Professional Experience

• • Economist

    Board of Governors of the Federal Reserve System

  • 2007 - present

• • Head of Risk Analysis

    Bulgarian National Bank

  • 2000 - 2001

• • Member of the Investment Committee

    Bulgarian National Bank

  • 1999 - 2001

• • Risk Analyst / Senior Risk Analyst

    Bulgarian National Bank

  • 1998 - 2000

Publications

• Andersen, Torben G., Dobrislav Dobrev, and Ernst Schaumburg (Forthcoming). "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," Journal of Econometrics.
• Andersen, Torben G., Dobrislav Dobrev, and Ernst Schaumburg (2011). "A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation," NBER Working Papers 17152. National Bureau of Economic Research, Inc.
• Dobrev, Dobrislav, Torben G. Andersen, and Ernst Schaumburg (2008). "Duration-Based Volatility Estimation," Discussion Paper Series gd08-034. Institute of Economic Research, Hitotsubashi University.
• Dobrev, Dobrislav, ed. (2007). Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications, Chookaszian Prize in Risk Management Series,Kellogg School of Management, Northwestern University.
• Dobrev, Dobrislav (1999). "The Currency Board in Bulgaria: Design, Peculiarities and Management of Foreign Exchange Cover," BNB Discussion Paper Series 9. Bulgarian National Bank.
• Dobrev, Dobrislav, and Pawel J. Szerszen (2010). "The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk," International Finance Discussion Papers 1005. Board of Governors of the Federal Reserve System (U.S.).
• Andersen, Torben G., Dobrislav Dobrev, and Ernst Schaumburg (2009). "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," NBER Working Papers 15533. National Bureau of Economic Research, Inc.
• Andersen, Torben G., Tim Bollerslev, and Dobrislav Dobrev (2007). "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," Journal of Econometrics, vol. 138, no. 1, pp. 125-180.

Presentations

• conference

  December 2011

  5th CSDA International Conference on Computational and Financial Econometrics (CFE'11)

  A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

• conference

  September 2011

  NBER-NSF Time Series Conference

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

• conference

  January 2011

  North American Winter Meeting of the Econometric Society

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

• conference

  December 2010

  4th CSDA International Conference on Computational and Financial Econometrics (CFE'10)

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

• discussion

  December 2010

  4th CSDA International Conference on Computational and Financial Econometrics (CFE'10)

  "Uncertainty of Multiple Period Risk Measures" by C. Loonnbark

• conference

  October 2010

  SoFiE-CREATES Joint Conference on Measuring and Predicting Risk from Financial High-Frequency Data

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

• conference

  July 2010

  Global Financial Crisis Research Workshop, Federal Reserve Board

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

• conference

  June 2010

  30th International Symposium on Forecasting

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

• seminar

  April 2010

  Johns Hopkins University

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

• seminar

  March 2010

  Office of the Comptroller of the Currency

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

• discussion

  November 2009

  Federal Reserve System Conference on Macroeconomics

  "Forecast Evaluation of Small Nested Model Sets" by Kirstin Hubrich and Ken West

• seminar

  June 2009

  U.S. Commodity Futures Trading Commission

  Jump Robust Volatility Estimation using Nearest-Neighbor Truncation

• conference

  June 2009

  Second Annual SoFiE Conference

  Jump Robust Volatility Estimation using Nearest-Neighbor Truncation

• conference

  June 2009

  North American Summer Meeting of the Econometric Society

  Jump Robust Volatility Estimation using Nearest-Neighbor Truncation

• seminar

  December 2008

  University of Maryland

  Duration-Based Volatility Estimation

• seminar

  November 2008

  University of California - San Diego

  Duration-Based Volatility Estimation

• conference

  August 2008

  European Meeting of the Econometric Society

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• conference

  August 2008

  CREATES Volatility Symposium

  Duration-Based Volatility Estimation

• seminar

  July 2008

  Chicago-Argonne Institute on Computational Economics, University of Chicago

  Duration-Based Volatility Estimation

• conference

  July 2008

  Far Eastern and South Asian Meeting of the Econometric Society

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• conference

  June 2008

  SITE Workshop on Econometric Analysis of High-Frequency Data and the Impact of Economic News

  Duration-Based Volatility Estimation

• conference

  May 2007

  CIREQ Financial Econometrics Conference

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• conference

  April 2007

  Stevanovich Center Conference on Volatility and High Frequency Data

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• seminar

  January 2007

  Federal Reserve Board of Governors

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• seminar

  January 2007

  Federal Reserve Bank of Chicago

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• seminar

  January 2007

  Federal Reserve Bank of Boston

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• seminar

  January 2007

  University of Chicago

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• seminar

  January 2007

  Carnegie Mellon University

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

• seminar

  January 2007

  University of Michigan - Ann Arbor

  Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications

Other Activities