Ilze Kalnina : Citation Profile

North Carolina State University

6

H index

5

i10 index

153

Citations

RESEARCH PRODUCTION:

7

Articles

15

Papers

RESEARCH ACTIVITY:

   19 years (2006 - 2025). See details.
   Cites by year: 8
   Journals where Ilze Kalnina has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 10 (6.13 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pka336
   Updated: 2026-01-10    RAS profile: 2025-10-10    
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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)

Lunde, Asger (8)

Hansen, Peter (8)

Hautsch, Nikolaus (6)

Veliyev, Bezirgen (6)

LINTON, OLIVER (5)

Xiu, Dacheng (5)

Goncalves, Silvia (4)

Podolskij, Mark (4)

Ikeda, Shin (3)

Christensen, Kim (3)

Cites to:

Bollerslev, Tim (32)

Shephard, Neil (29)

Andersen, Torben (25)

Hansen, Peter (19)

Ait-Sahalia, Yacine (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 Econometrics4

Working Papers Series with more than one paper published# docs
CeMMAP working papers / Institute for Fiscal Studies3
Papers / arXiv.org2

Recent works citing Ilze Kalnina (2025 and 2024)

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

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2025Asymptotic Expansions for High-Frequency Option Data. (2025). Todorov, Viktor ; Chong, Carsten H. In: Papers. RePEc:arx:papers:2304.12450.

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2024Volatility of Volatility and Leverage Effect from Options. (2024). 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. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2025Jump detection in high-frequency order prices. (2024). Hautsch, Nikolaus ; Bibinger, Markus ; Ristig, Alexander. In: Papers. RePEc:arx:papers:2403.00819.

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2025An Efficient Multi-scale Leverage Effect Estimator under Dependent Microstructure Noise. (2025). Xiong, Ziyang ; Chen, Zhao ; Wang, Christina Dan. In: Papers. RePEc:arx:papers:2505.08654.

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2025On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944.

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2024Optimal nonparametric range-based volatility estimation. (2024). Bollerslev, Tim ; Li, Qiyuan. 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). Mykland, Per A ; Zhang, Lan ; 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). Cui, Wenhao ; Hu, Jie ; Wang, Jiandong. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000368.

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2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

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2025High frequency factor analysis with partially observable factors. (2025). Lu, Wenqi ; Chen, Dachuan ; Xie, Siyu. In: Journal of Econometrics. RePEc:eee:econom:v:251:y:2025:i:c:s0304407625001125.

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2025Identifying the underlying components of high-frequency data: Pure vs jump diffusion processes. (2025). Urga, Giovanni ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000167.

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2025Investing in the batteries and vehicles of the future: A view through the stock market. (2025). Plante, Michael. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325000398.

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2024Investing in the Batteries and Vehicles of the Future: A View Through the Stock Market. (2024). Plante, Michael. In: Working Papers. RePEc:fip:feddwp:96951.

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2024Autoregressive conditional betas. (2024). Francq, Christian ; Blasques, F ; Laurent, Sebastien. In: Post-Print. RePEc:hal:journl:hal-04676069.

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2024High-Dimensional Time-Varying Coefficient Estimation. (2024). Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202416.

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2024Robust High-Dimensional Time-Varying Coefficient Estimation. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202417.

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2024Nonconvex High-Dimensional Time-Varying Coefficient Estimation for Noisy High-Frequency Observations with a Factor Structure. (2024). Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202418.

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2024Adaptive Robust Large Volatility Matrix Estimation Based on High-Frequency Financial Data. (2024). Fan, Jianqing ; Shin, Minseok ; Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202419.

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2024Robust Realized Integrated Beta Estimator with Application to Dynamic Analysis of Integrated Beta. (2024). Oh, Minseog ; Kim, Donggyu ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202422.

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Works by Ilze Kalnina:

YearTitleTypeCited
2025Marginal Effects for Probit and Tobit with Endogeneity In: Papers.
[Full Text][Citation analysis]		paper0
2025Marginal effects for probit and tobit with endogeneity.(2025) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2024Marginal effects for probit and tobit with endogeneity.(2024) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2023Marginal effects for probit and tobit with endogeneity.(2023) In: CeMMAP working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2025Cross-sectional Dependence in Idiosyncratic Volatility In: Papers.
[Full Text][Citation analysis]		paper1
2025Cross-sectional dependence in idiosyncratic volatility.(2025) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		article
2015Cross-sectional dependence in idiosyncratic volatility.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2015Cross-sectional Dependence in Idiosyncratic Volatility.(2015) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		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]		article21
2020High-frequency factor models and regressions In: Journal of Econometrics.
[Full Text][Citation analysis]		article26
2006Estimating quadratic variation consistently in the presence of correlated measurement error In: LSE Research Online Documents on Economics.
[Full Text][Citation analysis]		paper14
2015Nonparametric estimation of the leverage effect: a trade-off between robustness and efficiency In: Cahiers de recherche.
[Full Text][Citation analysis]		paper21
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: 21		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: 21		article
2015Inference for nonparametric high-frequency estimators with an application to time variation in betas In: Cahiers de recherche.
[Full Text][Citation analysis]		paper3
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: 3		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: 3		article
2015Estimation of volatility measures using high frequency data (in Russian) In: Quantile.
[Full Text][Citation analysis]		article0

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