

Viktor Todorov 




Contact Information Department of Finance Email: vtodorov (at) kellogg (dot)
northwestern (dot) edu 

Curriculum Vitae [PDF] 


Publications "Parametric
Inference and Dynamic State Recovery from Option Panels ", with
Torben G. Andersen and Nicola Fusari, accepted for publication in Econometrica. [paper],
[appendix] "The
Risk Premia Embedded in Index Options ",
with Torben G. Andersen and Nicola Fusari, accepted for publication in Journal of Financial Economics. [paper],
[appendix] "The
Fine Structure of EquityIndex Option Dynamics", with Torben G. Andersen, Oleg Bondarenko and
George Tauchen, accepted for publication in Journal of Econometrics. [paper] "TimeVarying
Jump Tails",
with Tim Bollerslev, Journal of
Econometrics, 183, pp 168180,
2014. [paper] "Limit
Theorems for the Empirical Distribution Function of Scaled Increments of Ito Semimartingales at High Frequencies", with George
Tauchen, Annals of Applied Probability,
24, pp 18501888, 2014. [paper] "Efficient
Estimation of Integrated Volatility in Presence of Infinite Variation Jumps", with Jean Jacod, Annals of Statistics, 42, pp
10291069, 2014. [paper] "Volatility
Activity: Specification and Estimation", with George Tauchen and Iaryna Grynkiv, Journal of Econometrics, 178, pp 180193, 2014. [paper] "Volatility
Occupation Times",
with Jia Li and George Tauchen, Annals
of Statistics, 41, pp 18651891,
2013. [paper] "Power Variation from Second Order
Differences for Pure Jump Semimartingales
", Stochastic Processes and their
Applications (special issue on mathematical statistics), 123, pp 28292850, 2013. [paper] "Jump
Tails, Extreme Dependencies and the Distribution of Stock Returns", with Tim Bollerslev
and Sophia Zhengzi Li, Journal of
Econometrics, 172, pp 307324, 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. 839886, 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. 622635,
2012. [paper] "Realized
Laplace Transforms for PureJump Semimartingales",
Annals of Statistics, 40, pp.
12331262, 2012. [paper],
[appendix] "The Realized Laplace
Transform of Volatility",
with George Tauchen, Econometrica, 80,
pp. 11051127, 2012. [paper],
[appendix] "Estimation
of Jump Tails",
with Tim Bollerslev, Econometrica, 79, pp. 17271783, 2011. [paper] "Tails,
Fears and Risk Premia", with Tim Bollerslev, Journal of Finance, 66, pp.
21652211, 2011. [paper],
[appendix] "Realized
Laplace Transforms for Estimation of Jump Diffusive Volatility Models", with George Tauchen
and Iaryna Grynkiv, Journal of
Econometrics, 164, pp. 367381,
2011. [paper] "Volatility
Jumps", with
George Tauchen, Journal of Business and Economic Statistics, 29, pp. 356371, 2011. [paper] "Limit Theorems for Power Variations of
PureJump Processes with Application to Activity Estimation", with
George Tauchen, Annals of Applied
Probability, 21, pp. 546588, 2011.
[paper] "Econometric Analysis of JumpDriven Stochastic Volatility Models", Journal of Econometrics, 160, pp. 122, 2011. [paper], [appendix] "Do Price and Volatility Jump Together?", with Jean Jacod, Annals of Applied Probability, 20, pp. 14251469, 2010. [paper] "Jumps
and Betas: A New Framework for Disentangling and Estimating Systematic Risks", with Tim
Bollerslev, Journal of
Econometrics, 157, pp. 220235, 2010. [paper] "Realized Volatility and Multipower Variation", with Torben Andersen, Encyclopedia of Quantitative Finance, Ole BarndorffNielsen and Eric Renault (eds), 2010. "Variance
Risk Premium Dynamics: The Role of Jumps", The
Review of Financial Studies, 23, pp.345383, 2010. [paper],
[appendix] "Activity
Signature Functions for HighFrequency Data Analysis", with George
Tauchen, Journal of Econometrics,154, pp.125138, 2010. [paper],
[appendix] "Testing for Common Arrival of Jumps in
DiscretelyObserved Multidimensional Processes", with Jean Jacod, Annals of Statistics, 37, pp. 17921838, 2009. [paper] "Estimation of Continuoustime Stochastic Volatility Models with Jumps using HighFrequency Data", Journal of Econometrics, 148, pp. 131148, 2009. [paper] "Simulation Methods for LévyDriven
CARMA Stochastic Volatility Models", with George Tauchen, Journal
of Business and Economic Statistics, 24(4), pp. 450469, 2006. [paper]



Working Papers "Jump
Regressions ", with Jia Li and George Tauchen. [paper] "Adaptive
Estimation of Continuoustime Regression Models using HighFrequency Data ",
with Jia Li and George Tauchen. [paper] "Jump
Activity Estimation for PureJump Ito Semimartingales
via SelfNormalised Statistics". [paper] "Tail
Risk Premia and Return Predictability", with Tim Bollerslev
and Lai Xu. [paper] "Inference
Theory for Volatility Functional Dependencies ", with Jia Li and
George Tauchen. [paper] "Estimating
the Volatility Occupation Time via Regularized Laplace Inversion ",
with Jia Li and George Tauchen. [paper] "Nonparametric
Test for a Constant Beta between Ito Semimartingales
based on HighFrequency Data ", with Markus Reiss and George Tauchen.
[paper] "Roughing
up Beta: Continuous vs. Discontinuous Betas, and the Cross Section of
Expected Stock Returns ", with Tim Bollerslev and Sophi Zhengzi Li. [paper] "Efficient
Estimation of Integrated Volatility in Presence of Infinite Variation Jumps
with Multiple Activity Indices ", with Jean Jacod. [paper] 






