Access Statistics for Dobrislav Dobrev

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 0 2 7 155
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 0 2 8 118
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 0 51 1 4 13 113
Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors 0 0 0 21 0 2 11 53
Breaking Down TRACE Volumes Further 0 0 0 4 1 3 8 28
Breaking Down TRACE Volumes Further 0 0 0 8 0 3 10 28
Duration-Based Volatility Estimation 0 0 5 299 1 7 24 704
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 1 1 78 1 4 20 312
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 75 0 2 15 362
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 0 11 24 360
Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models 0 1 1 7 0 3 10 15
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 0 0 0 233 1 5 18 701
Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets 3 5 15 15 8 27 36 36
The Treasury Market Flash Event of February 25, 2021 0 0 0 15 0 6 11 45
The information content of high-frequency data for estimating equity return models and forecasting risk 0 0 0 61 1 3 15 111
The information content of high-frequency data for estimating equity return models and forecasting risk 0 0 1 34 0 1 9 108
Unlocking the Treasury Market through TRACE 0 0 0 18 2 6 11 70
Unlocking the Treasury Market through TRACE 0 0 0 8 2 6 15 51
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 1 1 1 13 2 2 10 34
Total Working Papers 4 8 25 1,080 20 99 275 3,404

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY 0 0 0 14 0 5 9 91
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 5 0 1 4 22
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 0 0 0 3 14
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 2 0 0 1 11
Jump-robust volatility estimation using nearest neighbor truncation 0 1 1 135 2 6 39 595
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 0 1 2 144 0 3 15 526
Total Journal Articles 0 2 3 300 2 15 71 1,259

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Statistics updated 2026-06-04