Ilze Kalnina

Assistant Professor of Economics

Department of Economics
Poole College of Management
North Carolina State University

Nelson Hall 4164; Box 8110
Raleigh, NC 27695-8110

Email: ikalnin [at] ncsu [dot] edu

Curriculum Vitae: pdf


Research papers:

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

"Marginal Effects for Probit and Tobit with Endogeneity," 2024 (with K. Evdokimov and A. Zeleneev), accepted subject to minor revisions, Econometrics Journal (pdf)

"Identification of Models with Endogeneity and Errors-in-Variables," 2024 (with K. Evdokimov and A. Zeleneev)

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

"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)