Dobrislav Dobrev - Central Bank Research Hub

Papers by year: All | 2016 | 2013 | 2010

Title Other author(s)

Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2016-065, 05.07.2016)

JEL: C46, G11

A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1078, 10.04.2013)

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Board of Governors of the Federal Reserve System International Financial Discussion Papers [View] (Paper: 1005, 23.10.2010)

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Board of Governors of the Federal Reserve System FEDS series [View] (Paper: 2010-45, 08.09.2010)

JEL: C11, C13, C14, C15, C22, C53, C80, G17

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

New York Fed Staff reports [View] (Paper: 465, 05.08.2010)

JEL: C14, C15, C22, C80, G10

Papers by year: All | 2016 | 2013 | 2010