Meet the Researchers
Dobrislav Dobrev
[email protected]
Education
- Ph.D., Finance, Northwestern University, 2007
- M.Sc., Applied Mathematics, Sofia University (Bulgaria), 1998
- High-Frequency Volatility, Jumps, and Comovements
- Financial Risk Measurement and Forecasting
Economist
Board of Governors of the Federal Reserve System
2007 - presentVisiting Scholar
University of Chicago Booth School of Business & Stevanovich Center
2013Head of Risk Analysis
Bulgarian National Bank
2000 - 2001Member of the Investment Committee
Bulgarian National Bank
1999 - 2001Risk Analyst / Senior Risk Analyst
Bulgarian National Bank
1998 - 2000
- Brain, Doug, Michiel De Pooter, Dobrislav Dobrev, Michael Fleming, Pete Johansson, Collin Jones, Frank Keane, Michael Puglia, Liza Reiderman, Tony Rodrigues, and Or Shachar (2018). "Unlocking the Treasury Market through TRACE," FEDS Notes 2018-09-28. Board of Governors of the Federal Reserve System (U.S.).
- Dobrev, Dobrislav, and Ernst Schaumburg (2017). "Comment on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Journal of Financial Econometrics, vol. 15, no. 3, pp. 388-409.
- Dobrev, Dobrislav, Travis D. Nesmith, and Dong Hwan Oh (2017). "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Journal of Risk and Financial Management, vol. 10, no. 1, pp. 1-14.
- Dobrev, Dobrislav, Travis D. Nesmith, and Dong Hwan Oh (2016). "Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors," Finance and Economics Discussion Series 2016-065. Board of Governors of the Federal Reserve System (U.S.).
- Andersen, Torben G., Dobrislav Dobrev, and Ernst Schaumburg (2014). "A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity," Econometric Theory, vol. 30, no. 1, pp. 3-59.
- Andersen, Torben G., Dobrislav Dobrev, and Ernst Schaumburg (2013). "A Robust Neighborhood Truncation Approach to Estimation of Integrated Quarticity," International Finance Discussion Papers 1078. Board of Governors of the Federal Reserve System (U.S.).
- Andersen, Torben G., Dobrislav Dobrev, and Ernst Schaumburg (2012). "Jump-Robust Volatility Estimation using Nearest Neighbor Truncation," Journal of Econometrics, vol. 169, no. 1, pp. 75-93.
- 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, 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.).
- Dobrev, Dobrislav P., and Pawel J. Szerszen (2010). "The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk," Finance and Economics Discussion Series 2010-45. 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.
- 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 (2007). "Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications," Chookaszian Prize in Risk Management. Kellogg School of Management, Northwestern University.
- 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.
- Dobrev, Dobrislav (1999). "The Currency Board in Bulgaria: Design, Peculiarities and Management of Foreign Exchange Cover," BNB Discussion Paper Series 9. Bulgarian National Bank.
seminar
November 2018U.S. Census Bureau
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
October 2018Atlanta Fed Conference on "Financial Stability Implications of New Technology"
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
discussion
September 20182018 Financial Econometrics Conference for Tim Bollerslev's 60th Birthday
"Nonparametric Option-Implied Volatility" by Viktor Todorov
conference
September 20182018 NBER-NSF Time Series Conference
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
conference
August 20182018 Annual Meeting of the Central Bank Research Association
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
June 201824th International Conference on Computing in Economics and Finance
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
seminar
June 2018Quantitative Finance Workshop, Northwestern University - Kellogg
A Randomized Missing Data Approach to Robust Filtering with Applications to Economics and Finance
seminar
September 2017Duke University
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
September 20172017 NBER-NSF Time Series Conference
The Impact of Waiting Times on Volatility Filtering and Dynamic Portfolio Allocation
conference
June 201710th Annual SoFiE Conference
The Impact of Waiting Times on Volatility Filtering and Dynamic Portfolio Allocation
discussion
June 201710th Annual SoFiE Conference
"Tail Inference with a Stochastic Entropy Model" by Gordon V. Chavez
conference
June 20173rd International Workshop "Financial Markets and Nonlinear Dynamics" (FMND)
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
discussion
June 20173rd International Workshop "Financial Markets and Nonlinear Dynamics" (FMND)
"Cojumps Between Oil and Currency Markets" by W. Louhichi, F. Jawadi, H. Ben Ameur and Z. Ftiti
seminar
May 2017University of Maryland, Smith School of Business
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
May 2017Rutgers Business School
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
April 2017Federal Forecasters Conference
Robust Forecasting by Regularization
conference
March 2017Minisymposium on High Frequency Trading, University of Pittsburgh
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
March 2017Alan Turing Institute Workshop on "Algorithmic Trading: Perspectives from Mathematical Modelling"
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
March 2017Financial Conduct Authority, London
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
March 201725th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
March 2017Vienna-Copenhagen Conference on Financial Econometrics
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
February 2017Cass Business School, City University London
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
February 2017Econometric Institute, Erasmus University Rotterdam
The Impact of Waiting Times on Volatility Filtering and Dynamic Portfolio Allocation
seminar
December 2016University of California, Berkeley
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
November 2016Seventh Annual Conference on High Frequency Finance and Data Analytics
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
August 2016European Meeting of the Econometric Society
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
discussion
September 2016Conference on New Developments in Measuring and Forecasting Financial Volatility, Duke University and University of North Carolina, Chapel Hill
"Measuring Tail Risks at High Frequency" by Brian Weller
discussion
June 2016Ninth Annual SoFiE Conference
"Nonparametric Tail Risk, Stock Returns and the Macroeconomy" by Caio Almeida, Kym Ardison, Rene Garcia, Jose Vicente
conference
June 2016Ninth Annual SoFiE Conference
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
June 2016U.S. Commodity Futures Trading Commission
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
conference
June 2016Financial Econometrics and Empirical Asset Pricing Conference, Lancaster University
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
July 2016Bank of England
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
June 2015Federal Reserve Bank of Chicago
The Impact of Waiting Times on Volatility Filtering and Dynamic Portfolio Allocation
discussion
March 20152015 MFA Meeting
"Realized Volatility of Large Portfolios" by J. Fan, A. Furger and D. Xiu
discussion
March 20152015 MFA Meeting
"Which Continuous-Time Model Is Most Appropriate For Exchange Rates?" by D. Erdemlioglu, S. Laurent and C. Neely
seminar
February 2015Bank of Japan
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
February 2015University of Tokyo
High-Frequency Cross-Market Trading: Model Free Measurement and Applications
seminar
April 2014Bureau for Economic Analysis
Robust Forecasting by Regularization
conference
April 201422nd Annual Symposium of the Society for Nonlinear Dynamics and Econometrics
Robust Forecasting by Regularization
seminar
December 2013George Washington University
Robust Forecasting by Regularization
conference
October 2013Fifth Annual Conference on Modeling High-Frequency Data in Finance
Duration-Based Volatility Estimation
discussion
August 20132013 EFA Meeting
"Tail and Volatility Indices from Option Prices" by Jian Du and Nikunj Kapadia
conference
August 20132013 EFA Meeting
Robust Forecasting by Regularization
conference
May 2013Conference on High Frequency Data and High Frequency Trading, University of Chicago
Bayesian Estimation and Forecasting in Stochastic Volatility Models of Low-Frequency Returns Powered up By High-Frequency Volatility Measures
seminar
May 2013Northwestern University
Robust Forecasting by Regularization
seminar
May 2013University of Chicago
Robust Forecasting by Regularization
conference
February 20134th Applied Financial Time Series Workshop, HEC Montreal
Robust Forecasting by Regularization
conference
October 20122012 NBER-NSF Time Series Conference
Robust Forecasting by Regularization
seminar
October 2012Federal Reserve Bank of Chicago
Robust Forecasting by Regularization
discussion
August 2012US Census Bureau DSMD-CSMR Distinguished Seminar Series
"Modeling and Analyzing High Frequency Financial Data" by Yazhen Wang
conference
June 201232nd Annual International Symposium on Forecasting
Robust Forecasting by Regularization
discussion
June 20122012 WFA Meeting
"Price and Volatility Co-Jumps" by Federico Bandi and Roberto Reno
conference
June 2012North American Summer Meeting of the Econometric Society
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
conference
June 2012Fifth Annual SoFiE Conference
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
seminar
May 2012Pompeu Fabra University
Robust Forecasting by Regularization
seminar
May 2012Cass Business School, City University London
Robust Forecasting by Regularization
conference
May 2012Financial Econometrics Conference, Toulouse School of Economics
Robust Forecasting by Regularization
seminar
March 2012North Carolina State University
Duration Based Volatility Estimation
conference
March 201211th OxMetrics User Conference
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
conference
December 20115th CSDA International Conference on Computational and Financial Econometrics (CFE'11)
A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
conference
September 2011NBER-NSF Time Series Conference
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
conference
January 2011North American Winter Meeting of the Econometric Society
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
discussion
December 20104th CSDA International Conference on Computational and Financial Econometrics (CFE'10)
"Uncertainty of Multiple Period Risk Measures" by Carl Lonnbark
conference
December 20104th 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
conference
October 2010SoFiE-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 2010Global Financial Crisis Research Workshop, Federal Reserve Board
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
conference
June 201030th International Symposium on Forecasting
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
seminar
April 2010Johns Hopkins University
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
seminar
March 2010Office of the Comptroller of the Currency
The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
discussion
November 2009Federal Reserve System Conference on Macroeconomics
"Forecast Evaluation of Small Nested Model Sets" by Kirstin Hubrich and Ken West
seminar
June 2009U.S. Commodity Futures Trading Commission
Jump Robust Volatility Estimation using Nearest-Neighbor Truncation
conference
June 2009Second Annual SoFiE Conference
Jump Robust Volatility Estimation using Nearest-Neighbor Truncation
conference
June 2009North American Summer Meeting of the Econometric Society
Jump Robust Volatility Estimation using Nearest-Neighbor Truncation
seminar
December 2008University of Maryland
Duration-Based Volatility Estimation
seminar
November 2008University of California - San Diego
Duration-Based Volatility Estimation
conference
August 2008European Meeting of the Econometric Society
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
conference
August 2008CREATES Volatility Symposium
Duration-Based Volatility Estimation
seminar
July 2008Chicago-Argonne Institute on Computational Economics, University of Chicago
Duration-Based Volatility Estimation
conference
July 2008Far Eastern and South Asian Meeting of the Econometric Society
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
conference
June 2008SITE Workshop on Econometric Analysis of High-Frequency Data and the Impact of Economic News
Duration-Based Volatility Estimation
conference
May 2007CIREQ Financial Econometrics Conference
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
conference
April 2007Stevanovich Center Conference on Volatility and High Frequency Data
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
seminar
January 2007Federal Reserve Board of Governors
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
seminar
January 2007Federal Reserve Bank of Chicago
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
seminar
January 2007Federal Reserve Bank of Boston
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
seminar
January 2007University of Chicago
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
seminar
January 2007Carnegie Mellon University
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
seminar
January 2007University of Michigan - Ann Arbor
Capturing Volatility from Large Price Moves: Generalized Range Theory and Applications
Awards
- 2015
Board of Governors of the Federal Reserve System
Special Achievement Award
- 2007
Kellogg School of Management
Chookaszian Prize in Risk Management
- 2007
Institute on Computational Economics, U of Chicago
Best Poster Award
- 1998
Sofia Univ., Faculty of Mathematics & Informatics
Best Student Grant in Honor of 110th Anniversary
- 1992
Bulgarian National Olympiad in Mathematics
Top Ten Award
- 1991
Spring National Math Competition, Bulgaria
First Prize
Conference Organization
June 2019 | Shanghai, China
12th Annual SoFiE Conference
Program Committee Member
June 2018 | Lugano, Switzerland
11th Annual SoFiE Conference
Program Committee Member
April 2018 | Washington, DC
FRB Conference on Risk, Uncertainty, and Volatility
Scientific Committee Member
June 2017 | New York, USA
10th Annual SoFiE Conference
Program Committee Member
August 2016 | Oslo, Norway
2016 EFA Annual Meeting
Program Committee Member
June 2016 | Hong Kong
9th Annual SoFiE Conference
Program Committee Member
August 2015 | Vienna, Austria
2015 EFA Annual Meeting
Program Committee Member
June 2015 | Aarhus, Denmark
8th Annual SoFiE Conference
Program Committee Member
August 2014 | Lugano, Switzerland
2014 EFA Annual Meeting
Program Committee Member
June 2014 | Toronto, Canada
7th Annual SoFiE Conference
Program Committee Member
September 2013 | Washington DC, USA
2013 NBER-NSF Time Series Conference
Program Committee Member
August 2013 | Cambridge, UK
2013 EFA Annual Meeting
Program Committee Member & Session Chair
June 2013 | Lake Tahoe, USA
2013 WFA Annual Meeting
Program Committee Member
June 2013 | Singapore
6th Annual SoFiE Conference
Program Committee Member
June 2012 | Boston, USA
32nd Annual International Symposium on Forecasting
Invited Session Organizer
June 2012 | Las Vegas, USA
2012 WFA Annual Meeting
Program Committee Member
December 2009 | Aarhus, Denmark
(EC)^2 Conference on Real Time Econometrics
Scientific Committee Member
Editor
- Associate Editor, High Frequency, 2016-present
Referee
- Econometrica
- Econometric Theory
- Empirical Economics
- International Journal of Forecasting
- Journal of Applied Econometrics
- Journal of Banking and Finance
- Journal of Business and Economic Statistics
- Journal of Econometrics
- Journal of Empirical Finance
- Journal of Finance
- Journal of Financial Econometrics
- Journal of Financial Markets
- Journal of Money, Credit, and Banking
- Management Science
- Quantitative Finance
- Review of Economics and Statistics
- Review of Financial Studies
- Review of Finance
Professional Affiliation
- Society for Financial Econometrics
- Econometric Society
- American Finance Association
- European Finance Association
- American Economic Association