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Dobrev, Dobrislav's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
327 |
Total
Citations
62 |
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1.
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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
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Dobrev, Dobrislav
Federal Reserve Board Szerszen, Pawel
Federal Reserve Board
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Posted:
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24 Mar 11
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Last Revised:
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27 Jul 11
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162
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2
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Dobrev, Dobrislav
Federal Reserve Board Szerszen, Pawel
Federal Reserve Board
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107
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2
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Equity return models, parameter uncertainty, Bayesian estimation, high-frequency data, jump-robust volatility measures, value at risk, forecasting
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Dobrev, Dobrislav
Federal Reserve Board Szerszen, Pawel
Federal Reserve Board
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55
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2
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Equity return models, Parameter uncertainty, Bayesian estimation, MCMC, High-frequency data, Jump-robust volatility measures, Value at Risk, Forecasting
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2.
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Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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Posted:
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18 Nov 09
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Last Revised:
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05 Aug 10
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120
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22
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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60
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22
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Integrated Volatility, Jump Robust
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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15
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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45
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22
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High-frequency data, Integrated variance, Finite activity jumps, Realized volatility, Jump robustness, Nearest neighbor truncation
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3.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Bollerslev, Tim
Duke University - Finance Dobrev, Dobrislav
Federal Reserve Board
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40
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38
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4.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Dobrev, Dobrislav
Federal Reserve Board Schaumburg, Ernst
Federal Reserve Banks - Federal Reserve Bank of New York
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