Accurate evaluation of expected shortfall for linear portfolios with elliptically distributed risk factors von Dobrev, Dobrislav, Nesmith, Travis D, Oh, Dong Hwan

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Jump-robust volatility estimation using nearest neighbor truncation von Andersen, Torben G., Dobrev, Dobrislav, Schaumburg, Ernst

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Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy von Dobrev, Dobrislav, Schaumburg, Ernst

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Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy von Dobrev, Dobrislav, Schaumburg, Ernst

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Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy von Dobrev, Dobrislav, Schaumburg, Ernst

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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 von Andersen, Torben G., Bollerslev, Tim, Dobrev, Dobrislav

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A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY von Andersen, Torben G., Dobrev, Dobrislav, Schaumburg, Ernst

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Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models von Dobrev, Dobrislav, Szerszeń, Paweł J.

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No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise : Theory and testable distributional implication... von ANDERSEN, Torben G, BOLLERSLEV, Tim, DOBREV, Dobrislav

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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk von Dobrev, Dobrislav, Szerszen, Pawel J.

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A Randomized Missing Data Approach to Robust Filtering and Forecasting von Dobrev, Dobrislav, Hansen, Derek, Szerszen, Pawel

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A Randomized Missing Data Approach to Robust Filtering and Forecasting von Dobrev, Dobrislav, Hansen, Derek, Szerszen, Pawel

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Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors von Dobrev, Dobrislav, Nesmith, Travis D., Oh, Dong Hwan

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Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors von Dobrev, Dobrislav, Nesmith, Travis D., Oh, Dong Hwan

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A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity von Andersen, Torben G., Dobrev, Dobrislav, Schaumburg, Ernst

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A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation von Andersen, Torben G, Dobrev, Dobrislav, Schaumburg, Ernst

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Jump-Robust Volatility Estimation using Nearest Neighbor Truncation von Andersen, Torben G, Dobrev, Dobrislav, Schaumburg, Ernst

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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 von Andersen, Torben G, Bollerslev, Tim, Dobrev, Dobrislav

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