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Todorov, Viktor's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
1,738 |
Total
Citations
83 |
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1.
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Tails, Fears and Risk Premia
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Bollerslev, Tim
Duke University - Finance Todorov, Viktor
Northwestern University
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Posted:
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14 Jun 09
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Last Revised:
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26 Jan 11
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799
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34
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Bollerslev, Tim
Duke University - Finance Todorov, Viktor
Northwestern University
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14 Apr 10
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Last Revised:
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26 Jan 11
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514
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34
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rare events, jumps, high-frequency data, options, fears, extreme value
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Bollerslev, Tim
Duke University - Finance Todorov, Viktor
Northwestern University
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285
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34
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rare events, jumps, high-frequency data, options, fears, extreme value theory, equity risk premium, variance risk premium
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2.
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Todorov, Viktor
Northwestern University Tauchen, George
Duke University - Economics Group
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280
(52,747)
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22
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Stochastic volatility, activity index, Blumenthal-Getoor index, jumps, VIX index, jump risk premium
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3.
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Estimation of Jump Tails
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Versions (1)
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Bollerslev, Tim
Duke University - Finance Todorov, Viktor
Northwestern University
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Posted:
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14 Apr 10
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Last Revised:
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10 Jun 11
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119
(78,283)
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5
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Bollerslev, Tim
Duke University - Finance Todorov, Viktor
Northwestern University
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| Posted: |
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14 Apr 10
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Last Revised:
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10 Jun 11
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119
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5
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Extreme events, jumps, high-frequency data, jump tails, non-parametric estimation, stochastic volatility
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4.
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Todorov, Viktor
Northwestern University Tauchen, George
Duke University - Economics Group Grynkiv, Iaryna
Duke University
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127
(114,673)
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Asymmetric Volatility Activity, High-Frequency Data, Laplace Transform, Signed Power Variation, Specification Testing, Stochastic Volatility, Volatility Jumps
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5.
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Tauchen, George
Duke University - Economics Group Todorov, Viktor
Northwestern University
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114
(124,226)
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10
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activity index, Blumenthal-Getoor index, jumps, Levy process, realized power variation
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6.
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Tauchen, George
Duke University - Economics Group Todorov, Viktor
Northwestern University
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09 Oct 10
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Last Revised:
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21 Jul 11
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88
(148,832)
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4
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Laplace transform, stochastic volatility, Central Limit Theorem, activity index, jumps, high-frequency data
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7.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Todorov, Viktor
Northwestern University
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71
(169,659)
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1
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realized volatility, multipower variation, jumps, quadratic variation, volatility estimation, volatility forecasting, jump testing, continuous-time stochastic volatility model
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8.
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Todorov, Viktor
Northwestern University Tauchen, George
Duke University - Economics Group
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59
(187,234)
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Laplace transform, stochastic volatility, ill-posed problems, regularization, nonparametric density estimation, high-frequency data
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9.
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Todorov, Viktor
Northwestern University Tauchen, George
Duke University - Economics Group Grynkiv, Iaryna
Duke University
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49
(204,316)
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4
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Jumps, High-Frequency Data, Laplace Transform, Stochastic Volatility
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10.
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Todorov, Viktor
Northwestern University Tauchen, George
Duke University - Economics Group
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32
(240,380)
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1
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Activity Index, Blumenthal-Getoor Index, Central Limit Theorem, Ito Semimartingale, High-Frequency Data, Jumps, Realized Power Variation
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11.
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Andersen, Torben G.
Northwestern University - Kellogg School of Management Fusari, Nicola
Northwestern University - Kellogg School of Management Todorov, Viktor
Northwestern University
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0
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2
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12.
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Todorov, Viktor
Northwestern University
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C51, C52, G12, G13
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Records 1 -
12
of 12 matches
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1
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