Dobrislav Dobrev, Ph.D. - Publications
Affiliations: | 2007 | Northwestern University, Evanston, IL |
Area:
FinanceYear | Citation | Score | |||
---|---|---|---|---|---|
2017 | Dobrev D, Schaumburg E. Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy Journal of Financial Econometrics. 15: 388-409. DOI: 10.1093/Jjfinec/Nbx003 | 0.328 | |||
2016 | Dobrev D, Nesmith TD, Oh DH. Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors Social Science Research Network. 2016: 1-8. DOI: 10.17016/Feds.2016.065R1 | 0.327 | |||
2014 | Andersen TG, Dobrev D, Schaumburg E. A robust neighborhood truncation approach to estimation of integrated quarticity Econometric Theory. 30: 3-59. DOI: 10.17016/Ifdp.2012.1078 | 0.569 | |||
2012 | Andersen TG, Dobrev D, Schaumburg E. Jump-robust volatility estimation using nearest neighbor truncation Journal of Econometrics. 169: 75-93. DOI: 10.1016/J.Jeconom.2012.01.011 | 0.567 | |||
2010 | Dobrev D, Szerszen PJ. The information content of high-frequency data for estimating equity return models and forecasting risk Social Science Research Network. 2010: 1-42. DOI: 10.2139/Ssrn.1895533 | 0.349 | |||
2007 | Andersen TG, Bollerslev T, Dobrev D. 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 Journal of Econometrics. 138: 125-180. DOI: 10.1016/J.Jeconom.2006.05.018 | 0.553 | |||
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