Dobrislav Dobrev

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

6

DOWNLOADS

480

CITATIONS
Rank 7,318

SSRN RANKINGS

Top 7,318

in Total Papers Citations

65

Scholarly Papers (6)

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

FEDS Working Paper No. 2010-45
Number of pages: 48 Posted: 27 Jul 2011
Dobrislav Dobrev and Pawel Szerszen
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 155 (157,148)
Citation 2

Abstract:

Equity return models, parameter uncertainty, Bayesian estimation, high-frequency data, jump-robust volatility measures, value at risk, forecasting

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Number of pages: 43 Posted: 24 Mar 2011
Dobrislav Dobrev and Pawel Szerszen
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 69 (279,912)
Citation 2

Abstract:

Equity return models, Parameter uncertainty, Bayesian estimation, MCMC, High-frequency data, Jump-robust volatility measures, Value at Risk, Forecasting

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

FRB of New York Staff Report No. 465
Number of pages: 37 Posted: 05 Aug 2010
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 86 (245,049)
Citation 25

Abstract:

Integrated Volatility, Jump Robust

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

CREATES Research Paper No. 2009-52
Number of pages: 38 Posted: 18 Nov 2009
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 49 (333,244)
Citation 25

Abstract:

High-frequency data, Integrated variance, Finite activity jumps, Realized volatility, Jump robustness, Nearest neighbor truncation

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

NBER Working Paper No. w15533
Number of pages: 37 Posted: 24 Nov 2009
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 17 (473,902)
Citation 25

Abstract:

3.
Downloads 56 (297,678)
Citation 36

Abstract:

4.

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

NBER Working Paper No. w17152
Number of pages: 68 Posted: 20 Jun 2011
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 11 (456,864)
Citation 2

Abstract:

5.

A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity

FRB International Finance Discussion Paper No. 1078
Number of pages: 52 Posted: 30 May 2017
Torben G. Andersen, Dobrislav Dobrev and Ernst Schaumburg
Northwestern University - Kellogg School of Management, Board of Governors of the Federal Reserve System and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 0 (540,193)

Abstract:

6.

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

FEDS Working Paper No. 2016-065
Number of pages: 17 Posted: 15 Aug 2016
Dobrislav Dobrev, Travis D. Nesmith and Dong Hwan Oh
Board of Governors of the Federal Reserve System, Federal Reserve Board and Federal Reserve Board
Downloads 0 (410,995)

Abstract:

Expected shortfall, Elliptical distributions, Multivariate Student t distribution, Accurate closed-form expression