Dobrislav Dobrev

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We shed light on the characteristics of high-frequency asset return and volatility processes and their implications for daily return distributions. We document that the standard jump-diffusion setting readily accommodates the main features of equity index returns, including stochastic volatility, outlier behavior and a strong asymmetry between return and(More)
We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical efficiency properties than the tripower variation measure and(More)
NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished ma-Abstract We demonstrate that the parameters controlling skewness and kurtosis in popular equity(More)
A circuit was developed for a differential two-electrode biopotential amplifier. Current sources at the amplifier inputs were controlled by the common-mode voltage. This principle is well known in telephony for interfacing the telephone line with analogue-type phones. A low impedance of about 1 k(ohm) was obtained between each input and the common point of(More)
  • D Dobrev
  • 2004
Portable biomedical instrumentation has become an important part of diagnostic and treatment instrumentation, including telemedicine applications. Low-voltage and low-power design tendencies prevail. Modern battery cell voltages in the range of 3-3.6 V require appropriate circuit solutions. A two-electrode biopotential amplifier design is presented, with a(More)
The Newey and West (1987) estimator has become the standard way to estimate a het-eroskedasticity and autocorrelation consistent (HAC) covariance matrix, but it does not immediately apply to time series with missing observations. We demonstrate that the intuitive approach to estimate the true spectrum of the underlying process using only the observed data(More)
NOTE: International Finance Discussion Papers are preliminary materials circulated to stimulate discussion and critical comment. References in publications to International Finance Discussion Papers (other than an acknowledgment that the writer has had access to unpublished material) should be cleared with the author or authors. Recent IFDPs are available(More)
  • D Dobrev
  • 2002
A circuit is proposed for a non-differential two-electrode biopotential amplifier, with a current source and a transimpedance amplifier as a potential equaliser for its inputs, fully emulating a differential amplifier. The principle of operation is that the current in the input of the transimpedance amplifier is sensed and made to flow with the same value(More)
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