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Dobrislav Dobrev, Ph.D. - Publications

Affiliations: 
2007 Northwestern University, Evanston, IL 
Area:
Finance
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6 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year 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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