Ilze Kalnina

Contact information:

Department of Economics
University College London
Drayton House
30 Gordon Street
London WC1H 0AX

Email: ilze.kalnina.econ [at] gmail [dot] com
Phone: +1 845 459 3870

Curriculum Vitae: pdf

Academic Appointments:

Research Associate, Department of Economics, University College London, 2016 - 2017

Assistant Professor, Department of Economics, Université de Montréal, 2009 - 2016

Research papers:

"Cross-Sectional Dependence in Idiosyncratic Volatility," 2016 (with K. Tewou) (pdf)

"The Idiosyncratic Volatility Puzzle: A Reassessment at High Frequency," 2016 (with Y. At-Sahalia and D. Xiu)

"Time-Varying Risk Premium in the Presence of Spurious Factors," 2016 (with E. M. Pondi-Endengle)

"Nonparametric Estimation of the Leverage Effect: A Trade-off between Robustness and Efficiency," 2015 (with D. Xiu), forthcoming, Journal of the American Statistical Association (pdf)

"Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas," 2015, revise and resubmit, Journal of Business and Economic Statistics (pdf)

"Estimation of Measures of Volatility using High Frequency Data," 2015 (with N.Sizova; in Russian), Quantile 13, 3-14 (link)

"Positive Semi-Definite Adjustment of High-Frequency Data Covariation Matrix Estimates," 2013

"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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