Ilze Kalnina
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Contact information: Department of Economics |
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Curriculum Vitae: pdf
Academic Appointments:
Assistant Professor, Department of Economics, North Carolina State University, 2017 - present
Research Associate, Department of Economics, University College London, 2016 - 2017
Assistant Professor, Department of Economics, Université de Montréal, 2009 - 2016
Research papers:
"High-Frequency Factor Models and Regressions," 2019 (with Y. Aït-Sahalia and D. Xiu), Journal of Econometrics 216, 86-105 (pdf), High-Frequency Fama-French and Momentum Factors
"Cross-Sectional Dependence in Idiosyncratic Volatility," 2019 (with K. Tewou), revise and resubmit, Journal of Econometrics (pdf)
"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," 2019, revise and resubmit, Journal of Business and Economic Statistics (pdf)
"Improved Estimation by Simulated Maximum Likelihood," 2017 (with K. Evdokimov)
"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)