Viktor Todorov

Northwestern University - Kellogg School of Management

2001 Sheridan Road

Evanston, IL 60208

United States

  • Northwestern University - Kellogg School of Management

SCHOLARLY PAPERS

22

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Top 2,086

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435

CROSSREF CITATIONS

341

Scholarly Papers (22)

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1.

Tails, Fears and Risk Premia

Downloads 1,073 (36,015)
Citation 273

Tails, Fears and Risk Premia

Journal of Finance, Forthcoming, Economic Research Initiatives at Duke (ERID) Working Paper Paper No. 34
Number of pages: 49 Posted: 14 Apr 2010 Last Revised: 26 Jan 2011
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Northwestern University - Kellogg School of Management
Downloads 680 (66,264)
Citation 65

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rare events, jumps, high-frequency data, options, fears, extreme value

Tails, Fears and Risk Premia

CREATES Research Paper No. 2009-26
Number of pages: 46 Posted: 14 Jun 2009
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Northwestern University - Kellogg School of Management
Downloads 393 (129,672)
Citation 17

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rare events, jumps, high-frequency data, options, fears, extreme value theory, equity risk premium, variance risk premium

2.

Roughing up Beta: Continuous versus Discontinuous Betas and the Cross Section of Expected Stock Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 65 Posted: 06 Dec 2014 Last Revised: 24 Apr 2016
Tim Bollerslev, Sophia Zhengzi Li and Viktor Todorov
Duke University - Finance, Rutgers, The State University of New Jersey - Rutgers Business School at Newark & New Brunswick and Northwestern University - Kellogg School of Management
Downloads 876 (47,825)
Citation 57

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Market price risks; jump betas; high-frequency data; cross-sectional return variation

3.

Volatility Jumps

Economic Research Initiatives at Duke (ERID) Working Paper No. 3
Number of pages: 26 Posted: 31 Jul 2008
Viktor Todorov and George Tauchen
Northwestern University - Kellogg School of Management and Duke University - Economics Group
Downloads 394 (130,432)
Citation 32

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Stochastic volatility, activity index, Blumenthal-Getoor index, jumps, VIX index, jump risk premium

4.

The Fine Structure of Equity-Index Option Dynamics

Journal of Econometrics, Vol. 187, pp. 532-546, 2015
Number of pages: 33 Posted: 08 Nov 2013 Last Revised: 10 Oct 2015
Torben G. Andersen, Oleg Bondarenko, Viktor Todorov and George Tauchen
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, Northwestern University - Kellogg School of Management and Duke University - Economics Group
Downloads 332 (157,373)
Citation 8

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high-frequency data, implied volatility, jump activity, Kolmogorov-Smirnov test, stable process, stochastic volatility, VIX index

5.

Estimation of Jump Tails

Downloads 185 (182,196)
Citation 23

Estimation of Jump Tails

Economic Research Initiatives at Duke (ERID) Working Paper No. 38
Number of pages: 48 Posted: 14 Apr 2010 Last Revised: 10 Jun 2011
Tim Bollerslev and Viktor Todorov
Duke University - Finance and Northwestern University - Kellogg School of Management
Downloads 185 (278,688)
Citation 6

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

6.

Volatility Measurement with Pockets of Extreme Return Persistence

Number of pages: 48 Posted: 04 Nov 2020
Torben G. Andersen, Yingying Li, Yingying Li, Viktor Todorov and Bo Zhou
Northwestern University - Kellogg School of Management, Hong Kong University of Science & Technology (HKUST), Dept of ISOM and Dept of FinanceHong Kong University of Science & Technology (HKUST) - Department of Information Systems, Business Statistics and Operations Management, Northwestern University - Kellogg School of Management and Virginia Tech Econ Department
Downloads 250 (210,734)
Citation 1

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extreme return persistence, high-frequency data, integrated volatility estimation, market microstructure noise, volatility forecasting.

7.

Volatility Activity: Specification and Estimation

Economic Research Initiatives at Duke (ERID) Working Paper No. 114
Number of pages: 32 Posted: 13 Oct 2011
Viktor Todorov, George Tauchen and Iaryna Grynkiv
Northwestern University - Kellogg School of Management, Duke University - Economics Group and Duke University
Downloads 193 (268,744)

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Asymmetric Volatility Activity, High-Frequency Data, Laplace Transform, Signed Power Variation, Specification Testing, Stochastic Volatility, Volatility Jumps

8.

Activity Signature Functions for High-Frequency Data Analysis

Economic Research Initiatives at Duke (ERID) Working Paper No. 2
Number of pages: 30 Posted: 30 Jul 2008
George Tauchen and Viktor Todorov
Duke University - Economics Group and Northwestern University - Kellogg School of Management
Downloads 193 (268,744)
Citation 2

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activity index, Blumenthal-Getoor index, jumps, Levy process, realized power variation

9.

Realized Volatility and Multipower Variation

CREATES Research Paper 2009-49
Number of pages: 16 Posted: 29 Oct 2009
Torben G. Andersen and Viktor Todorov
Northwestern University - Kellogg School of Management and Northwestern University - Kellogg School of Management
Downloads 167 (304,961)
Citation 7

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realized volatility, multipower variation, jumps, quadratic variation, volatility estimation, volatility forecasting, jump testing, continuous-time stochastic volatility model

10.

The Realized Laplace Transform of Volatility

Economic Research Initiatives at Duke (ERID) Working Paper No. 72
Number of pages: 21 Posted: 09 Oct 2010 Last Revised: 21 Jul 2011
George Tauchen and Viktor Todorov
Duke University - Economics Group and Northwestern University - Kellogg School of Management
Downloads 153 (328,400)
Citation 5

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Laplace transform, stochastic volatility, Central Limit Theorem, activity index, jumps, high-frequency data

11.

Volatility of Volatility and Leverage Effect from Options

Number of pages: 27 Posted: 10 May 2023
Carsten H. Chong and Viktor Todorov
The Hong Kong University of Science and Technology - Department of Information Systems, Business Statistics and Operations Management and Northwestern University - Kellogg School of Management
Downloads 132 (369,024)

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Itô semimartingale; characteristic function; leverage effect; nonparametric estimation; options; volatility of volatility

12.

The Pricing of Short-Term Market Risk: Evidence from Weekly Options

NBER Working Paper No. w21491
Number of pages: 54 Posted: 25 Aug 2015 Last Revised: 23 Mar 2023
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University - Kellogg School of Management
Downloads 122 (391,689)
Citation 1

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13.

Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions

Economic Research Initiatives at Duke (ERID) Working Paper No. 112
Number of pages: 31 Posted: 12 Oct 2011
Viktor Todorov and George Tauchen
Northwestern University - Kellogg School of Management and Duke University - Economics Group
Downloads 115 (408,934)
Citation 4

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Laplace transform, stochastic volatility, ill-posed problems, regularization, nonparametric density estimation, high-frequency data

14.

Testing for Stationarity of Volatility Curves

Number of pages: 66 Posted: 25 Jul 2023
Torben G. Andersen, Yingwen Tan, Viktor Todorov and Zhiyuan Zhang
Northwestern University - Kellogg School of Management, Shanghai University of Finance and Economics - School of Statistics and Management, Northwestern University - Kellogg School of Management and Shanghai University of Finance and Economics - School of Statistics and Management
Downloads 109 (428,099)

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functional invariance principle, high-frequency data, stationarity test, structural break, volatility curves

15.

Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

Economic Research Initiatives at Duke (ERID) Working Paper No. 75
Number of pages: 39 Posted: 06 Oct 2010
Viktor Todorov, George Tauchen and Iaryna Grynkiv
Northwestern University - Kellogg School of Management, Duke University - Economics Group and Duke University
Downloads 92 (477,280)
Citation 3

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Jumps, High-Frequency Data, Laplace Transform, Stochastic Volatility

16.

Changes in the Span of Systematic Risk Exposures

Number of pages: 55 Posted: 13 Feb 2023
Yuan Liao and Viktor Todorov
Rutgers, The State University of New Jersey - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 87 (494,069)

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asset pricing, high-frequency data, latent factor model, nonparametric test, PCA, systematic risk

17.

Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation

Economic Research Initiatives at Duke (ERID) Working Paper No. 74
Number of pages: 36 Posted: 06 Oct 2010
Viktor Todorov and George Tauchen
Northwestern University - Kellogg School of Management and Duke University - Economics Group
Downloads 70 (560,522)
Citation 2

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Activity Index, Blumenthal-Getoor Index, Central Limit Theorem, Ito Semimartingale, High-Frequency Data, Jumps, Realized Power Variation

18.

Asymptotic Expansions for High-Frequency Option Data

Number of pages: 41 Posted: 09 May 2023
Carsten H. Chong and Viktor Todorov
The Hong Kong University of Science and Technology - Department of Information Systems, Business Statistics and Operations Management and Northwestern University - Kellogg School of Management
Downloads 53 (643,393)

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Deep Itô semimartingale; higher-order asymptotic expansion; characteristic function; options; stochastic volatility

19.

Parametric Inference and Dynamic State Recovery from Option Panels

NBER Working Paper No. w18046
Number of pages: 50 Posted: 04 May 2012 Last Revised: 24 Apr 2022
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University - Kellogg School of Management
Downloads 49 (665,853)
Citation 13

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asset price, high-frequency data, Ito semimartingale violation, real-time detection, stopping rule

21.

Short-Time Expansion of Characteristic Functions in a Rough Volatility Setting With Applications

Number of pages: 33 Posted: 04 Aug 2022
Carsten H. Chong and Viktor Todorov
The Hong Kong University of Science and Technology - Department of Information Systems, Business Statistics and Operations Management and Northwestern University - Kellogg School of Management
Downloads 32 (780,868)

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asymptotic expansion, characteristic function, fractional Brownian motion, Hurst parameter, infinite variation jumps, Itô semimartingale, options, rough volatility

22.

Variance Risk-Premium Dynamics: The Role of Jumps

The Review of Financial Studies, Vol. 23, Issue 1, pp. 345-383, 2009
Posted: 25 Jan 2010
Viktor Todorov
Northwestern University - Kellogg School of Management

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C51, C52, G12, G13