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Dobrislav Dobrev

Personal Details

First Name:Dobrislav
Middle Name:
Last Name:Dobrev
Suffix:
RePEc Short-ID:pdo650
[This author has chosen not to make the email address public]
https://www.federalreserve.gov/econres/dobrislav-dobrev.htm

Affiliation

(75%) Federal Reserve Board (Board of Governors of the Federal Reserve System)

Washington, District of Columbia (United States)
http://www.federalreserve.gov/
RePEc:edi:frbgvus (more details at EDIRC)

(25%) H.O. Stekler Research Program on Forecasting
Center for Economic Research
Department of Economics
George Washington University

Washington, District of Columbia (United States)
https://cer.columbian.gwu.edu/ho-stekler-research-program-forecasting
RePEc:edi:pfgwuus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Dobrislav Dobrev & Pawel J. Szerszen, 2025. "Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models," Finance and Economics Discussion Series 2025-001, Board of Governors of the Federal Reserve System (U.S.).
  2. Dobrislav Dobrev & Joon Kim & Edith X. Liu & Marius del Giudice Rodriguez, 2025. "Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets," FEDS Notes 2025-11-03, Board of Governors of the Federal Reserve System (U.S.).
  3. Alex Aronovich & Dobrislav Dobrev & Andrew C. Meldrum, 2021. "The Treasury Market Flash Event of February 25, 2021," FEDS Notes 2021-05-14, Board of Governors of the Federal Reserve System (U.S.).
  4. Dobrislav Dobrev & Andrew C. Meldrum, 2020. "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 2020-09-25, Board of Governors of the Federal Reserve System (U.S.).
  5. Doug Brain & Michiel De Pooter & Dobrislav Dobrev & Michael J. Fleming & Peter Johansson & Collin Jones & Frank M. Keane & Michael Puglia & Liza Reiderman & Tony Rodrigues & Or Shachar, 2018. "Unlocking the Treasury Market through TRACE," FEDS Notes 2018-09-28-1, Board of Governors of the Federal Reserve System (U.S.).
  6. Doug Brain & Michiel De Pooter & Dobrislav Dobrev & Michael J. Fleming & Peter Johansson & Frank M. Keane & Michael Puglia & Tony Rodrigues & Or Shachar, 2018. "Breaking Down TRACE Volumes Further," FEDS Notes 2018-11-29, Board of Governors of the Federal Reserve System (U.S.).
  7. Dobrislav Dobrev & Travis D. Nesmith & Dong Hwan Oh, 2016. "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065, Board of Governors of the Federal Reserve System (U.S.).
  8. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2013. "A robust neighborhood truncation approach to estimation of integrated quarticity," International Finance Discussion Papers 1078, Board of Governors of the Federal Reserve System (U.S.).
  9. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2011. "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," CREATES Research Papers 2011-23, Department of Economics and Business Economics, Aarhus University.
  10. Dobrislav Dobrev & Pawel J. Szerszen, 2010. "The information content of high-frequency data for estimating equity return models and forecasting risk," International Finance Discussion Papers 1005, Board of Governors of the Federal Reserve System (U.S.).
  11. Dobrislav Dobrev & Pawel J. Szerszen, 2010. "The information content of high-frequency data for estimating equity return models and forecasting risk," Finance and Economics Discussion Series 2010-45, Board of Governors of the Federal Reserve System (U.S.).
  12. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," CREATES Research Papers 2009-52, Department of Economics and Business Economics, Aarhus University.
  13. Torben G. Andersen & Dobrislav Dobrev & Ernst Schaumburg, 2009. "Duration-Based Volatility Estimation," Global COE Hi-Stat Discussion Paper Series gd08-034, Institute of Economic Research, Hitotsubashi University.
  14. Torben G. Andersen & Tim Bollerslev & Dobrislav Dobrev, 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," NBER Working Papers 12963, National Bureau of Economic Research, Inc.

Articles

  1. Dobrislav Dobrev & Ernst Schaumburg, 2017. "Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 505-506.
  2. Dobrislav Dobrev & Ernst Schaumburg, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 388-409.
  3. Dobrislav Dobrev & Ernst Schaumburg, 2017. "Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 507-507.
  4. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2014. "A Robust Neighborhood Truncation Approach To Estimation Of Integrated Quarticity," Econometric Theory, Cambridge University Press, vol. 30(1), pages 3-59, February.
  5. Andersen, Torben G. & Dobrev, Dobrislav & Schaumburg, Ernst, 2012. "Jump-robust volatility estimation using nearest neighbor truncation," Journal of Econometrics, Elsevier, vol. 169(1), pages 75-93.
  6. Andersen, Torben G. & Bollerslev, Tim & Dobrev, Dobrislav, 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, Elsevier, vol. 138(1), pages 125-180, May.

More information

Research fields, statistics, top rankings, if available.

Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MST: Market Microstructure (11) 2007-03-24 2009-03-07 2009-11-27 2009-12-05 2010-09-03 2010-09-25 2010-10-30 2013-04-13 2020-10-05 2021-05-31 2026-01-12. Author is listed
  2. NEP-ECM: Econometrics (9) 2007-03-24 2009-03-07 2009-11-27 2009-12-05 2010-09-03 2010-09-25 2011-06-25 2013-04-13 2025-01-27. Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2007-03-24 2009-03-07 2009-11-27 2009-12-05 2010-09-03 2011-06-25 2025-01-27. Author is listed
  4. NEP-RMG: Risk Management (3) 2010-09-25 2010-10-30 2016-08-21
  5. NEP-CBA: Central Banking (2) 2010-09-25 2020-02-10
  6. NEP-FMK: Financial Markets (2) 2009-03-07 2021-05-31
  7. NEP-FOR: Forecasting (2) 2010-09-25 2010-10-30

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