Viktor Todorov

  • 1254 Citations
20062019

Research output per year

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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

… → 1999

Research interests

  • Applied probability
  • Asset pricing
  • Derivatives
  • Theoretical and applied econometrics

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Grants

  • Research Output

    • 1254 Citations
    • 49 Article
    • 5 Working paper
    • 1 Chapter
    • 1 Entry for encyclopedia/dictionary

    INFERENCE for OPTION PANELS in PURE-JUMP SETTINGS

    Andersen, T. G., Fusari, N., Todorov, V. & Varneskov, R. T., Oct 1 2019, In : Econometric Theory. 35, 5, p. 901-942 42 p.

    Research output: Contribution to journalArticle

    Open Access
  • 2 Scopus citations

    Jump factor models in large cross-sections

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

    Research output: Contribution to journalArticle

    Open Access
  • 1 Scopus citations

    Nonparametric implied lévy densities

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

    Research output: Contribution to journalArticle

  • 3 Scopus citations
  • Nonparametric spot volatility from options

    Todorov, V., Jan 1 2019, In : Annals of Applied Probability. 29, 6, p. 3590-3636 47 p.

    Research output: Contribution to journalArticle