Ilze Kalnina

Kalnina, I. (2022, March 29). Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas. JOURNAL OF BUSINESS & ECONOMIC STATISTICS. https://doi.org/10.1080/07350015.2022.2040520

Kalnina, I., & Xiu, D. (2017). Nonparametric Estimation of the Leverage Effect: A Trade-Off Between Robustness and Efficiency. Journal of the American Statistical Association, 112(517), 384–396. https://doi.org/10.1080/01621459.2016.1141687

Kalnina, I. (2011). Subsampling high frequency data. Journal of Econometrics, 161(2), 262–283. https://doi.org/10.1016/j.jeconom.2010.12.011

Kalnina, I., & Linton, O. (2008). Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error. Journal of Econometrics, 147(1), 47–59. https://doi.org/10.1016/j.jeconom.2008.09.016