Viktor Todorov

  • 1003 Citations
20062019
If you made any changes in Pure, your changes will be visible here soon.

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

Econometrics
Derivative markets
Derivatives
Canada
Organizing
Pricing
Econometrics
Derivatives
Inference
Crash

Research Output 2006 2019

  • 1003 Citations
  • 46 Article
  • 5 Working paper
  • 1 Chapter
  • 1 Entry for encyclopedia/dictionary
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

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

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 journalArticle

Inference
Factors
Limit distribution
Penalty
Scenarios
High-frequency Data
Characteristic Exponents
Noisy Data
Empirical Characteristic Function
Limit Theorems