Viktor Todorov
Contact Information Viktor Todorov Associate Professor of Finance Department of Finance Kellogg School of Management Northwestern University   2001 Sheridan Road Evanston, IL 60208-2001 E-mail: v-todorov (at) kellogg (dot) northwestern (dot) edu Telephone: (847) 467-0694
Curriculum Vitae [PDF]
Publications "The Realized Laplace Transform of Volatility", with George Tauchen, accepted for publication in Econometrica. [paper], [appendix] "Jump Tails, Extreme Dependencies and the Distribution of Stock Returns", with Tim Bollerslev and Sophia Zhengzi Li, accepted for publication in Journal of Econometrics. [paper], [appendix] "Estimation of Jump Tails", with Tim Bollerslev, Econometrica, 79, pp. 1727-1783, 2011. [paper] "Tails, Fears and Risk Premia", with Tim Bollerslev, Journal of Finance, 66, pp. 2165-2211, 2011. [paper], [appendix] "Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models", with George Tauchen and Iaryna Grynkiv, Journal of Econometrics, 164, pp. 367-381, 2011. [paper] "Volatility Jumps", with George Tauchen, Journal of Business and Economic Statistics, 29, pp. 356-371, 2011. [paper] "Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation", with George Tauchen, Annals of Applied Probability, 21, pp. 546-588, 2011. [paper] "Econometric Analysis of Jump-Driven Stochastic Volatility Models", Journal of Econometrics, 160, pp. 12-2, 2011. [paper], [appendix] "Do Price and Volatility Jump Together?", with Jean Jacod, Annals of Applied Probability, 20, pp. 1425-1469, 2010. [paper] "Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks", with Tim Bollerslev, Journal of Econometrics, 157, pp. 220-235, 2010. [paper] "Realized Volatility and Multipower Variation", with Torben Andersen, forthcoming in Encyclopedia of Quantitative Finance, Ole Barndorff-Nielsen and Eric Renault (eds). "Variance Risk Premium Dynamics: The Role of Jumps", The Review of Financial Studies, 23, pp.345-383, 2010. [paper], [appendix] "Activity Signature Functions for High-Frequency Data Analysis", with George Tauchen, Journal of Econometrics,154, pp.125-138, 2010. [paper], [appendix] "Testing for Common Arrival of Jumps in Discretely-Observed Multidimensional Processes", with Jean Jacod, Annals of Statistics, 37, pp. 1792-1838, 2009. [paper] "Estimation of Continuous-time Stochastic Volatility Models with Jumps using High-Frequency Data", Journal of Econometrics, 148, pp. 131-148, 2009. [paper] "Simulation Methods for Lévy-Driven CARMA Stochastic Volatility Models", with George Tauchen, Journal of Business and Economic Statistics, 24(4), pp. 450-469, 2006. [paper]
Working Papers "Inverse Realized Laplace Transform for Nonparametric Volatility Density Estimation in Jump Diffusions", with George Tauchen. [paper]
"Investment Horizon Effects in the Presence of Estimation Risk: the Case of Hungary", Central European University,  Department of  Economics, working paper 5. [paper]