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.

### Education/Academic qualification

Economics, PhD, Duke University

… → 2007

Economics, MA, Central European University

… → 2002

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

… → 1999

## Fingerprint Fingerprint is based on mining the text of the experts' scientific documents to create an index of weighted terms, which defines the key subjects of each individual researcher.

- 2 Similar Profiles

Jump
Mathematics

Semimartingale
Mathematics

Volatility
Mathematics

High-frequency Data
Mathematics

Limit Theorems
Mathematics

Interval
Mathematics

Increment
Mathematics

Jump Process
Mathematics

##
Network
Recent external collaboration on country level. Dive into details by clicking on the dots.

## Grants 2015 2018

- 2 Finished

Econometrics

Derivative markets

Derivatives

Canada

Organizing

Pricing

Econometrics

Derivatives

Inference

Crash

## Research Output 2006 2019

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 journal › Article

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 journal › Article

Nonparametric Inference

Spectral Measure

Semimartingale

Spectral density

Jump

## 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 journal › Article

Volatility

Periodicity

Time-varying

Intraday volatility

Empirical Characteristic Function

## Unified inference for nonlinear factor models from panels with fixed and large time span

Andersen, T., Fusari, N., Todorov, V. & Varneskov, R. T., Jan 1 2019, In : Journal of Econometrics.Research output: Contribution to journal › Article

Inference

Factors

Limit distribution

Penalty

Scenarios

## Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation

Jacod, J. & Todorov, V., Feb 1 2018, In : Annals of Applied Probability. 28, 1, p. 511-576 66 p.Research output: Contribution to journal › Article

High-frequency Data

Characteristic Exponents

Noisy Data

Empirical Characteristic Function

Limit Theorems