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Dobrev, Dobrislav [Author] ; Nesmith, Travis D. [Other]; Oh, Dong Hwan [Other]

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

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[S.l.]: SSRN, [2017]

Published in: FEDS Working Paper ; No. 2016-065
Dobrev, Dobrislav [Author] ; Szerszen, Pawel [Other]

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

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[S.l.]: SSRN, [2011]

Published in: FEDS Working Paper ; No. 2010-45
Dobrev, Dobrislav [Author] ; Szerszen, Pawel [Other]

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

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[S.l.]: SSRN, [2011]
Andersen, Torben G. [Author] ; Dobrev, Dobrislav [Other]; Schaumburg, Ernst [Other] National Bureau of Economic Research

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

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Cambridge, Mass: National Bureau of Economic Research, June 2011

Published in: NBER working paper series ; no. w17152
Andersen, Torben G. [Author] ; Dobrev, Dobrislav [Other]; Schaumburg, Ernst [Other]

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

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[S.l.]: SSRN, [2011]

Published in: NBER Working Paper ; No. w17152
Andersen, Torben G. [Author] ; Dobrev, Dobrislav [Other]; Schaumburg, Ernst [Other] National Bureau of Economic Research

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

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Cambridge, Mass: National Bureau of Economic Research, November 2009

Published in: NBER working paper series ; no. w15533
Andersen, Torben G. [Author] ; Dobrev, Dobrislav [Other]; Schaumburg, Ernst [Other]

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

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[S.l.]: SSRN, [2010]

Published in: FRB of New York Staff Report ; No. 465
Andersen, Torben G. [Author] ; Dobrev, Dobrislav [Other]; Schaumburg, Ernst [Other]

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

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[S.l.]: SSRN, [2009]

Published in: NBER Working Paper ; No. w15533
Andersen, Torben G. [Author] ; Dobrev, Dobrislav [Other]; Bollerslev, Tim [Other] National Bureau of Economic Research

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

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Cambridge, Mass: National Bureau of Economic Research, March 2007

Published in: NBER working paper series ; no. w12963
Andersen, Torben G. [Author] ; Bollerslev, Tim [Other]; Dobrev, Dobrislav [Other]

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

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[S.l.]: SSRN, [2007]

Published in: NBER Working Paper ; No. w12963
Dobrev, Dobrislav [Author]; Schaumburg, Ernst [Author]

High-frequency cross-market trading : model free measurement and applications - [This version: December 30, 2016]

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London: Centre for Econometric Analysis, Cass Business School, [2017]

Published in: CEA_372Cass working paper series ; 2017,1
Andersen, Torben G. [Author]; Dobrev, Dobrislav [Author]; Schaumburg, Ernst [Author]

A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity

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[S.l.]: SSRN, 2017

Published in: FRB International Finance Discussion Paper ; No. 1078
Andersen, Torben G. [Author]; Dobrev, Dobrislav [Author]; Schaumburg, Ernst [Author]

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

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[S.l.]: SSRN, 2010

Published in: CREATES Research Paper ; No. 2009-52
Andersen, Torben G. [Author]; Dobrev, Dobrislav [Author]; Schaumburg, Ernst [Author]

Jump-robust volatility estimation using nearest neighbor truncation

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New York, NY: Federal Reserve Bank of New York, 2010
Dobrev, Dobrislav [Author]; Nesmith, Travis D. [Author]; Oh, Dong Hwan [Author]

Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors

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March 2017

Published in: Journal of risk and financial management ; 10(2017), 1 vom: März, Seite 1-14
Dobrev, Dobrislav [Author]; Nesmith, Travis D. [Author]; Oh, Dong Hwan [Author]

Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors

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Basel: MDPI, 2017
Dobrev, Dobrislav; Schaumburg, Ernst

Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

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Oxford University Press (OUP), 2017

Published in: Journal of Financial Econometrics, 15 (2017) 3, Seite 388-409
Dobrev, Dobrislav; Schaumburg, Ernst

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

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Oxford University Press (OUP), 2017

Published in: Journal of Financial Econometrics, 15 (2017) 3, Seite 505-506
Dobrev, Dobrislav; Schaumburg, Ernst

Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy

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Oxford University Press (OUP), 2017

Published in: Journal of Financial Econometrics, 15 (2017) 3, Seite 507-507
Dobrev, Dobrislav; Schaumburg, Ernst

Robust Forecasting by Regularization

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Elsevier BV, 2012

Published in: SSRN Electronic Journal (2012)

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