← All authors Viktor Todorov Department of Finance (from arXiv:2407.10659, 2024) · ORCID · OpenAlex
73 papers in scope · 73 published · 3 on the econ.EM arXiv · 5,062 citations · h-index 31 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Giacomo Toscano Carsten Chong Stefano Marmi Maria Elvira Mancino Giulia Livieri Christina Dan Wang Ilze Kalnina Zhao Chen Kokouvi Tewou Jun Yu Qiang Liu Yang Zu Zhi Liu Simona Sanfelici Zhou Wang H. Peter Boswijk Tetsuya Takabatake Chen Zhang José E. Figueroa-López Torben G. Andersen Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (3 of 73)
Testing for Rough Volatility When Prices Are Purely Discontinuous
published 2026 · Journal of Time Series Analysis
On-line detection of changes in the shape of intraday volatility curves
published 2025 · Journal of Econometrics · 1 citations
Asymptotic expansions for high-frequency option data
published 2025 · The Annals of Applied Probability · 2 citations · first circulated 2023
published 2025 · Journal of the American Statistical Association · 4 citations · first circulated 2024
Short-time expansion of characteristic functions in a rough volatility setting with applications
published 2025 · Bernoulli · 4 citations · first circulated 2022
published 2025 · Quantitative Economics · 2 citations · first circulated 2023
Testing mean stationarity of intraday volatility curves
published 2025 · Quantitative Economics · 3 citations · first circulated 2023
Systematic jump risk
published 2024 · The Annals of Applied Probability · 6 citations
with Jean Jacod, Huidi Lin
Intraday volatility patterns from short-dated options
published 2024 · Journal of Econometrics · 3 citations
with Yang Zhang
published 2024 · Journal of Econometrics · 9 citations · first circulated 2023
Changes in the span of systematic risk exposures
published 2024 · Quantitative Economics · 10 citations · first circulated 2023
The jump leverage risk premium
published 2023 · Journal of Financial Economics · 19 citations
with Tim Bollerslev
TESTING FOR ANTICIPATED CHANGES IN SPOT VOLATILITY AT EVENT TIMES
published 2023 · Econometric Theory · 4 citations
with Yang Zhang
Intraday Periodic Volatility Curves
published 2023 · Journal of the American Statistical Association · 30 citations
Intraday cross-sectional distributions of systematic risk
published 2022 · Journal of Econometrics · 14 citations
Bias reduction in spot volatility estimation from options
published 2021 · Journal of Econometrics · 15 citations
with Yang Zhang
Testing the Dimensionality of Policy Shocks
published 2021 · The Review of Economics and Statistics · 5 citations
with Jia Li, Qiushi Zhang
Higher-order small time asymptotic expansion of Itô semimartingale characteristic function with application to estimation of leverage from options
published 2021 · Stochastic Processes and their Applications · 9 citations
Information gains from using short‐dated options for measuring and forecasting volatility
published 2021 · Journal of Applied Econometrics · 13 citations
with Yang Zhang
Nonparametric jump variation measures from options
published 2021 · Journal of Econometrics · 7 citations
Volatility measurement with pockets of extreme return persistence
published 2021 · Journal of Econometrics · 47 citations · first circulated 2020
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
published 2021 · Quantitative Economics · 42 citations
Variation and efficiency of high-frequency betas
published 2020 · Journal of Econometrics · 3 citations
A Descriptive Study of High-Frequency Trade and Quote Option Data*
published 2020 · Journal of Financial Econometrics · 29 citations · first circulated 2019
Editorial for the special issue on financial econometrics in the age of the digital economy
published 2020 · Journal of Econometrics
Testing and inference for fixed times of discontinuity in semimartingales
published 2020 · Bernoulli · 4 citations
Tail risk and return predictability for the Japanese equity market
published 2020 · Journal of Econometrics · 52 citations
SPATIAL DEPENDENCE IN OPTION OBSERVATION ERRORS
published 2020 · Econometric Theory · 20 citations
Nonparametric spot volatility from options
published 2019 · The Annals of Applied Probability · 52 citations
Unified inference for nonlinear factor models from panels with fixed and large time span
published 2019 · Journal of Econometrics · 4 citations
The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets
published 2019 · Journal of Business and Economic Statistics · 28 citations
Nonparametric implied Lévy densities
published 2019 · The Annals of Statistics · 9 citations
with Likuan Qin
Jump factor models in large cross‐sections
published 2019 · Quantitative Economics · 21 citations
with Jia Li, George Tauchen
INFERENCE FOR OPTION PANELS IN PURE-JUMP SETTINGS
published 2018 · Econometric Theory · 6 citations
Time-Varying Periodicity in Intraday Volatility
published 2018 · Journal of the American Statistical Association · 69 citations
Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale
published 2018 · Stochastic Processes and their Applications · 3 citations
Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation
published 2018 · The Annals of Applied Probability · 21 citations
with Jean Jacod
Mixed-scale jump regressions with bootstrap inference
published 2017 · Journal of Econometrics · 25 citations
Testing for time-varying jump activity for pure jump semimartingales
published 2017 · The Annals of Statistics · 14 citations
Adaptive estimation of continuous-time regression models using high-frequency data
published 2017 · Journal of Econometrics · 60 citations
Rank Tests at Jump Events
published 2017 · Journal of Business and Economic Statistics · 21 citations
Short‐Term Market Risks Implied by Weekly Options
published 2017 · The Journal of Finance · 143 citations
Jump Regressions
published 2017 · Econometrica · 81 citations
with Jia Li, George Tauchen
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
published 2016 · Journal of Financial Economics · 180 citations · first circulated 2014
with Tim Bollerslev, Sophia Zhengzi Li
Inference theory for volatility functional dependencies
published 2016 · Journal of Econometrics · 32 citations
Robust Jump Regressions
published 2016 · Journal of the American Statistical Association · 18 citations
Tail risk premia and return predictability
published 2015 · Journal of Financial Economics · 438 citations · first circulated 2014
with Tim Bollerslev, Lai Xu
Jump activity estimation for pure-jump semimartingales via self-normalized statistics
published 2015 · The Annals of Statistics · 44 citations
The risk premia embedded in index options
published 2015 · Journal of Financial Economics · 306 citations · first circulated 2014
ESTIMATING THE VOLATILITY OCCUPATION TIME VIA REGULARIZED LAPLACE INVERSION
published 2015 · Econometric Theory · 9 citations
Parametric Inference and Dynamic State Recovery From Option Panels
published 2015 · Econometrica · 146 citations · first circulated 2012
The fine structure of equity-index option dynamics
published 2015 · Journal of Econometrics · 29 citations · first circulated 2013
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
published 2015 · Stochastic Processes and their Applications · 42 citations · first circulated 2014
with Markus Reiß, George Tauchen
Time-varying jump tails
published 2014 · Journal of Econometrics · 89 citations
with Tim Bollerslev
Efficient estimation of integrated volatility in presence of infinite variation jumps
published 2014 · The Annals of Statistics · 77 citations
with Jean Jacod
Volatility activity: Specification and estimation
published 2013 · Journal of Econometrics · 6 citations
with George Tauchen, Iaryna Grynkiv
Power variation from second order differences for pure jump semimartingales
published 2013 · Stochastic Processes and their Applications · 21 citations
Central Limit Theorems for approximate quadratic variations of pure jump Itô semimartingales
published 2012 · Stochastic Processes and their Applications · 12 citations
with Assane Diop, Jean Jacod
Jump tails, extreme dependencies, and the distribution of stock returns
published 2012 · Journal of Econometrics · 175 citations · first circulated 2010
with Tim Bollerslev, Sophia Zhengzi Li
Realized Laplace transforms for pure-jump semimartingales
published 2012 · The Annals of Statistics · 34 citations
with George Tauchen
Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
published 2012 · Econometrica · 69 citations · first circulated 2010
with George Tauchen
Tails, Fears, and Risk Premia
published 2011 · The Journal of Finance · 866 citations · first circulated 2009
with Tim Bollerslev
Realized Laplace transforms for estimation of jump diffusive volatility models
published 2011 · Journal of Econometrics · 25 citations · first circulated 2010
with George Tauchen, Iaryna Grynkiv
Estimation of Jump Tails
published 2011 · Econometrica · 137 citations · first circulated 2010
with Tim Bollerslev
Volatility Jumps
published 2010 · Journal of Business and Economic Statistics · 214 citations · first circulated 2008
with George Tauchen
Do price and volatility jump together?
published 2010 · The Annals of Applied Probability · 144 citations
with Jean Jacod
Econometric analysis of jump-driven stochastic volatility models
published 2010 · Journal of Econometrics · 68 citations
Jumps and betas: A new framework for disentangling and estimating systematic risks
published 2009 · Journal of Econometrics · 123 citations · first circulated 2007
with Tim Bollerslev
Activity signature functions for high-frequency data analysis
published 2009 · Journal of Econometrics · 103 citations · first circulated 2008
with George Tauchen
Testing for common arrivals of jumps for discretely observed multidimensional processes
published 2009 · The Annals of Statistics · 207 citations
with Jean Jacod
Variance Risk-Premium Dynamics: The Role of Jumps
published 2009 · Review of Financial Studies · 346 citations
Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
published 2008 · Journal of Econometrics · 119 citations
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
published 2006 · Journal of Business and Economic Statistics · 69 citations · first circulated 2004
with George Tauchen
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