Details about Dobrislav Dobrev

Access statistics for papers by Dobrislav Dobrev.

Last updated 2026-03-11. Update your information in the RePEc Author Service.

Short-id: pdo650

Working Papers

2025

1. Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.)
2. Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.)

2021

3. The Treasury Market Flash Event of February 25, 2021
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (1)

2020

4. What Do Quoted Spreads Tell Us About Machine Trading at Times of Market Stress? Evidence from Treasury and FX Markets during the COVID-19-Related Market Turmoil in March 2020
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (5)

2018

5. Breaking Down TRACE Volumes Further
   FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
   Also in Liberty Street Economics, Federal Reserve Bank of New York (2018) View citations (6)
6. Unlocking the Treasury Market through TRACE
   Liberty Street Economics, Federal Reserve Bank of New York View citations (5)
   Also in FEDS Notes, Board of Governors of the Federal Reserve System (U.S.) (2018) View citations (5)

2016

7. Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors
   Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) View citations (3)

2013

8. A robust neighborhood truncation approach to estimation of integrated quarticity
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY, Econometric Theory, Cambridge University Press (2014) View citations (17) (2014)

2011

9. A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (13)

2010

10. Jump-robust volatility estimation using nearest neighbor truncation
    Staff Reports, Federal Reserve Bank of New York View citations (7)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2009) View citations (19)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (13)
    See also Journal Article Jump-robust volatility estimation using nearest neighbor truncation, Journal of Econometrics, Elsevier (2012) View citations (318) (2012)
11. The information content of high-frequency data for estimating equity return models and forecasting risk
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (30)
    Also in Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) (2010) View citations (30)

2009

12. Duration-Based Volatility Estimation
    Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University View citations (10)

2007

13. 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
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (177)
    See also Journal Article 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, Elsevier (2007) View citations (180) (2007)

Journal Articles

2017

1. Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy
   Journal of Financial Econometrics, 2017, 15, (3), 388-409
   Also in Journal of Financial Econometrics, 2017, 15, (3), 505-506 (2017)
   Journal of Financial Econometrics, 2017, 15, (3), 507-507 (2017)

2014

2. A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY
   Econometric Theory, 2014, 30, (1), 3-59 View citations (17)
   See also Working Paper A robust neighborhood truncation approach to estimation of integrated quarticity, International Finance Discussion Papers (2013) (2013)

2012

3. Jump-robust volatility estimation using nearest neighbor truncation
   Journal of Econometrics, 2012, 169, (1), 75-93 View citations (318)
   See also Working Paper Jump-robust volatility estimation using nearest neighbor truncation, Staff Reports (2010) View citations (7) (2010)

2007

4. 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, 2007, 138, (1), 125-180 View citations (180)
   See also Working Paper 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, NBER Working Papers (2007) View citations (177) (2007)