Viktor Todorov

Independent

No Address Available

SCHOLARLY PAPERS

6

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971

SSRN CITATIONS
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Top 23,268

in Total Papers Citations

13

CROSSREF CITATIONS

20

Scholarly Papers (6)

1.

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 326 (95,796)
Citation 20

Abstract:

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

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 321 (97,481)
Citation 6

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

3.
Downloads 83 (136,532)
Citation 10

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 83 (312,727)
Citation 5

Abstract:

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

4.

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 133 (223,967)

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

5.

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

Number of pages: 55 Posted: 07 Sep 2019
Northwestern University - Kellogg School of Management, European University Institute, University of Vienna, University of Vienna - Department of Statistics and Operations Research, Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance, Lancaster University - Department of Accounting and Finance and Independent
Downloads 99 (277,229)

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Options Data, High Frequency Data, Market Microstructure

6.
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