Viktor Todorov

Northwestern University

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

16

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Top 15,976

in Total Papers Downloads

3,380

SSRN CITATIONS
Rank 2,450

SSRN RANKINGS

Top 2,450

in Total Papers Citations

167

CROSSREF CITATIONS

338

Scholarly Papers (16)

1.
Downloads 979 ( 25,372)
Citation 186

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 644 (44,608)
Citation 40

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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 335 (99,568)
Citation 12

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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 788 (34,434)
Citation 30

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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 335 (100,247)
Citation 11

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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 265 (128,982)
Citation 6

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

5.
Downloads 156 (143,091)
Citation 15

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 156 (210,959)
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 166 (199,823)

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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 164 (201,878)
Citation 2

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

8.

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 120 (259,063)
Citation 4

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

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 113 (270,523)
Citation 6

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

10.

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 90 (314,757)
Citation 4

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

11.

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 68 (370,539)
Citation 3

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

12.

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 54 (415,289)
Citation 2

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

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
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 51 (425,910)

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14.

Parametric Inference and Dynamic State Recovery from Option Panels

NBER Working Paper No. w18046
Number of pages: 50 Posted: 04 May 2012
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 29 (522,476)
Citation 7

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15.

Volatility Measurement with Pockets of Extreme Return Persistence

Number of pages: 48
Torben G. Andersen, 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 Finance, Northwestern University and Durham University Business School
Downloads 2

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

16.

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