Citation profile for Ilze Kalnina

Ilze Kalnina : Citation Profile

North Carolina State University

H index

i10 index

131

Citations

RESEARCH PRODUCTION:

Articles

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: 14.    Total self citations: 9 (6.43 %)

MORE DETAILS IN:

EconPapers Author's homepage

ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka336
   Updated: 2024-04-18    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 (5)

LINTON, OLIVER (5)

Xiu, Dacheng (5)

Goncalves, Silvia (4)

Podolskij, Mark (4)

Neely, Christopher (3)

Potiron, Yoann (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 Econometrics	3

Recent works citing Ilze Kalnina (2024 and 2023)

Year	Title of citing document
2023	Statistical 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. Full description at Econpapers \|\| Download paper
2023	Asymptotic Expansions for High-Frequency Option Data. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450. Full description at Econpapers \|\| Download paper
2024	Volatility of Volatility and Leverage Effect from Options. (2023). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2305.04137. Full description at Econpapers \|\| Download paper
2023	Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2023). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488. Full description at Econpapers \|\| Download paper
2023	The 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. Full description at Econpapers \|\| Download paper
2023	. Full description at Econpapers \|\| Download paper
2023	A 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. Full description at Econpapers \|\| Download paper
2023	A 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. Full description at Econpapers \|\| Download paper
2023	Identifying 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. Full description at Econpapers \|\| Download paper
2023	Intraday 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. Full description at Econpapers \|\| Download paper
2023	The 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. Full description at Econpapers \|\| Download paper
2023	High-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. Full description at Econpapers \|\| Download paper

Works by Ilze Kalnina:

Year	Title	Type	Cited
2024	Marginal Effects for Probit and Tobit with Endogeneity In: Papers. [Full Text][Citation analysis]	paper	0
	.() In: . [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0	paper
2006	Estimating Quadratic VariationConsistently in thePresence of Correlated MeasurementError In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis]	paper	0
2007	Inference about Realized Volatility using Infill Subsampling In: STICERD - Econometrics Paper Series. [Full Text][Citation analysis]	paper	6
2007	Inference 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
2008	Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error In: Journal of Econometrics. [Full Text][Citation analysis]	article	58
2011	Subsampling high frequency data In: Journal of Econometrics. [Full Text][Citation analysis]	article	20
2020	High-frequency factor models and regressions In: Journal of Econometrics. [Full Text][Citation analysis]	article	13
2006	Estimating quadratic variation consistently in the presence of correlated measurement error In: LSE Research Online Documents on Economics. [Full Text][Citation analysis]	paper	14
2015	Cross-sectional dependence in idiosyncratic volatility In: Cahiers de recherche. [Full Text][Citation analysis]	paper	1
2015	Cross-sectional Dependence in Idiosyncratic Volatility.(2015) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1	paper
2015	Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche. [Full Text][Citation analysis]	paper	17
2015	Nonparametric 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: 17	paper
2017	Nonparametric 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: 17	article
2015	Inference for nonparametric high-frequency estimators with an application to time variation in betas In: Cahiers de recherche. [Full Text][Citation analysis]	paper	2
2015	Inference 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
2023	Inference 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
2015	Estimation of volatility measures using high frequency data (in Russian) In: Quantile. [Full Text][Citation analysis]	article	0