Viktor Todorov

Northwestern University

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

17

DOWNLOADS
Rank 19,263

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Top 19,263

in Total Papers Downloads

3,822

SSRN CITATIONS
Rank 2,115

SSRN RANKINGS

Top 2,115

in Total Papers Citations

261

CROSSREF CITATIONS

343

Scholarly Papers (17)

1.
Downloads 1,018 ( 31,898)
Citation 221

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
Downloads 661 (56,573)
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
Downloads 357 (119,502)
Citation 13

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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
Downloads 834 (42,134)
Citation 35

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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 and Duke University - Economics Group
Downloads 370 (115,612)
Citation 22

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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
Northwestern University - Kellogg School of Management, University of Illinois at Chicago - Department of Finance, Northwestern University and Duke University - Economics Group
Downloads 300 (144,770)
Citation 7

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

5.
Downloads 170 (170,084)
Citation 17

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
Downloads 170 (247,623)
Citation 6

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

6.

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, Duke University - Economics Group and Duke University
Downloads 177 (238,944)

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

7.

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
Downloads 174 (242,377)
Citation 2

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

8.

Volatility Measurement with Pockets of Extreme Return Persistence

Number of pages: 48 Posted: 04 Nov 2020
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 and Durham University Business School
Downloads 169 (248,461)
Citation 1

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

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
Downloads 134 (299,437)
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
Downloads 127 (311,833)
Citation 5

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

11.

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 and Duke University - Economics Group
Downloads 98 (372,756)
Citation 4

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

12.

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, Duke University - Economics Group and Duke University
Downloads 77 (431,114)
Citation 3

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

13.

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: 22 Sep 2022
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 69 (457,426)

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14.

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 and Duke University - Economics Group
Downloads 57 (502,521)
Citation 2

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

15.

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
Downloads 32 (627,282)
Citation 13

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16.

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

Number of pages: 33 Posted: 04 Aug 2022
Carsten Chong and Viktor Todorov
Columbia University - Department of Statistics and Northwestern University
Downloads 16 (747,932)

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

17.

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

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C51, C52, G12, G13