

Viktor Todorov 




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

Curriculum Vitae [PDF] 


Publications "Efficient
Estimation of Integrated Volatility in Presence of Infinite Variation Jumps", with Jean Jacod,
accepted for publication in Annals of
Statistics. [paper] "TimeVarying
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, accepted for publication in Annals of Applied Probability. [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, forthcoming in Encyclopedia of Quantitative Finance, Ole BarndorffNielsen and Eric Renault (eds). "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 "Nonparametric
Test for a Constant Beta between Ito Semimartingales based on HighFrequency
Data ", with Markus Reiss and George Tauchen. [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] "Parametric
Inference and Dynamic State Recovery from Option Panels ", with
Torben G. Andersen and Nicola Fusari. [paper] 


"Investment Horizon Effects in the
Presence of Estimation Risk: the Case of Hungary", Central European University, 






