Dobrislav Dobrev

Latest Institution: Federal Reserve Board of Governors

All Institutions: Federal Reserve Board of Governors; NA

Causal Claims Network Graph

Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.

Based on the Following Papers:

No-Arbitrage Semimartingale Restrictions for Continuous-Time Volatility Models Subject to Leverage Effects, Jumps, and IID Noise: Theory and Testable Distributional Implications

Year: 2007
Journal: Journal of Econometrics
Authors: Torben G. Andersen; Tim Bollerslev; Dobrislav Dobrev

Jump-Robust Volatility Estimation Using Nearest Neighbor Truncation

Year: 2009
Journal: Journal of Econometrics
Authors: Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg

A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

Year: 2011
Journal: Econometric Theory
Authors: Torben G. Andersen; Dobrislav Dobrev; Ernst Schaumburg

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