Viktor Todorov

Independent

SCHOLARLY PAPERS

6

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1,996

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in Total Papers Citations

77

Scholarly Papers (6)

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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
Torben G. Andersen, Ilya Archakov, Leon Eric Grund, Nikolaus Hautsch, Yifan Li, Sergey Nasekin, Ingmar Nolte, Manh Cuong Pham, Manh Cuong Pham, Stephen J. Taylor and Viktor Todorov
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 852 (62,097)
Citation 1

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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 439 (143,643)
Citation 6

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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 388 (165,910)
Citation 47

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

4.

Estimation of Jump Tails

Downloads 125 (192,637)
Citation 23

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 125 (490,947)
Citation 23

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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 164 (391,540)

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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
Torben G. Andersen, Martin Thyrsgaard and Viktor Todorov
Northwestern University - Kellogg School of Management, Northwestern University - Kellogg School of Management and Independent
Downloads 28 (1,060,615)

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