewou), revise and resubmit, Journal of Econometrics (pdf)

"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," 2023,
Journal of Business and Economic Statistics 41, 538-549 (pdf)

"High-Frequency Factor Models and Regressions," 2020 (with Y. Aït-Sahalia and D. Xiu), Journal of Econometrics 216, 86-105 (pdf), High-Frequency Fama-French and Momentum Factors

"Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency," 2017 (with D. Xiu),
Journal of the American Statistical Association 112, 384-396 (pdf)

"Estimation of Measures of Volatility using High Frequency Data," 2015 (with N.Sizova; in Russian), Quantile 13, 3-14 (link)

"Subsampling High Frequency Data," 2011, Journal of Econometrics 161, 262-283 (pdf)

"Estimating Quadratic Variation in the Presence of Endogenous and Diurnal Microstructure Noise," 2008 (with O. Linton), Journal of Econometrics 147, 47-59 (pdf)

"Discussion of Yacine Ait-Sahalia and Barndorff-Nielsen and Shephard," 2007 (with O. Linton), in Advances in Economics and Econometrics. Theory and Applications, IX World Congress, Econometric Society Monographs, 2007, Vol.3 (link)