Ilze Kalnina : Citation Profile

Are you Ilze Kalnina?

North Carolina State University

6

H index

5

i10 index

140

Citations

RESEARCH PRODUCTION:

6

Articles

12

Papers

RESEARCH ACTIVITY:

   18 years (2006 - 2024). See details.
   Cites by year: 7
   Journals where Ilze Kalnina has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 9 (6.04 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka336
   Updated: 2024-11-08    RAS profile: 2024-03-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Ilze Kalnina.

Is cited by:

Shephard, Neil (12)

Hansen, Peter (8)

Lunde, Asger (8)

Veliyev, Bezirgen (6)

Hautsch, Nikolaus (6)

LINTON, OLIVER (5)

Xiu, Dacheng (5)

Podolskij, Mark (4)

Goncalves, Silvia (4)

Malec, Peter (3)

Christensen, Kim (3)

Cites to:

Bollerslev, Tim (31)

Shephard, Neil (30)

Andersen, Torben (25)

Ait-Sahalia, Yacine (20)

Hansen, Peter (19)

Newey, Whitney (19)

Lunde, Asger (18)

Blundell, Richard (17)

Diebold, Francis (15)

Christensen, Kim (10)

Podolskij, Mark (9)

Main data

Where Ilze Kalnina has published?

Journals with more than one article published# docs
Journal of Econometrics3

Recent works citing Ilze Kalnina (2024 and 2023)

YearTitle of citing document
2024Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

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2023Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Jump detection in high-frequency order prices. (2024). Ristig, Alexander ; Hautsch, Nikolaus ; Bibinger, Markus. In: Papers. RePEc:arx:papers:2403.00819.

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2023The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul. (2023). Alshiqi, Sevdie ; Demirel, Bilge Leyli ; Dogan, Mesut ; Altinay, Aysenur Tarakcioglu. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:4:p:3-21.

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2023.

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2023A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023A simple joint model for returns, volatility and volatility of volatility. (2023). Ding, Yashuang. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:521-543.

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2023Identifying latent factors based on high-frequency data. (2023). Zhang, Chuanhai ; Xu, Wen ; Sun, Yucheng. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:251-270.

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2023Intraday cross-sectional distributions of systematic risk. (2023). Andersen, Torben ; Todorov, Viktor ; Thyrsgaard, Martin ; Riva, Raul. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1394-1418.

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2023Adaptive robust large volatility matrix estimation based on high-frequency financial data. (2023). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002300.

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2023Uniform predictive inference for factor models with instrumental and idiosyncratic betas. (2023). Yang, Xiye ; Liao, Yuan ; Cheng, Mingmian. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002123.

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2024Optimal nonparametric range-based volatility estimation. (2024). Li, Qiyuan ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:1:s0304407623002646.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Realized regression with asynchronous and noisy high frequency and high dimensional data. (2024). Zhang, Lan ; Mykland, Per A ; Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s030440762300132x.

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2024Volatility of volatility and leverage effect from options. (2024). Todorov, Viktor ; Chong, Carsten H. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000150.

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2024Nonparametric estimation for high-frequency data incorporating trading information. (2024). Wang, Jiandong ; Hu, Jie ; Cui, Wenhao. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023The jump leverage risk premium. (2023). Todorov, Viktor ; Bollerslev, Tim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:3:s0304405x23001630.

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2023High-dimensional estimation of quadratic variation based on penalized realized variance. (2023). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09282-8.

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Works by Ilze Kalnina:

YearTitleTypeCited
2024Marginal Effects for Probit and Tobit with Endogeneity In: Papers.
[Full Text][Citation analysis]		paper0
.() In: .
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This paper has nother version. Agregated cites: 0		paper
2006Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper0
2007Inference about Realized Volatility using Infill Subsampling In: STICERD - Econometrics Paper Series.
[Full Text][Citation analysis]		paper6
2007Inference about realized volatility using infill subsampling.(2007) In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2008Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error In: Journal of Econometrics.
[Full Text][Citation analysis]		article61
2011Subsampling high frequency data In: Journal of Econometrics.
[Full Text][Citation analysis]		article20
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article17
2006Estimating quadratic variation consistently in the presence of correlated measurement error In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper14
2015Cross-sectional dependence in idiosyncratic volatility In: Cahiers de recherche.
[Full Text][Citation analysis]		paper1
2015Cross-sectional Dependence in Idiosyncratic Volatility.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
[Full Text][Citation analysis]		paper19
2015Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2017Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency.(2017) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		article
2015Inference for nonparametric high-frequency estimators with an application to time variation in betas In: Cahiers de recherche.
[Full Text][Citation analysis]		paper2
2015Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2023Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas.(2023) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2015Estimation of volatility measures using high frequency data (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0

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