Dobrislav Dobrev, Ph.D.
Affiliations: | 2007 | Northwestern University, Evanston, IL |
Area:
FinanceGoogle:
"Dobrislav Dobrev"Parents
Sign in to add mentor| Torben G. Andersen | grad student | 2007 | Northwestern | |
| (High frequency returns and volatility in financial markets: Generalized range theory and conditional moment tests of no -arbitrage semi -martingale restrictions.) | ||||
BETA: Related publications
See more...
Publications
|
You can help our author matching system! If you notice any publications incorrectly attributed to this author, please sign in and mark matches as correct or incorrect. |
| Dobrev D, Schaumburg E. (2017) Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy Journal of Financial Econometrics. 15: 388-409 |
| Dobrev D, Nesmith TD, Oh DH. (2016) Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors Social Science Research Network. 2016: 1-8 |
| Andersen TG, Dobrev D, Schaumburg E. (2014) A robust neighborhood truncation approach to estimation of integrated quarticity Econometric Theory. 30: 3-59 |
| Andersen TG, Dobrev D, Schaumburg E. (2012) Jump-robust volatility estimation using nearest neighbor truncation Journal of Econometrics. 169: 75-93 |
| Dobrev D, Szerszen PJ. (2010) The information content of high-frequency data for estimating equity return models and forecasting risk Social Science Research Network. 2010: 1-42 |
| Andersen TG, Bollerslev T, Dobrev D. (2007) 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 |