Ilze Kalnina : Citation Profile


Are you Ilze Kalnina?

North Carolina State University

4

H index

3

i10 index

92

Citations

RESEARCH PRODUCTION:

4

Articles

10

Papers

RESEARCH ACTIVITY:

   11 years (2006 - 2017). See details.
   Cites by year: 8
   Journals where Ilze Kalnina has often published
   Relations with other researchers
   Recent citing documents: 26.    Total self citations: 8 (8 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka336
   Updated: 2020-02-22    RAS profile: 2019-05-13    
   Missing citations? Add them    Incorrect content? Let us know

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 (15)

Hansen, Peter (11)

Lunde, Asger (11)

Barndorff-Nielsen, Ole (10)

Veliyev, Bezirgen (6)

Goncalves, Silvia (4)

Hautsch, Nikolaus (4)

Podolskij, Mark (4)

Ikeda, Shin (3)

Potiron, Yoann (3)

Christensen, Kim (3)

Cites to:

Shephard, Neil (20)

Bollerslev, Tim (18)

Ait-Sahalia, Yacine (17)

Barndorff-Nielsen, Ole (15)

Andersen, Torben (14)

Hansen, Peter (11)

Lunde, Asger (11)

Diebold, Francis (8)

Christensen, Kim (6)

Podolskij, Mark (6)

LINTON, OLIVER (6)

Main data


Where Ilze Kalnina has published?


Journals with more than one article published# docs
Journal of Econometrics2

Recent works citing Ilze Kalnina (2018 and 2017)


YearTitle of citing document
2017Inference from the futures: ranking the noise cancelling accuracy of realized measures. (2017). Mirone, Giorgio. In: CREATES Research Papers. RePEc:aah:create:2017-24.

Full description at Econpapers || Download paper

2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Podolskij, Mark ; Hounyo, Ulrich ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2017-30.

Full description at Econpapers || Download paper

2018The drift burst hypothesis. (2018). Reno, Roberto ; Oomen, Roel ; Christensen, Kim. In: CREATES Research Papers. RePEc:aah:create:2018-21.

Full description at Econpapers || Download paper

2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

Full description at Econpapers || Download paper

2018Local Parametric Estimation in High Frequency Data. (2018). Potiron, Yoann. In: Papers. RePEc:arx:papers:1603.05700.

Full description at Econpapers || Download paper

2018Efficient asymptotic variance reduction when estimating volatility in high frequency data. (2018). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1701.01185.

Full description at Econpapers || Download paper

2017Realized volatility and parametric estimation of Heston SDEs. (2017). Timofeyev, Ilya ; Ren, Peng ; Azencott, Robert . In: Papers. RePEc:arx:papers:1706.04566.

Full description at Econpapers || Download paper

2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

Full description at Econpapers || Download paper

2017Bootstrapping integrated covariance matrix estimators in noisy jump–diffusion models with non-synchronous trading. (2017). Hounyo, Ulrich. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:130-152.

Full description at Econpapers || Download paper

2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

Full description at Econpapers || Download paper

2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

Full description at Econpapers || Download paper

2017On high frequency estimation of the frictionless price: The use of observed liquidity variables. (2017). Chaker, Selma . In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:127-143.

Full description at Econpapers || Download paper

2018Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity. (2018). Hwang, Eunju ; Shin, Dong Wan. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:2:p:178-195.

Full description at Econpapers || Download paper

2019The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times. (2019). Mykland, Per A ; Chen, Dachuan ; Zhang, Lan. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:101-119.

Full description at Econpapers || Download paper

2019Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data. (2019). Dai, Chaoxing ; Xiu, Dacheng ; Lu, Kun. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:43-79.

Full description at Econpapers || Download paper

2019Estimating the integrated volatility with tick observations. (2019). Jacod, Jean ; Zheng, Xinghua ; Li, Yingying. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:80-100.

Full description at Econpapers || Download paper

2019Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2019). Winkelmann, Lars ; Neely, Christopher ; Bibinger, Markus. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:158-184.

Full description at Econpapers || Download paper

2019Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book. (2019). Potiron, Yoann ; Clinet, Simon. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:289-337.

Full description at Econpapers || Download paper

2019The signal and the noise volatilities. (2019). Chaker, Selma. In: Research in International Business and Finance. RePEc:eee:riibaf:v:50:y:2019:i:c:p:79-105.

Full description at Econpapers || Download paper

2017Estimation of the discontinuous leverage effect: Evidence from the NASDAQ order book. (2017). Neely, Christopher ; Winkelmann, Lars ; Bibinger, Markus. In: Working Papers. RePEc:fip:fedlwp:2017-012.

Full description at Econpapers || Download paper

2019Fixed and Long Time Span Jump Tests: New Monte Carlo and Empirical Evidence. (2019). Swanson, Norman ; Cheng, Mingmian. In: Econometrics. RePEc:gam:jecnmx:v:7:y:2019:i:1:p:13-:d:213518.

Full description at Econpapers || Download paper

2017Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise. (2017). Goncalves, Silvia ; Meddahi, Nour ; Hounyo, Ulrich. In: IDEI Working Papers. RePEc:ide:wpaper:31734.

Full description at Econpapers || Download paper

2019Nonparametric Gaussian inference for stable processes. (2019). Steland, Ansgar ; Mies, Fabian . In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:22:y:2019:i:3:d:10.1007_s11203-018-9193-9.

Full description at Econpapers || Download paper

2017Determining the integrated volatility via limit order books with multiple records. (2017). Liu, Yiqi ; Ding, Deng. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1697-1714.

Full description at Econpapers || Download paper

2017Bootstrapping Pre-Averaged Realized Volatility under Market Microstructure Noise. (2017). Goncalves, Silvia ; Meddahi, Nour ; Hounyo, Ulrich. In: TSE Working Papers. RePEc:tse:wpaper:31733.

Full description at Econpapers || Download paper

2017Volatility, information feedback and market microstructure noise: A tale of two regimes. (2017). Hautsch, Nikolaus ; Andersen, Torben ; Cebiroglu, Gokhan . In: CFS Working Paper Series. RePEc:zbw:cfswop:569.

Full description at Econpapers || Download paper

Works by Ilze Kalnina:


YearTitleTypeCited
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 another 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]
article48
2011Subsampling high frequency data 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]
paper17
2015Cross-sectional dependence in idiosyncratic volatility In: Cahiers de recherche.
[Full Text][Citation analysis]
paper0
2015Cross-sectional Dependence in Idiosyncratic Volatility.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
[Full Text][Citation analysis]
paper3
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 another version. Agregated cites: 3
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 another version. Agregated cites: 3
article
2015Inference for nonparametric high-frequency estimators with an application to time variation in betas In: Cahiers de recherche.
[Full Text][Citation analysis]
paper1
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 another version. Agregated cites: 1
paper
2015Estimation of volatility measures using high frequency data (in Russian) In: Quantile.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 4 2020. Contact: CitEc Team