Grants per year
Personal profile
Research Interests
His research interests include theoretical and empirical asset pricing, derivatives and econometrics. His recent research focuses on robust estimation of asset pricing models using high-frequency financial data as well as the identification and modeling of jump risk premium combining information from options markets.
Expertise related to UN Sustainable Development Goals
In 2015, UN member states agreed to 17 global Sustainable Development Goals (SDGs) to end poverty, protect the planet and ensure prosperity for all. This person’s work contributes towards the following SDG(s):
Education/Academic qualification
Economics, PhD, Duke University
… → 2007
Economics, MA, Central European University
… → 2002
Finance, BA, Varna University of Economics
… → 1999
Research interests keywords
- Applied probability
- Asset pricing
- Derivatives
- Theoretical and applied econometrics
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Collaborations and top research areas from the last five years
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Grants
- 2 Finished
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The Econometrics of Derivatives Markets
Andersen, T. (PD/PI) & Todorov, V. (Co-PD/PI)
7/1/17 → 7/31/17
Project: Research project
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Econometric Tools for Analysis of Derivatives Data
Andersen, T. (PD/PI) & Todorov, V. (Co-PD/PI)
9/1/15 → 8/31/18
Project: Research project
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Changes in the span of systematic risk exposures
Liao, Y. & Todorov, V., Jul 2024, In: Quantitative Economics. 15, 3, p. 817-847 31 p.Research output: Contribution to journal › Article › peer-review
Open Access3 Scopus citations -
Intraday Periodic Volatility Curves
Andersen, T. G., Su, T., Todorov, V. & Zhang, Z., 2024, In: Journal of the American Statistical Association. 119, 546, p. 1181-1191 11 p.Research output: Contribution to journal › Article › peer-review
5 Scopus citations -
Intraday volatility patterns from short-dated options
Todorov, V. & Zhang, Y., 2024, (Accepted/In press) In: Journal of Econometrics. 105732.Research output: Contribution to journal › Article › peer-review
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SYSTEMATIC JUMP RISK
Jacod, J., Lin, H. & Todorov, V., Oct 2024, In: Annals of Applied Probability. 34, 5, p. 4342-4386 45 p.Research output: Contribution to journal › Article › peer-review
1 Scopus citations -
TESTING THE DIMENSIONALITY OF POLICY SHOCKS
Li, J., Todorov, V. & Zhang, Q., Mar 19 2024, In: Review of Economics and Statistics. 106, 2, p. 470-482 13 p.Research output: Contribution to journal › Article › peer-review
Open Access2 Scopus citations
Datasets
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Rank Tests at Jump Events
Li, J. (Creator), Todorov, V. (Creator), Tauchen, G. (Creator) & Lin, H. (Contributor), Taylor & Francis, 2017
DOI: 10.6084/m9.figshare.5396920.v1, https://tandf.figshare.com/articles/dataset/Rank_Tests_at_Jump_Events/5396920/1
Dataset
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Rank Tests at Jump Events*
Li, J. (Creator), Todorov, V. (Creator), Tauchen, G. (Creator) & Lin, H. (Creator), Taylor & Francis, 2020
DOI: 10.6084/m9.figshare.5396920, https://tandf.figshare.com/articles/dataset/Rank_Tests_at_Jump_Events/5396920
Dataset
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Intraday Periodic Volatility Curves
Andersen, T. G. (Creator), Su, T. (Creator), Todorov, V. (Creator) & Zhang, Z. (Creator), Taylor & Francis, 2023
DOI: 10.6084/m9.figshare.22041201.v2, https://tandf.figshare.com/articles/dataset/Intraday_Periodic_Volatility_Curves/22041201/2
Dataset
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Replication Data for: Testing the Dimensionality of Policy Shocks
Todorov, V. (Creator), Harvard Dataverse, 2021
DOI: 10.7910/dvn/xihrvw, https://dataverse.harvard.edu/citation?persistentId=doi:10.7910/DVN/XIHRVW
Dataset
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Robust Jump Regressions
Li, J. (Creator), Todorov, V. (Creator) & Tauchen, G. (Creator), Taylor & Francis, 2016
DOI: 10.6084/m9.figshare.2069556.v2, https://tandf.figshare.com/articles/dataset/Robust_Jump_Regressions/2069556/2
Dataset