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Dobrislav Dobrev

Education

  • Ph.D., Finance, Northwestern University, 2007
  • M.Sc., Applied Mathematics, Sofia University (Bulgaria), 1998
Current Research Topics
  • High-Frequency Volatility, Jumps, and Comovements
  • Financial Risk Measurement and Forecasting
  • Economist

    Board of Governors of the Federal Reserve System

    2007 - present
  • Visiting Scholar

    University of Chicago Booth School of Business & Stevanovich Center

    2013
  • 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
  • Dobrev, Dobrislav, and Ernst Schaumburg (forthcoming). "Comment on: Nonparametric Tail Risk, Stock Returns and the Macroeconomy," Journal of Financial Econometrics.
  • 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.
  • 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.
  • conference

    June 2017

    3rd International Workshop "Financial Markets and Nonlinear Dynamics" (FMND)

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • discussion

    June 2017

    3rd 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 2017

    University of Maryland, Smith School of Business

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    May 2017

    Rutgers Business School

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • conference

    April 2017

    Federal Forecasters Conference

    Robust Forecasting by Regularization

  • conference

    March 2017

    Minisymposium on High Frequency Trading, University of Pittsburgh

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • conference

    March 2017

    Alan Turing Institute Workshop on "Algorithmic Trading: Perspectives from Mathematical Modelling"

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    March 2017

    Financial Conduct Authority, London

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • conference

    March 2017

    25th Annual Symposium of the Society for Nonlinear Dynamics and Econometrics

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • conference

    March 2017

    Vienna-Copenhagen Conference on Financial Econometrics

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    February 2017

    Cass Business School, City University London

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    February 2017

    Econometric Institute, Erasmus University Rotterdam

    The Impact of Waiting Times on Volatility Filtering and Dynamic Portfolio Allocation

  • seminar

    December 2016

    University of California, Berkeley

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • conference

    November 2016

    Seventh Annual Conference on High Frequency Finance and Data Analytics

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • conference

    August 2016

    European Meeting of the Econometric Society

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • discussion

    September 2016

    Conference 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 2016

    Ninth Annual SoFiE Conference

    "Nonparametric Tail Risk, Stock Returns and the Macroeconomy" by Caio Almeida, Kym Ardison, Rene Garcia, Jose Vicente

  • conference

    June 2016

    Ninth Annual SoFiE Conference

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    June 2016

    U.S. Commodity Futures Trading Commission

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • conference

    June 2016

    Financial Econometrics and Empirical Asset Pricing Conference, Lancaster University

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    July 2016

    Bank of England

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    June 2015

    Federal Reserve Bank of Chicago

    The Impact of Waiting Times on Volatility Filtering and Dynamic Portfolio Allocation

  • discussion

    March 2015

    2015 MFA Meeting

    "Realized Volatility of Large Portfolios" by J. Fan, A. Furger and D. Xiu

  • discussion

    March 2015

    2015 MFA Meeting

    "Which Continuous-Time Model Is Most Appropriate For Exchange Rates?" by D. Erdemlioglu, S. Laurent and C. Neely

  • seminar

    February 2015

    Bank of Japan

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    February 2015

    University of Tokyo

    High-Frequency Cross-Market Trading: Model Free Measurement and Applications

  • seminar

    April 2014

    Bureau for Economic Analysis

    Robust Forecasting by Regularization

  • conference

    April 2014

    22nd Annual Symposium of the Society for Nonlinear Dynamics and Econometrics

    Robust Forecasting by Regularization

  • seminar

    December 2013

    George Washington University

    Robust Forecasting by Regularization

  • conference

    October 2013

    Fifth Annual Conference on Modeling High-Frequency Data in Finance

    Duration-Based Volatility Estimation

  • discussion

    August 2013

    2013 EFA Meeting

    "Tail and Volatility Indices from Option Prices" by Jian Du and Nikunj Kapadia

  • conference

    August 2013

    2013 EFA Meeting

    Robust Forecasting by Regularization

  • conference

    May 2013

    Conference 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 2013

    Northwestern University

    Robust Forecasting by Regularization

  • seminar

    May 2013

    University of Chicago

    Robust Forecasting by Regularization

  • conference

    February 2013

    4th Applied Financial Time Series Workshop, HEC Montreal

    Robust Forecasting by Regularization

  • conference

    October 2012

    2012 NBER-NSF Time Series Conference

    Robust Forecasting by Regularization

  • seminar

    October 2012

    Federal Reserve Bank of Chicago

    Robust Forecasting by Regularization

  • discussion

    August 2012

    US Census Bureau DSMD-CSMR Distinguished Seminar Series

    "Modeling and Analyzing High Frequency Financial Data" by Yazhen Wang

  • conference

    June 2012

    32nd Annual International Symposium on Forecasting

    Robust Forecasting by Regularization

  • discussion

    June 2012

    2012 WFA Meeting

    "Price and Volatility Co-Jumps" by Federico Bandi and Roberto Reno

  • conference

    June 2012

    North American Summer Meeting of the Econometric Society

    A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

  • conference

    June 2012

    Fifth Annual SoFiE Conference

    A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation

  • seminar

    May 2012

    Pompeu Fabra University

    Robust Forecasting by Regularization

  • seminar

    May 2012

    Cass Business School, City University London

    Robust Forecasting by Regularization

  • conference

    May 2012

    Financial Econometrics Conference, Toulouse School of Economics

    Robust Forecasting by Regularization

  • seminar

    March 2012

    North Carolina State University

    Duration Based Volatility Estimation

  • conference

    March 2012

    11th OxMetrics User Conference

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

  • 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

  • discussion

    December 2010

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

    "Uncertainty of Multiple Period Risk Measures" by Carl Lonnbark

  • 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

  • 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

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 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 Business and Economic Statistics
  • Journal of Econometrics
  • Journal of Empirical Finance
  • Journal of Finance
  • Journal of Financial Econometrics
  • Journal of Money, Credit, and Banking
  • Management Science
  • 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
Last update: June 26, 2017