2 papers
econ.EM2024
Cross-sectional Dependence in Idiosyncratic Volatility
Ilze Kalnina, Kokouvi Tewou
This paper introduces an econometric framework for analyzing cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the…
econ.EM2023
Marginal Effects for Probit and Tobit with Endogeneity
Kirill S. Evdokimov, Ilze Kalnina, Andrei Zeleneev
When evaluating partial effects, it is important to distinguish between structural endogeneity and measurement errors. In contrast to linear models, these two sources of endogeneit…