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 Fine Structure of Equity-Index Option Dynamics", with Torben G. Andersen, Oleg Bondarenko and George Tauchen, accepted for publication in Journal of Econometrics. [paper]

"Time-Varying Jump Tails", with Tim Bollerslev, accepted for publication in Journal of Econometrics. [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 1850-1888, 2014. [paper]

"Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps", with Jean Jacod, Annals of Statistics, 42, pp 1029-1069, 2014. [paper]

"Volatility Activity: Specification and Estimation", with George Tauchen and Iaryna Grynkiv, Journal of Econometrics, 178, pp 180-193, 2014. [paper]

"Volatility Occupation Times", with Jia Li and George Tauchen, Annals of Statistics, 41, pp 1865-1891, 2013. [paper]

"Power Variation from Second Order Differences for Pure Jump Semimartingales ", Stochastic Processes and their Applications (special issue on mathematical statistics), 123, pp 2829-2850, 2013. [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, Encyclopedia of Quantitative Finance, Ole Barndorff-Nielsen and Eric Renault (eds), 2010.

 

"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

"Jump Regressions ", with Jia Li and George Tauchen. [paper]

"Adaptive Estimation of Continuous-time Regression Models using High-Frequency Data ", with Jia Li and George Tauchen. [paper]

"Jump Activity Estimation for Pure-Jump Ito Semimartingales via Self-Normalised 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]

"The Risk Premia Embedded in Index Options ", with Torben G. Andersen and Nicola Fusari. [paper]

·         Finalist for the 2014 AQR Insight Award

"Estimating the Volatility Occupation Time via Regularized Laplace Inversion ", with Jia Li and George Tauchen. [paper]

"Parametric Inference and Dynamic State Recovery from Option Panels ", with Torben G. Andersen and Nicola Fusari. [paper]

"Nonparametric Test for a Constant Beta between Ito Semimartingales based on High-Frequency Data ", with Markus Reiss and George Tauchen. [paper]