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 60208-2001

 

E-mail: v-todorov (at) northwestern (dot) edu 

Telephone: (847) 467-0694

 

 

 

 

Curriculum Vitae [PDF]

 

 

 

Publications

 

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

 

"Mixed-scale Jump Regressions with Bootstrap Inference", with Jia Li, George Tauchen and Rui Chen, accepted for publication in Journal of Econometrics. [paper]

 

"Testing for Time-Varying Jump Activity for Pure Jump Semimartingales", accepted for publication in Annals of Statistics. [paper], [appendix]

 

"The Pricing of Short-Term 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. 173-195, 2017. [paper], [appendix]

 

"Estimating the Volatility Occupation Time via Regularized Laplace Inversion", with Jia Li and George Tauchen, Econometric Theory, 32, pp. 1253-1288, 2016. [paper]

 

"Inference Theory for Volatility Functional Dependencies", with Jia Li and George Tauchen, Journal of Econometrics, 193, pp. 17-34, 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. 464-490, 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. Barndorff-Nielsen on his 80th birthday, Springer-Verlag, 2015. [paper]

 

"Tail Risk Premia and Return Predictability", with Tim Bollerslev and Lai Xu, Journal of Financial Economics, 118, pp. 113-134, 2015. [paper]

 

"The Risk Premia Embedded in Index Options", with Torben G. Andersen and Nicola Fusari, Journal of Financial Economics, 117, pp. 558-584, 2015. [paper], [appendix]

 

"Jump Activity Estimation for Pure-Jump Ito Semimartingales via Self-Normalised Statistics", Annals of Statistics, 43, pp. 1831-1864, 2015. [paper]

 

"The Fine Structure of Equity-Index Option Dynamics", with Torben G. Andersen, Oleg Bondarenko and George Tauchen, Journal of Econometrics, 187, pp. 532-546, 2015. [paper]

 

"Parametric Inference and Dynamic State Recovery from Option Panels", with Torben G. Andersen and Nicola Fusari, Econometrica, 83, pp. 1081-1145, 2015. [paper], [appendix]

 

"Nonparametric Test for a Constant Beta between Ito Semimartingales based on High-Frequency Data", with Markus Reiss and George Tauchen, Stochastic Processes and their Applications, 125, pp. 2955-2988, 2015. [paper]

 

"Time-Varying Jump Tails", with Tim Bollerslev, Journal of Econometrics, 183, pp. 168-180, 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. 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 Lvy-Driven CARMA Stochastic Volatility Models", with George TauchenJournal of Business and Economic Statistics, 24(4), pp. 450-469, 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]