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Viktor Todorov |
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Contact Information Department of Finance E-mail: v-todorov (at) kellogg (dot)
northwestern (dot) edu |
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Curriculum Vitae [PDF] |
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Publications "Power Variation from Second Order
Differences for Pure Jump Semimartingales ",
accepted for publication in Stochastic
Processes and their Applications (special issue on mathematical statistics).
[paper] "Volatility
Activity: Specification and Estimation", with George Tauchen and Iaryna Grynkiv, accepted
for publication in Journal of
Econometrics. [paper] "Jump
Tails, Extreme Dependencies and the Distribution of Stock Returns", with Tim Bollerslev
and Sophia Zhengzi Li, Journal of
Econometrics, 172, pp 307-324, 2013. [paper],
[appendix] "Central Limit Theorem for Approximate Quadratic Variations of Pure Jump Ito Semimartingales", with Assane Diop and
Jean Jacod, Stochastic Processes
and their Applications, 123, pp. 839-886, 2013. [paper] "Inverse
Realized Laplace Transform for Nonparametric Volatility Density Estimation in
Jump Diffusions", with George Tauchen, Journal of the American Statistical Association, 107, pp. 622-635,
2012. [paper] "Realized
Laplace Transforms for Pure-Jump Semimartingales",
Annals of Statistics, 40, pp.
1233-1262, 2012. [paper],
[appendix] "The Realized Laplace
Transform of Volatility",
with George Tauchen, Econometrica, 80,
pp. 1105-1127, 2012. [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]
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Working Papers "Parametric
Inference and Dynamic State Recovery from Option Panels ", with
Torben G. Andersen and Nicola Fusari. [paper] |
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"Investment Horizon Effects in the
Presence of Estimation Risk: the Case of Hungary", Central European University, |
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