Dobrislav Dobrev

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

10

DOWNLOADS

618

SSRN CITATIONS
Rank 7,764

SSRN RANKINGS

Top 7,764

in Total Papers Citations

104

CROSSREF CITATIONS

66

Scholarly Papers (10)

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 185 (199,760)
Citation 8

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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 77 (381,503)
Citation 4

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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 115 (293,729)
Citation 5

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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 61 (433,361)
Citation 32

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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 Last Revised: 12 Jun 2021
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 27 (597,252)

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3.

No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps and I.I.D. Noise: Theory and Testable Distributional Implications

NBER Working Paper No. w12963
Number of pages: 65 Posted: 21 Mar 2007 Last Revised: 04 Jun 2021
Torben G. Andersen, Tim Bollerslev and Dobrislav Dobrev
Northwestern University - Kellogg School of Management, Duke University - Finance and Board of Governors of the Federal Reserve System
Downloads 73 (388,960)
Citation 4

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4.

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, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 45 (488,959)

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

5.

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

NBER Working Paper No. w17152
Number of pages: 68 Posted: 20 Jun 2011 Last Revised: 15 May 2021
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 24 (600,145)

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6.

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 11 (693,104)
Citation 1

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7.

The Treasury Market Flash Event of February 25, 2021

FEDS Notes No. 2021-05-14
https://doi.org/10.17016/2380-7172.2909
Posted: 25 May 2021 Last Revised: 17 Jun 2021
Alex Aronovich, Dobrislav Dobrev and Andrew Meldrum
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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8.

What Do Quoted Spreads Tell Us About Machine Trading at Times of Market Stress? Evidence from Treasury and FX Markets during the COVID-19-Related Market Turmoil in March 2020

FEDS Notes No. 2020-09-25 https://doi.org/10.17016/2380-7172.2748
Posted: 25 Sep 2020
Dobrislav Dobrev and Andrew Meldrum
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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9.

Breaking Down Trace Volumes Further

FEDS Notes No. 2018-11-29
Posted: 06 Dec 2018 Last Revised: 25 Jun 2020
Nassau Community College, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, affiliation not provided to SSRN, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York

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10.

Unlocking the Treasury Market Through Trace

FEDS Notes No. 2018-09-28-1
Posted: 05 Oct 2018 Last Revised: 02 Oct 2020
Nassau Community College, Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System, Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Federal Reserve Banks - Federal Reserve Bank of New York, Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System, Columbia University, Board of Governors of the Federal Reserve System and Federal Reserve Bank of New York

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