Ilze Kalnina

Contact information:

Department of Economics
Poole College of Management
North Carolina State University
Nelson Hall 4164; Box 8110
Raleigh, NC 27695-8110


Email: ilze_kalnina [at] ncsu [dot] edu
Phone: +1 919 513 2872



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:

"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," 2022, accepted, Journal of Business and Economic Statistics (pdf)

"Cross-Sectional Dependence in Idiosyncratic Volatility," 2022 (with K. Tewou), resubmitted, Journal of Econometrics (pdf)

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

"Improved Estimation by Simulated Maximum Likelihood," 2020 (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)




 

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