Dobrislav Dobrev : Citation Profile

Federal Reserve Board (Board of Governors of the Federal Reserve System) (75% share)
George Washington University (25% share)

7

H index

5

i10 index

612

Citations

RESEARCH PRODUCTION:

6

Articles

19

Papers

RESEARCH ACTIVITY:

   18 years (2007 - 2025). See details.
   Cites by year: 34
   Journals where Dobrislav Dobrev has often published
   Relations with other researchers
   Recent citing documents: 64.    Total self citations: 3 (0.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pdo650
   Updated: 2026-03-28    RAS profile: 2026-03-11    
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Relations with other researchers

Works with:

Meldrum, Andrew (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dobrislav Dobrev.

Is cited by:

GUPTA, RANGAN (21)

Laurent, Sébastien (20)

Lyócsa, Štefan (17)

Bollerslev, Tim (17)

Forbes, Catherine (14)

Pierdzioch, Christian (13)

Andersen, Torben (13)

Sévi, Benoît (12)

Patton, Andrew (11)

Baruník, Jozef (10)

Potiron, Yoann (9)

Cites to:

Shephard, Neil (13)

Podolskij, Mark (4)

Andersen, Torben (4)

Bollerslev, Tim (3)

Watson, Mark (2)

Acerbi, Carlo (2)

Christensen, Kim (2)

Lunde, Asger (2)

Sims, Christopher (1)

Koopman, Siem Jan (1)

Hansen, Peter (1)

Main data

Where Dobrislav Dobrev has published?

Journals with more than one article published# docs
Journal of Financial Econometrics3
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)5
NBER Working Papers / National Bureau of Economic Research, Inc3
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)3
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)2
Liberty Street Economics / Federal Reserve Bank of New York2

Recent works citing Dobrislav Dobrev (2025 and 2024)

YearTitle of citing document
2025Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models. (2023). Polivka, Jeannine ; Dimitriadis, Timo ; Streicher, Sina ; Halbleib, Roxana. In: Papers. RePEc:arx:papers:2212.11833.

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2024Data-driven fixed-point tuning for truncated realized variations. (2024). Han, Yuchen ; Jos'e E. Figueroa-L'opez, ; Boniece, Cooper B. In: Papers. RePEc:arx:papers:2311.00905.

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2026Realized Stochastic Volatility Model with Skew-t Distributions for Improved Volatility and Quantile Forecasting. (2024). Takahashi, Makoto ; Yamauchi, Yuta ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Papers. RePEc:arx:papers:2401.13179.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2024Autoencoder Enhanced Realised GARCH on Volatility Forecasting. (2024). Zhang, Lingxiang ; Storti, Giuseppe ; Gerlach, Richard ; Wang, Chao ; Zhao, Qianli. In: Papers. RePEc:arx:papers:2411.17136.

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2024Forecasting realized covariances using HAR-type models. (2024). Tafakori, Laleh ; Quiroz, Matias ; Manner, Hans. In: Papers. RePEc:arx:papers:2412.10791.

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2025Forecasting U.S. equity market volatility with attention and sentiment to the economy. (2025). Ly, Vstefan ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2503.19767.

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2025Impact of the COVID-19 pandemic on the financial market efficiency of price returns, absolute returns, and volatility increment: Evidence from stock and cryptocurrency markets. (2025). Takaishi, Tetsuya. In: Papers. RePEc:arx:papers:2504.18960.

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2026A Robust Similarity Estimator. (2026). Archakov, Ilya. In: Papers. RePEc:arx:papers:2601.12198.

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2026Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment. (2026). Hounyo, Ulrich ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16613.

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2026Inference from high-frequency data: A subsampling approach. (2026). Veliyev, Bezirgen ; Thamrongrat, Nopporn ; Podolskij, Mark ; Christensen, Kim. In: Papers. RePEc:arx:papers:2601.16668.

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2024COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study. (2024). Vespignani, Joaquin ; Ahadzie, Richard Mawulawoe ; Kangogo, Moses ; Khan, Faisal ; Daugaard, Dan. In: Economic Papers. RePEc:bla:econpa:v:43:y:2024:i:2:p:184-203.

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2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Song, Yuping ; Xu, Yang ; Zhang, Qichao ; Huang, Jiefei. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2024Systemic risk monitoring model from the perspective of public information arrival. (2024). Wu, Yan ; Zhu, Xingting ; Yan, Han ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000664.

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2025Twitter-based market uncertainty and global stock volatility predictability. (2025). Zhou, Mingtao ; Ma, Yong ; Li, Shuaibing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001815.

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2025A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures. (2025). Chen, Zhenlong ; Zhou, Qingnan ; Liu, Junjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000488.

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2025Forecasting volatility of China’s crude oil futures based on hybrid ML-HAR-RV models. (2025). Zhu, Tingting ; Ma, Xiaoqing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:78:y:2025:i:c:s1062940825000683.

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2024Volatility prediction comparison via robust volatility proxies: An empirical deviation perspective. (2024). Zhu, Ziwei ; Wang, Weichen. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407623003494.

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2024An unbounded intensity model for point processes. (2024). Kolokolov, Aleksey ; Christensen, Kim. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001854.

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2025Realized candlestick wicks. (2025). Nolte, Ingmar ; Li, Yifan ; Yu, Shifan. In: Journal of Econometrics. RePEc:eee:econom:v:250:y:2025:i:c:s0304407625000685.

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2024Forecasting Daily Volatility of Stock Price Index Using Daily Returns and Realized Volatility. (2024). Takahashi, Makoto ; Omori, Yasuhiro ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:34-56.

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2025Diversifying Trends. (2025). Darolles, Serge ; Chevalier, Charles. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:56-79.

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2024Contagion among European financial indices, evidence from a quantile VAR approach. (2024). Tedeschi, Marco ; Palomba, Giulio. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000050.

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2024Macroeconomic news, senior officials speeches, and emerging currency markets: An intraday analysis of price jump reaction. (2024). ben Omrane, Walid ; Ayadi, Mohamed A ; Das, Deepan Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426.

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2024Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Lyócsa, Štefan ; Lyocsa, Tefan ; Todorova, Neda. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

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2024Sentiment and energy price volatility: A nonlinear high frequency analysis. (2024). Uddin, Gazi ; JAWADI, Fredj ; Rozin, Philippe ; Bourghelle, David ; Cheffou, Abdoulkarim Idi. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324001737.

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2024Forecasting the Chinese crude oil futures volatility using jump intensity and Markov-regime switching model. (2024). Xu, Zijian ; Li, Pan ; Cao, Jiawei ; Wu, Hanlin. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002962.

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2024Sustainable energy practices and cryptocurrency market behavior. (2024). Saadi, Samir ; ben Omrane, Walid ; Savaser, Tanseli. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006455.

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2024What drives the uranium sector risk? The role of attention, economic and geopolitical uncertainty. (2024). Todorova, Neda ; Lycsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s0140988324006881.

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2025Forecasting the volatility of crude oil futures market: Does the simple 5-minute RV hold up?. (2025). Yang, Zhidan ; Luo, YA ; Yi, Heling ; Ke, Rui ; Qin, Zhilong ; Lyu, Yongjian. In: Energy Economics. RePEc:eee:eneeco:v:146:y:2025:i:c:s0140988325003330.

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2025Petroleum volatility spillover index and stock return predictability. (2025). Zhang, Zhikai ; Tian, Linxing. In: Energy Economics. RePEc:eee:eneeco:v:150:y:2025:i:c:s0140988325006772.

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2025Risk connectedness and portfolios between fossil energy, new energy and environmental governance markets. (2025). He, Miao ; Gao, Wang ; Zhang, Hongwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003217.

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2025What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673.

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2024State-dependent intra-day volatility pattern and its impact on price jump detection - Evidence from international equity indices. (2024). Tsai, Ping Chen ; Wang, Chou Wen ; Eom, Cheoljun. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003442.

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2025A novel HAR-type realized volatility forecasting model using graph neural network. (2025). Yin, Xuebao ; Yao, Yuhang ; Hu, Nan. In: International Review of Financial Analysis. RePEc:eee:finana:v:98:y:2025:i:c:s1057521924008135.

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2024A note on the Gumbel convergence for the Lee and Mykland jump tests. (2024). Vidal, Joo Pedro ; Ruas, Joo Pedro. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011868.

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2024Intraday variation in cross-sectional stock comovement and impact of index-based strategies. (2024). Shen, Yiwen ; Shi, Meiqi. In: Journal of Financial Markets. RePEc:eee:finmar:v:68:y:2024:i:c:s1386418124000120.

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2024Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market. (2024). Cepni, Oguzhan ; Caporin, Massimiliano ; Aysan, Ahmet Faruk. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001889.

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2024Outlier-robust methods for forecasting realized covariance matrices. (2024). Clements, Adam ; Li, Dan ; Drovandi, Christopher. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:392-408.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2025A survey of models and methods used for forecasting when investing in financial markets. (2025). Swanson, Norman R ; Maung, Kenwin. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:4:p:1355-1382.

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2025Forecasting the realized variance in the presence of intraday periodicity. (2025). Hizmeri, Rodrigo ; Izzeldin, Marwan ; Maria, Ana. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002565.

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2024Investor behavior in times of conflict: A natural experiment on the interplay of geopolitical risk and defense stocks. (2024). Klein, Tony. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:222:y:2024:i:c:p:294-313.

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2024How do Treasury dealers manage their positions?. (2024). Fleming, Michael ; Rosenberg, Joshua ; Nguyen, Giang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:158:y:2024:i:c:s0304405x24001089.

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2025Warp speed price moves: Jumps after earnings announcements. (2025). Veliyev, Bezirgen ; Timmermann, Allan ; Christensen, Kim. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000182.

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2025From depegs to jumps: The role of stablecoin instabilities in crypto market dynamics. (2025). Gnabo, Jean-Yves ; Riaza, Baptiste Perez. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:155:y:2025:i:c:s0261560625000749.

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2024Forecasting Chinese stock market volatility with high-frequency intraday and current return information. (2024). Wang, Yuyao ; Han, Yang ; Wu, Xinyu ; Zhao, AN. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:86:y:2024:i:c:s0927538x24002099.

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2024Realized volatility, price informativeness, and tick size: A market microstructure approach. (2024). Xiao, Xijuan ; Yamamoto, Ryuichi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:410-426.

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2024Crude oil volatility index forecasting: New evidence based on positive and negative jumps from Chinese stock market. (2024). Ma, Xuekun ; Wang, LU ; Jiang, Gongyue ; Qiao, Gaoxiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:415-437.

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2025Investigating the impact of ESG ratings on ETF performance during market disruptions: Evidence from the COVID-19 pandemic and Russian (full-scale) invasion of Ukraine. (2025). Sarajoti, Pattarake ; Sahin, Olgun Fuat ; Phiromswad, Piyachart ; Supatgiat, Chonawee. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pa:s0275531925001606.

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2025Uncertainty or investor attention: Which has more impact on Bitcoin volatility?. (2025). Ilgin, Cihan ; Zdemir, Mehmet Ozan ; Aras, Serkan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:77:y:2025:i:pb:s0275531925002582.

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2025The Relationship between Market Depth and Liquidity Fragility in the Treasury Market. (2025). Meldrum, Andrew ; Sokolinskiy, Oleg. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-14.

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2025Portfolio Margining Using PCA Latent Factors. (2025). Nesmith, Travis ; Du, Shengwu. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-16.

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2025Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1.

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2025Measuring and Forecasting Stock Market Volatilities with High-Frequency Data. (2025). Vo, Minh. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10674-6.

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2025Dynamics in Realized Volatility Forecasting: Evaluating GARCH Models and Deep Learning Algorithms Across Parameter Variations. (2025). Gulay, Emrah ; Akgun, Omer Burak. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:6:d:10.1007_s10614-024-10694-2.

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2024Unveiling multiscale spatiotemporal dynamics of volatility in high-frequency financial markets. (2024). Chen, Tingting ; Peng, Wenyan ; Ouyang, Fangyan. In: PLOS ONE. RePEc:plo:pone00:0315308.

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2024Forecasting the equity premium using weighted regressions: Does the jump variation help?. (2024). Zhang, Yaojie ; Wang, Yudong. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:5:d:10.1007_s00181-023-02521-8.

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2024Price dynamics and volatility jumps in bitcoin options. (2024). Yang, Jimmy J ; Chen, Kuo Shing. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00653-z.

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2024Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. (2024). Wang, Tianyang ; Shangguan, Peng ; He, Mengying ; Qu, Hui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:218-251.

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Works by Dobrislav Dobrev:

YearTitleTypeCited
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper342
2012Jump-robust volatility estimation using nearest neighbor truncation.(2012) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 342		article
2010Jump-robust volatility estimation using nearest neighbor truncation.(2010) In: Staff Reports.
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This paper has nother version. Agregated cites: 342		paper
2009Jump-Robust Volatility Estimation using Nearest Neighbor Truncation.(2009) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 342		paper
2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation In: CREATES Research Papers.
[Full Text][Citation analysis]		paper12
2011A Functional Filtering and Neighborhood Truncation Approach to Integrated Quarticity Estimation.(2011) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2014A ROBUST NEIGHBORHOOD TRUNCATION APPROACH TO ESTIMATION OF INTEGRATED QUARTICITY In: Econometric Theory.
[Full Text][Citation analysis]		article17
2013A robust neighborhood truncation approach to estimation of integrated quarticity.(2013) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 17		paper
2007No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications In: Journal of Econometrics.
[Full Text][Citation analysis]		article179
2007No-Arbitrage Semi-Martingale Restrictions for Continuous-Time Volatility Models subject to Leverage Effects, Jumps and i.i.d. Noise: Theory and Testable Distributional Implications.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 179		paper
2010The information content of high-frequency data for estimating equity return models and forecasting risk In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper30
2010The information content of high-frequency data for estimating equity return models and forecasting risk.(2010) In: International Finance Discussion Papers.
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This paper has nother version. Agregated cites: 30		paper
2016Accurate Evaluation of Expected Shortfall for Linear Portfolios with Elliptically Distributed Risk Factors In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper6
2025Missing Data Substitution for Enhanced Robust Filtering and Forecasting in Linear State-Space Models In: Finance and Economics Discussion Series.
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2018Unlocking the Treasury Market through TRACE In: FEDS Notes.
[Full Text][Citation analysis]		paper5
2018Unlocking the Treasury Market through TRACE.(2018) In: Liberty Street Economics.
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This paper has nother version. Agregated cites: 5		paper
2018Breaking Down TRACE Volumes Further In: FEDS Notes.
[Full Text][Citation analysis]		paper7
2018Breaking Down TRACE Volumes Further.(2018) In: Liberty Street Economics.
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This paper has nother version. Agregated cites: 7		paper
2020What 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 In: FEDS Notes.
[Full Text][Citation analysis]		paper5
2021The Treasury Market Flash Event of February 25, 2021 In: FEDS Notes.
[Full Text][Citation analysis]		paper1
2025Order Flow Imbalances and Amplification of Price Movements: Evidence from U.S. Treasury Markets In: FEDS Notes.
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2009Duration-Based Volatility Estimation In: Global COE Hi-Stat Discussion Paper Series.
[Full Text][Citation analysis]		paper8
2017Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy In: Journal of Financial Econometrics.
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2017Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 0		article
2017Erratum to Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy.(2017) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 0		article

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