Follow
Viktor Todorov
Viktor Todorov
Professor of Finance, Kellogg School, Northwestern University
Verified email at northwestern.edu - Homepage
Title
Cited by
Cited by
Year
Tails, fears, and risk premia
T Bollerslev, V Todorov
The Journal of finance 66 (6), 2165-2211, 2011
9232011
Variance risk-premium dynamics: The role of jumps
V Todorov
The Review of Financial Studies 23 (1), 345-383, 2010
4312010
Tail risk premia and return predictability
T Bollerslev, V Todorov, L Xu
Journal of Financial Economics 118 (1), 113-134, 2015
4182015
Volatility jumps
V Todorov, G Tauchen
Journal of Business & Economic Statistics 29 (3), 356-371, 2011
3212011
The risk premia embedded in index options
TG Andersen, N Fusari, V Todorov
Journal of Financial Economics 117 (3), 558-584, 2015
2882015
Testing for common arrivals of jumps for discretely observed multidimensional processes
J Jacod, V Todorov
2382009
Jumps and betas: A new framework for disentangling and estimating systematic risks
V Todorov, T Bollerslev
Journal of Econometrics 157 (2), 220-235, 2010
1922010
Estimation of jump tails
T Bollerslev, V Todorov
Econometrica 79 (6), 1727-1783, 2011
1872011
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
T Bollerslev, SZ Li, V Todorov
Journal of financial economics 120 (3), 464-490, 2016
1782016
Jump tails, extreme dependencies, and the distribution of stock returns
T Bollerslev, V Todorov, SZ Li
Journal of Econometrics 172 (2), 307-324, 2013
1722013
Parametric inference and dynamic state recovery from option panels
TG Andersen, N Fusari, V Todorov
Econometrica 83 (3), 1081-1145, 2015
1582015
Do price and volatility jump together?
J Jacod, V Todorov
1342010
Short‐term market risks implied by weekly options
TG Andersen, N Fusari, V Todorov
The Journal of Finance 72 (3), 1335-1386, 2017
1322017
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
V Todorov
Journal of Econometrics 148 (2), 131-148, 2009
1262009
Activity signature functions for high-frequency data analysis
V Todorov, G Tauchen
Journal of Econometrics 154 (2), 125-138, 2010
1252010
Simulation methods for LÚvy-driven continuous-time autoregressive moving average (CARMA) stochastic volatility models
V Todorov, G Tauchen
Journal of Business & Economic Statistics 24 (4), 455-469, 2006
1082006
Jump regressions
J Li, V Todorov, G Tauchen
Econometrica 85 (1), 173-195, 2017
1012017
Time-varying jump tails
T Bollerslev, V Todorov
Journal of Econometrics 183 (2), 168-180, 2014
982014
The pricing of tail risk and the equity premium: Evidence from international option markets
TG Andersen, N Fusari, V Todorov
Journal of Business & Economic Statistics 38 (3), 662-678, 2020
922020
Econometric analysis of jump-driven stochastic volatility models
V Todorov
Journal of Econometrics 160 (1), 12-21, 2011
922011
The system can't perform the operation now. Try again later.
Articles 1–20