Viktor Todorov

Available identifiers

zbMath Open todorov.viktorMaRDI QIDQ284292

List of research outcomes

Publication	Date of Publication	Type
Volatility of volatility and leverage effect from options	2024-03-21	Paper
Intraday cross-sectional distributions of systematic risk	2023-06-29	Paper
Asymptotic Expansions for High-Frequency Option Data	2023-04-24	Paper
Nonparametric jump variation measures from options	2022-09-14	Paper
Short-time expansion of characteristic functions in a rough volatility setting with applications	2022-08-01	Paper
Variation and efficiency of high-frequency betas	2022-03-16	Paper
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk	2021-11-11	Paper
Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options	2021-11-03	Paper
SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS	2021-06-11	Paper
Tail risk and return predictability for the Japanese equity market	2021-03-24	Paper
Testing and inference for fixed times of discontinuity in semimartingales	2020-10-07	Paper
Nonparametric spot volatility from options	2020-02-21	Paper
Time-Varying Periodicity in Intraday Volatility	2020-01-15	Paper
Jump factor models in large cross‐sections	2020-01-08	Paper
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS	2019-11-18	Paper
Unified inference for nonlinear factor models from panels with fixed and large time span	2019-09-02	Paper
Nonparametric implied Lévy densities	2019-03-06	Paper
Jump Regressions	2019-01-31	Paper
Parametric Inference and Dynamic State Recovery From Option Panels	2019-01-30	Paper
Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale	2019-01-25	Paper
Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation	2018-05-25	Paper
Mixed-scale jump regressions with bootstrap inference	2017-11-07	Paper
Adaptive estimation of continuous-time regression models using high-frequency data	2017-08-21	Paper
Testing for time-varying jump activity for pure jump semimartingales	2017-08-03	Paper
Jump tails, extreme dependencies, and the distribution of stock returns	2017-05-12	Paper
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION	2017-04-28	Paper
Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices	2017-01-16	Paper
Realized Laplace transforms for estimation of jump diffusive volatility models	2016-08-12	Paper
Econometric analysis of jump-driven stochastic volatility models	2016-08-10	Paper
Jumps and betas: a new framework for disentangling and estimating systematic risks	2016-08-04	Paper
Activity signature functions for high-frequency data analysis	2016-07-25	Paper
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data	2016-07-04	Paper
Inference theory for volatility functional dependencies	2016-05-18	Paper
Jump activity estimation for pure-jump semimartingales via self-normalized statistics	2015-08-05	Paper
The fine structure of equity-index option dynamics	2015-06-08	Paper
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data	2015-05-27	Paper
Time-varying jump tails	2014-11-24	Paper
Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies	2014-09-25	Paper
Volatility activity: specification and estimation	2014-08-07	Paper
Efficient estimation of integrated volatility in presence of infinite variation jumps	2014-08-04	Paper
Power variation from second order differences for pure jump semimartingales	2014-04-28	Paper
Volatility occupation times	2013-12-11	Paper
The Realized Laplace Transform of Volatility	2013-11-06	Paper
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions	2013-04-22	Paper
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales	2013-03-06	Paper
Realized Laplace transforms for pure-jump semimartingales	2012-08-29	Paper
Estimation of Jump Tails	2012-06-18	Paper
Volatility Jumps	2011-08-24	Paper
Limit theorems for power variations of pure-jump processes with application to activity estima\-tion	2011-05-11	Paper
Do price and volatility jump together?	2010-09-01	Paper
Testing for common arrivals of jumps for discretely observed multidimensional processes	2009-07-22	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: Viktor Todorov