

Viktor Todorov 




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

Curriculum Vitae [PDF] 


Publications "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] "Estimating
the Volatility Occupation Time via Regularized Laplace Inversion ",
with Jia Li and George Tauchen, accepted for publication in Econometric Theory. [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 LévyDriven
CARMA Stochastic Volatility Models", with George Tauchen, Journal
of Business and Economic Statistics, 24(4), pp. 450469, 2006. [paper]



Working Papers "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] "Mixedscale Jump Regressions with
Bootstrap Inference ", with Jia Li, George Tauchen and Rui Chen. [paper] "Estimation of Volatility in a General
Setting ", with Jean
Jacod. [paper] "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] 






