Viktor Todorov

Northwestern University

2001 Sheridan Road

Evanston, IL 60208

United States

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 17,445

SSRN RANKINGS

Top 17,445

in Total Papers Downloads

3,600

SSRN CITATIONS
Rank 2,192

SSRN RANKINGS

Top 2,192

in Total Papers Citations

262

CROSSREF CITATIONS

342

Scholarly Papers (16)

1.
Downloads 993 ( 28,455)
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 652 (49,929)
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 341 (109,881)
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 809 (37,856)
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 351 (107,036)
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 272 (140,692)
Citation 7

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

5.
Downloads 163 (155,547)
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 163 (226,593)
Citation 6

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

6.

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 170 (218,415)
Citation 2

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

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, Duke University - Economics Group and Duke University
Downloads 169 (219,475)

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

8.

Volatility Measurement with Pockets of Extreme Return Persistence

Number of pages: 48 Posted: 04 Nov 2020
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 127 (276,163)
Citation 1

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

9.

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 122 (284,679)
Citation 5

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

10.

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 118 (291,523)
Citation 7

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

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 92 (344,359)
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 71 (401,124)
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 2021
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 57 (448,487)

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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 55 (455,812)
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 2021
Torben G. Andersen, Nicola Fusari and Viktor Todorov
Northwestern University - Kellogg School of Management, Johns Hopkins University - Carey Business School and Northwestern University
Downloads 31 (565,885)
Citation 13

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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