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 20 1 1 9 119
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 57 2 2 9 157
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 0 51 1 2 15 115
Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors 1 1 1 22 1 1 11 54
Breaking Down TRACE Volumes Further 0 0 0 4 0 0 8 28
Breaking Down TRACE Volumes Further 0 0 0 8 0 0 10 28
Duration-Based Volatility Estimation 0 1 5 300 2 5 28 709
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 75 1 3 16 365
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 78 1 2 22 314
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 1 3 26 363
Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models 0 0 1 7 0 1 9 16
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 2 3 19 704
Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets 0 2 17 17 3 11 47 47
The Treasury Market Flash Event of February 25, 2021 0 0 0 15 0 0 10 45
The information content of high-frequency data for estimating equity return models and forecasting risk 0 0 1 34 0 1 7 109
The information content of high-frequency data for estimating equity return models and forecasting risk 0 0 0 61 1 2 15 113
Unlocking the Treasury Market through TRACE 0 0 0 18 0 0 10 70
Unlocking the Treasury Market through TRACE 0 0 0 8 0 1 13 52
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 0 0 1 13 0 0 10 34
Total Working Papers 1 4 27 1,084 16 38 294 3,442

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 2 10 93
Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 5 0 0 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 0 1 135 3 6 42 601
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 2 145 0 4 17 530
Total Journal Articles 0 1 3 301 3 12 77 1,271

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Statistics updated 2026-09-10