
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 "The
Pricing of Tail Risk and the Equity Premium: Evidence from International
Options Markets", with Torben G. Andersen and Nicola Fusari, accepted for publication in Journal of
Business and Economic Statistics. [paper]
, [appendix] "Jump
Factor Models in Large CrossSections", with Jia Li and George Tauchen, accepted for publication in Quantitative Economics. [paper],
[appendix] "Inference for Option Panels in PureJump
Settings", with Torben G. Andersen, Nicola Fusari
and Rasmus T. Varneskov, accepted for publication
in Econometric Theory. [paper] "TimeVarying
Periodicity in Intraday Volatility", with Torben G. Andersen and
Martin Thyrsgaard, accepted for publication in Journal
of the American Statistical Association. [paper], [appendix] "Unified
Inference for Nonlinear Factor Models from Panels with Fixed and Large Time
Span", with Torben G. Andersen, Nicola Fusari
and Rasmus T. Varneskov, accepted for publication
in Journal of Econometrics. [paper] "Rank
Tests at Jump Events", with Jia Li, George Tauchen
and Huidi Lin, accepted for publication in Journal
of Business and Economic Statistics. [paper] "Nonparametric
Implied Levy Densities", with Likuan Qin, Annals of Statistics, 49, pp. 10251060,
2019. [paper],
[appendix] "Nonparametric
Inference for the Spectral Measure of A Bivariate
PureJump Semimartingale", Stochastic
Processes and their Applications, 129, pp. 419451, 2019. [paper] " Limit Theorems for Integrated Local Empirical
Characteristic Exponents from Noisy HighFrequency Data with Application to
Volatility and Jump Activity Estimation ", with Jean Jacod, Annals of Applied Probability, 28, pp. 511576,
2018. [paper] "Mixedscale
Jump Regressions with Bootstrap Inference", with Jia Li, George Tauchen and Rui Chen, Journal
of Econometrics, 201, pp. 417432,
2017. [paper] "Adaptive
Estimation of Continuoustime Regression Models using HighFrequency Data",
with Jia Li and George Tauchen, Journal of Econometrics, 200, pp. 3647, 2016. [paper] "Testing
for TimeVarying Jump Activity for Pure Jump Semimartingales",
Annals of Statistics, 45,
pp. 12841311, 2017. [paper], [appendix] "The
Pricing of ShortTerm Market Risk: Evidence from Weekly Options",
with Torben G. Andersen and Nicola Fusari, Journal
of Finance, 72, pp.
13351386, 2017. [paper]. "Robust
Jump Regressions", with Jia Li and George Tauchen,
Journal of the American Statistical Association, 112, pp. 332341, 2017. [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",
with George Tauchen, 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 LvyDriven CARMA Stochastic Volatility
Models", with George Tauchen, Journal
of Business and Economic Statistics, 24(4), pp. 450469, 2006. [paper] Working Papers "Aggregate
Asymmetry in Idiosyncratic Jump Risk", with Huidi
Lin. [paper] "Nonparametric
Spot Volatility from Options". [paper] 