
Viktor
Todorov 


Contact
Information Viktor
Todorov Harold
H. Hines Jr. Professor of Risk Management and Professor of Finance Department
of Finance Kellogg
School of Management Northwestern
University 2001
Sheridan Road Evanston,
IL 602082001 Email:
vtodorov (at) northwestern (dot) edu Telephone: (847) 4670694 





Curriculum Vitae [PDF] 


Publications "Adaptive Estimation
of Continuoustime Regression Models using HighFrequency Data",
with Jia Li and George Tauchen,
accepted for publication in Journal of
Econometrics. [paper] "Mixedscale
Jump Regressions with Bootstrap Inference", with Jia Li, George Tauchen and Rui Chen, accepted for publication in Journal of Econometrics. [paper] "Testing for
TimeVarying Jump Activity for Pure Jump Semimartingales",
accepted for publication in Annals of Statistics. [paper], [appendix] "The Pricing
of ShortTerm Market Risk: Evidence from Weekly Options", with Torben G. Andersen and Nicola Fusari,
accepted for publication in Journal of Finance. [paper]. "Robust Jump
Regressions", with Jia Li and George Tauchen, accepted for publication in Journal of the
American Statistical Association. [paper], [appendix] "Jump
Regressions", with Jia Li and George Tauchen, Econometrica,
85, pp. 173195, 2017.
[paper], [appendix] "Estimating
the Volatility Occupation Time via Regularized Laplace Inversion",
with Jia Li and George Tauchen,
Econometric Theory, 32, pp.
12531288, 2016. [paper] "Inference
Theory for Volatility Functional Dependencies", with Jia Li and George Tauchen, Journal
of Econometrics, 193, pp. 1734, 2016. [paper] "Roughing up
Beta: Continuous vs. Discontinuous Betas, and the Cross Section of Expected
Stock Returns", with Tim Bollerslev and
Sophia Zhengzi Li, Journal of Financial
Economics, 120, pp. 464490, 2016. [paper] "Efficient
Estimation of Integrated Volatility in Presence of Infinite Variation Jumps
with Multiple Activity Indices", with Jean Jacod,
to appear in The fascination of Probability, Statistics and Their
Applications  In honour of Ole E. BarndorffNielsen on his 80th birthday, SpringerVerlag, 2015. [paper] "Tail Risk Premia and Return Predictability", with Tim Bollerslev and Lai Xu, Journal
of Financial Economics, 118, pp. 113134, 2015. [paper] "The Risk Premia Embedded in Index Options", with Torben G. Andersen and Nicola Fusari,
Journal of Financial Economics, 117, pp. 558584, 2015.
[paper], [appendix] "Jump Activity
Estimation for PureJump Ito Semimartingales via
SelfNormalised Statistics", Annals of
Statistics, 43, pp. 18311864, 2015. [paper] "The Fine
Structure of EquityIndex Option Dynamics", with Torben
G. Andersen, Oleg Bondarenko and George Tauchen, Journal of Econometrics, 187, pp.
532546, 2015. [paper] "Parametric
Inference and Dynamic State Recovery from Option Panels", with Torben G. Andersen and Nicola Fusari,
Econometrica, 83, pp.
10811145, 2015. [paper], [appendix] "Nonparametric
Test for a Constant Beta between Ito Semimartingales
based on HighFrequency Data", with Markus Reiss and George Tauchen, Stochastic Processes and their Applications, 125,
pp. 29552988, 2015. [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 LŽvyDriven CARMA Stochastic Volatility
Models", with George Tauchen, Journal
of Business and Economic Statistics, 24(4), pp. 450469, 2006. [paper] Working Papers "Unified
Inference for Nonlinear Factor Models from Panels with Fixed and Large Time
Span", with Torben G. Andersen, Nicola Fusari and Rasmus T. Varneskov. [paper] "The Pricing
of Tail Risk and the Equity Premium: Evidence from International Options
Markets", with Torben G. Andersen and
Nicola Fusari. [paper] "Rank Tests at
Jump Events", with Jia Li, George Tauchen and Huidi Lin. [paper] "Estimation of
Volatility in a General Setting", with Jean Jacod.
[paper] 