Viktor Todorov

Harold H. Hines Jr. Professor of Risk Management and Professor of Finance




Derivatives-Based Market Indicators



About Me

Viktor Todorov is Harold H. Hines Jr. Professor of Risk Management and Professor of Finance at the Kellogg School of Management, Northwestern University. Professor Todorov is a Fellow of the Society for Financial Econometrics and the Journal of Econometrics. His research interests are in the areas of theoretical and empirical asset pricing, econometrics and applied probability. He has published extensively in these fields.

His recent work focuses on the robust estimation of asset pricing models using high-frequency financial data as well as the development and application of parametric and nonparametric methods of inference for studying risks and risk premia using derivatives markets data. He currently serves as a Co-Editor for Econometric Theory, and is on the editorial board of a number of leading academic journals, including Econometrica and the Journal of Econometrics. He received his PhD in Economics from Duke University in 2007.

Derivatives-Based Market Indicators

Awards

Best Associate Editor Award from Journal of Econometrics

Best Paper Award at the 2017 CBOE Conference on Derivatives and Volatility for the paper 'Nonparametric Option-Implied Volatility', Financial Management Association

Finalist for the AQR Insight Award for the paper 'The Risk Premia Embedded in Index Options', AQR; Greenwich, CT

Elected Fellow, Journal of Econometrics

Elected Fellow, Society for Financial Econometrics

Arnold Zellner Thesis Award in Econometrics and Statistics, American Statistical Association

Publications

Professor Viktor Todorov's research interests include : Asset pricing, econometrics, applied probability. This is a list of publications and book chapters he has worked on.

Working Papers

This is a list of papers Professor Viktor Todorov is currently working on.

Derivatives Based Market Indicators

This website for tail index and volatility series charts is a joint venture between Professor Torben G. Andersen and Professor Viktor Todorov.




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