Viktor Todorov

  • 1075 Citations
20062019
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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.

Education/Academic qualification

Economics, PhD, Duke University

… → 2007

Economics, MA, Central European University

… → 2002

Finance, BA, Varna University of Economics, Bulgaria, Varna

… → 1999

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  • 2 Similar Profiles
Jump Mathematics
Semimartingale Mathematics
Volatility Mathematics
High-frequency Data Mathematics
Limit Theorems Mathematics
Interval Mathematics
Increment Mathematics
Jump Process Mathematics

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Grants 2015 2018

Econometrics
Derivative markets
Derivatives
Canada
Organizing
Pricing
Econometrics
Derivatives
Inference
Crash

Research Output 2006 2019

  • 1075 Citations
  • 48 Article
  • 5 Working paper
  • 1 Chapter
  • 1 Entry for encyclopedia/dictionary
1 Citation (Scopus)

Jump factor models in large cross-sections

Li, J., Todorov, V. & Tauchen, G., May 1 2019, In : Quantitative Economics. 10, 2, p. 419-456 38 p.

Research output: Contribution to journalArticle

Open Access
Jump
Cross section
Factors
Discrepancy
Factor loadings
1 Citation (Scopus)

Nonparametric implied lévy densities

Qin, L. & Todorov, V., Apr 1 2019, In : Annals of Statistics. 47, 2, p. 1025-1060 36 p.

Research output: Contribution to journalArticle

Volatility
Integrated Squared Error
Relative Stability
Density Estimates
Density Estimator

Nonparametric inference for the spectral measure of a bivariate pure-jump semimartingale

Todorov, V., Feb 1 2019, In : Stochastic Processes and their Applications. 129, 2, p. 419-451 33 p.

Research output: Contribution to journalArticle

Nonparametric Inference
Spectral Measure
Semimartingale
Spectral density
Jump
Equity
Risk Premium
premium
Pricing
pricing
1 Citation (Scopus)

Time-Varying Periodicity in Intraday Volatility

Andersen, T., Thyrsgaard, M. & Todorov, V., Jan 1 2019, In : Journal of the American Statistical Association.

Research output: Contribution to journalArticle

Volatility
Periodicity
Time-varying
Intraday volatility
Empirical Characteristic Function