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 0 7 155
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation 0 0 0 20 0 0 8 118
A robust neighborhood truncation approach to estimation of integrated quarticity 0 0 0 51 0 2 14 114
Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors 0 0 0 21 0 0 11 53
Breaking Down TRACE Volumes Further 0 0 0 4 0 1 8 28
Breaking Down TRACE Volumes Further 0 0 0 8 0 0 10 28
Duration-Based Volatility Estimation 1 1 5 300 1 4 26 707
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 0 75 1 2 16 364
Jump-Robust Volatility Estimation using Nearest Neighbor Truncation 0 0 1 78 1 2 21 313
Jump-robust volatility estimation using nearest neighbor truncation 0 0 0 63 0 2 25 362
Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models 0 0 1 7 0 1 10 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 1 2 18 702
Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets 2 5 17 17 2 16 44 44
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 1 1 8 109
The information content of high-frequency data for estimating equity return models and forecasting risk 0 0 0 61 0 2 15 112
Unlocking the Treasury Market through TRACE 0 0 0 18 0 2 10 70
Unlocking the Treasury Market through TRACE 0 0 0 8 0 3 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 1 1 13 0 2 10 34
Total Working Papers 3 7 26 1,083 7 42 284 3,426

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 2 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 2 0 0 1 11
Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy 0 0 0 0 0 0 3 14
Jump-robust volatility estimation using nearest neighbor truncation 0 0 1 135 2 5 40 598
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 1 1 2 145 1 4 17 530
Total Journal Articles 1 1 3 301 5 11 75 1,268

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Statistics updated 2026-08-07