Viktor Todorov

Independent

SCHOLARLY PAPERS

6

DOWNLOADS

1,763

SSRN CITATIONS
Rank 16,009

SSRN RANKINGS

Top 16,009

in Total Papers Citations

69

CROSSREF CITATIONS

21

Scholarly Papers (6)

1.

A Descriptive Study of High-Frequency Trade and Quote Option Data

Number of pages: 80 Posted: 07 Sep 2019 Last Revised: 27 Aug 2020
Northwestern University - Kellogg School of Management, University of Vienna - Faculty of Business, Economics and Statistics, University of Vienna, University of Vienna - Department of Statistics and Operations Research, The University of Manchester - Alliance Manchester Business SchoolLancaster University - Department of Accounting and Finance, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and FinanceMonash University - Department of Econometrics & Business Statistics, Lancaster University - Department of Accounting and Finance and Independent
Downloads 722 (67,193)
Citation 1

Abstract:

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Options Data, High Frequency Data, Market Microstructure

2.

Simulation Methods for Levy-Driven Carma Stochastic Volatility Models

Number of pages: 41 Posted: 24 Aug 2005
George Tauchen and Viktor Todorov
Duke University - Economics Group and Independent
Downloads 388 (143,392)
Citation 6

Abstract:

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Levy process, simulation, stochastic volatility, diffusions, realized variance, quadratic variation

3.

Jumps and Betas: A New Framework for Disentangling and Estimating Systematic Risks

CREATES Research Paper No. 2007-15
Number of pages: 37 Posted: 23 Jun 2008
Viktor Todorov and Tim Bollerslev
Independent and Duke University - Finance
Downloads 369 (151,640)
Citation 44

Abstract:

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Factor models, systematic risk, common jumps, high-frequency data, realized variation

4.
Downloads 108 (188,617)
Citation 27

Estimation of Jump Tails

CREATES Research Paper No. 2010-16
Number of pages: 49 Posted: 02 May 2010
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Independent
Downloads 108 (466,887)
Citation 22

Abstract:

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Extreme events, jumps, high-frequency data, jump tails, non-parametric estimation, stochastic volatility

5.

Investment Horizon Effects in the Presence of Estimation Risk: The Case of Hungary

Central European University, Economics Working Paper No. 5/2002
Number of pages: 34 Posted: 28 Jan 2003
Viktor Todorov
Independent
Downloads 156 (349,641)

Abstract:

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investment horizons, portfolio choice, static investment strategy, estimation risk, Bayesian analysis, multivariate t distribution

6.

Cross-Sectional Dispersion of Risk in Trading Time

NBER Working Paper No. w26329
Number of pages: 52 Posted: 30 Sep 2019 Last Revised: 11 Jun 2023
Downloads 20 (955,887)

Abstract:

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