Yale faculty play leading editorial roles in the major econometrics journals. Jul 31, 2007 advances in economics and econometrics 3 volume hardback set by richard blundell, 9780521871556, available at book depository with free delivery worldwide. Ilze kalnina, essays in financial econometrics2009, montreal university. Statistics and economics, enseaabidjan, ivory coast 2003. Ilze kalnina and dacheng xiu north carolina state university department of economics and university of chicago booth school of business downloads 194 184,588. We also benefited from discussions with yacine aitsahalia, andrea buraschi, bjorn eraker, peter carr, peter christoffersen, fousseni chabiyo, george constantinides, jianqing fan, rene garcia, kris jacobs, jakub jurek, ilze kalnina, ralph koijen, nicholas polson, eric renault, jeffrey. Ilze kalnina, estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error oct. Silvia goncalves chair and ilze kalnina cochair education 20. The cowles foundation funds a regular influx of short term and long term academic visitors, postdocs, and doctoral students from other institutes, who contribute to the research atmosphere in econometrics and provide an additional intellectual resource for our own graduate students. Hansen and ilze kalnina and toru kitagawa and dennis kristensen and william mccausl and bent nielsen and joon y. C, urgent and transformative actions in urban mobility are required.
Kalnina received a doctorate degree in economics from the london school of economics. Cambridge core mathematical modeling and methods advances in economics and. We would like to thank peter buhlmann and nour meddahi for helpful comments, as well as seminar participants at oberwolfach march 19. As a subdomain of the smartcity concept, smartmobilitysolutions integration at the municipal level is thought to have environmental. Kalnina and xiu 20 discuss estimation of the leverage e ect measured by the integrated correlation with an additional volatility instrument. Oliver bruce linton repec genealogy, econpapers, ideas students. Volatility models, with robert kimmel, journal of financial economics, 2007, 83, 4452.
Book bag for every baby born in finland right for the bedtime story. Timevarying risk premia with intermittently useless factors. Economics ms economics without track specifications. Department of economics, poole college of management, north carolina state university, more information at edirc access statistics for papers by ilze kalnina. We consider a nonparametric time series regression model. Founded in 1920, the nber is a private, nonprofit, nonpartisan organization dedicated to conducting economic research and to disseminating. Institute for global health, university college london, gower street, london, wc1e 6bt, england. In order to achieve the paris goal of decreasing the global average temperature by 2. Citeseerx document details isaac councill, lee giles, pradeep teregowda. Kalnina works on nonparametric estimation and inference for volatility with high frequency data. The subsampling method of politis and romano 1994 has been shown to be useful in many.
London school of economics and political science united kingdom, 2009. Perelman center for political science and economics 3 south 36th street suite 150 philadelphia, pa 19104. Claim your citation index profile in order to display more information about you and gain access to libraries services. We are grateful to the editor oliver linton and two anonymous referees for many insightful comments. High frequency financial econometrics, with jean jacod, princeton. The easiest route to som from the blake hotel is to go southeast on george street and turn left on temple st. Jump regressions li 2017 econometrica wiley online. Mar 31, 2004 simon clinet, yoann potiron, testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book, journal of econometrics, 10. This paper introduces a framework for analysis of crosssectional dependence in the idiosyncratic volatilities of assets using high frequency data. Ilze kalnina assistant professor north carolina state.
Sustainability free fulltext smartmobility services. Who universal health coverage provisions for women. View ilze kalnina s profile on linkedin, the worlds largest professional community. Scott murdock, convergence properties of the likelihood of computed. Pooles newest faculty poole 25 nc state university. Inference about realized volatility using inll subsampling. Ilze kalnina department of economics, university of montreal. Ilze kalnina stevanovich center for financial mathematics. Dacheng xiu and jia li, generalized methods of integrated moments for highfrequency data, working paper, february 20. Economics mr economics degree requirements students may select between two of the following degree tracks. Yacine aitsahalia, ilze kalnina, dacheng xiu, highfrequency factor models and regressions, journal of econometrics, 10. See the complete profile on linkedin and discover ilze s connections and jobs at similar companies. Please make sure this is accurate, or your entire rating may be removed. The conference will be held at the yale school of management som, evans hall located at 165 whitney ave and is about a 20 minute walk from the blake hotel.
Highfrequency factor models and regressions ideasrepec. Kalnina received a doctorate degree in economics from the london. Our framework allows precise estimation of betas without. Ilze kalnina volatility is a measure of risk, and as such it is crucial for finance. Principal component analysis of high frequency data. Yacine aitsahalias research page princeton university. Using highfrequency data to estimate the daily return density monday, october 24, 2016 12. Li, todorov, and tauchen 20 discuss inference theory for volatility functional dependencies. Wharton conference on liquidity and financial crises friday, october 14, 2016 8. Porter and neil shephard and xiaoxiao shi, title a nonparametric test for stationarity in continuoustime markov processes, year 2011. Econometrics lunches, 200708 201112 department of economics. Ilze kalnina, phd focus on econometrics and researches nonparametric estimation and inference for volatility with high frequency data.
Highfrequency factor models and regressions, with yacine aitsahalia and ilze kalnina, journal of econometrics 216 2020. Book of abstracts 4th baltic sea conference on literacy. We first consider the estimation of standard measures of dependence in the idiosyncratic volatilities such as covariances and correlations. Xavier ragot paris school of economics 2262014 2 282014. A graduatelevel textbook about econometric and statistical methods to. Citeseerx a nonparametric test for stationarity in. Jiti gao, estimation in continuoustime financial models oct.
She then worked as an assistant professor at the university of montreal before joining the poole college of management, north carolina university. Dacheng xiu and ilze kalnina, nonparametric estimation of the leverage effect using information from derivatives markets, working paper, may 2014. Crosssectional dependence in idiosyncratic volatility. Statistics, eneamcotonou, benin visiting student summer 2010. Highfrequency factor models and regressions, with ilze kalnina and.
Highfrequency factor models and regressions by yacine ait. Conference initiatives towards political, economic and social development of. The journal econometric theory has been hosted at yale since its establishment in. Improved estimation by simulated maximum likelihood with ilze kalnina efficient estimation with a finite number of simulation draws per observation slides diagnostics for exclusion restrictions in instrumental variables estimation with david lee.
Highfrequency factor models and regressions princeton. Improved estimation by simulated maximum likelihood with ilze kalnina efficient estimation with a finite number of simulation draws per observation diagnostics for exclusion restrictions in instrumental variables estimation with david lee. Ilze kalninay and oliver lintonz the london school of economics august 31, 2007 abstract we investigate the use of subsampling for conducting inference about the quadratic variation of a discretely observed di. Joe journal of econometrics annals issue in honor of. Econometrics cowles foundation for research in economics. Ilze kalnina got the terminal degree from economics department, london school of economics lse, london, united kingdom in 2009. Applied micro theory workshop 20062010 economic theory workshop 20052010 international economics workshop. View ilze ledskalninas profile on linkedin, the worlds largest professional community. Es esmu izaugsmes konsultants jeb cilveks, kas merktiecigi ir lidzas tavas patiesas identitates attistiba. But volatility is not observable, which is why estimation and inference for it are important. Ilze kalnina and oliver linton the london school of economics april 8, 2007 abstract we investigate the use of subsampling for conducting inference about quadratic variation of a discretely observed di. Ilze kalnina graduated with a phd in economics from the london school of economics in 2009. Xius work has appeared in econometrica, journal of political economy.
See the complete profile on linkedin and discover ilze. Affiliations north carolina state university poole college of management department of economics. Visitors program speakers economics department duke economics. A celebration of peter phillips forty years at yale cowles. Department of economics poole college of management north carolina state university nelson hall 4164. Crossref xiye yang, semiparametric estimation in continuoustime. The papers summarise and interpret key developments, and they discuss future directions for a wide variety of topics in economics and econometrics. A celebration of peter phillips forty years at yale. This is the third book of three volumes containing edited versions of papers and a commentary presented at the ninth world congress of the econometric society, held in london in august 2005. Prior to joining nc state, kalnina was an assistant professor at the university of montreal. How hft is changing what we know about the market chicago. Sustainability free fulltext smartmobility services for.
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