• On-line Detection of Changes in the Shape of Intraday Volatility Curves

Torben G. Andersen, Yingwen Tan, Viktor Todorov, Zhiyuan Zhang

Journal of Econometrics 2025, Journal Link

• A Nonparametric Test for Rough Volatility

Carsten Chong, Viktor Todorov

Journal of the American Statistical Association 2025, Journal Link

• Asymptotic Expansions for High-Frequency Option Data

Carsten Chong, Viktor Todorov

Annals of Applied Probability 2025, Journal Link

• Testing Mean Stationarity of Intraday Volatility Curves

Torben G. Andersen, Yingwen Tan, Viktor Todorov, Zhiyuan Zhang

Quantitative Economics 2025, Journal Link

• Real-Time Detection of Local No-Arbitrage Violations

Torben G. Andersen, Viktor Todorov, Bo Zhou

Quantitative Economics 2025, Journal Link

• Short-time expansion of characteristic functions in a rough volatility setting with applications

Carsten Chong, Viktor Todorov

Bernoulli 2025, Journal Link

• Intraday Volatility Patterns from Short-Dated Options

Viktor Todorov, Yang Zhang

Journal of Econometrics 2025, Journal Link

• Testing for Anticipated Changes in Spot Volatility at Event Times

Viktor Todorov, Yang Zhang

Econometric Theory 2025, Journal Link

• Systematic Jump Risk

Jean Jacod, Huidi Lin, Viktor Todorov

Annals of Applied Probability 2024, Journal Link

• Changes in the Span of Systematic Risk Exposures

Yuan Liao, Viktor Todorov

Quantitative Economics 2024, Journal Link

• Intraday Periodic Volatility Curves

Torben G. Andersen, Tao Su, Viktor Todorov, Zhiyuan Zhang

Journal of the American Statistical Association 2024, Journal Link

• Testing the Dimensionality of Policy Shocks

Jia Li, Viktor Todorov, Qiushi Zhang

Review of Economics and Statistics 2024, Journal Link

• Volatility of Volatility and Leverage Effect from Options

Carsten Chong, Viktor Todorov

Journal of Econometrics 2024, Journal Link

• The Jump Leverage Risk Premium

Tim Bollerslev, Viktor Todorov

Journal of Financial Economics 2023, Journal Link

• Intraday Cross-Sectional Distributions of Systematic Risk

Torben G. Andersen, Raul Riva, Martin Thyrsgaard, Viktor Todorov

Journal of Econometrics 2022, Journal Link

• Bias Reduction in Spot Volatility Estimation from Options

Viktor Todorov, Yang Zhang

Journal of Econometrics 2022, Journal Link

• Volatility Measurement with Pockets of Extreme Return Persistence

Torben G. Andersen, Yingying Li, Viktor Todorov, Bo Zhou

Journal of Econometrics 2022, Journal Link

• Information Gains from using Short-Dated Options for Measuring and Forecasting Volatility

Viktor Todorov, Yang Zhang

Journal of Applied Econometrics 2022, Journal Link

• Nonparametric Jump Variation Measures from Options

Viktor Todorov

Journal of Econometrics 2022, Journal Link

• Variation and Efficiency of High-Frequency Betas

Congshan Zhang, Jia Li, Viktor Todorov, George Tauchen

Journal of Econometrics 2022, Journal Link

• Higher-Order Small Time Asymptotic Expansion of Ito Semimartingale Characteristic Function 

    with Application to Estimation of Leverage from Options

    Viktor Todorov

    Stochastic Processes and Their Applications 2021, Journal Link

• Recalcitrant Betas: Intraday Variation in the Cross-Sectional Dispersion of Systematic Risk

Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov

Quantitative Economics 2021, Journal Link

• A Descriptive Study of High-Frequency Trade and Quote Option Data

Torben G. Andersen, Ilya Archakov, Leon Grund, Nikolaus Hautsch, Yifang Li, Sergey Nasekin, Ingmar Nolte, Manh C. Pham, Stephen Taylor, Viktor Todorov

Journal of Financial Econometrics 2021, Journal Link

• Spatial Dependence in Option Observation Errors

Torben G. Andersen, Nicola Fusari, Viktor Todorov, Rasmus Varneskov

Econometric Theory 2021, Journal Link

• Tail Risk and Return Predictability for the Japanese Equity Market

Torben G. Andersen, Viktor Todorov, Masato Ubukata

Journal of Econometrics 2021, Journal Link

• Testing and Inference for Fixed Times of Discontinuity in Semimartingales

Viktor Todorov

Bernoulli 2020, Journal Link

• The Pricing of Tail Risk and the Equity Premium: Evidence from International Optional Markets

Torben G. Andersen, Nicola Fusari, Viktor Todorov

Journal of Business Economics and Statistics 2020, Journal Link

• Nonparametric Spot Volatility from Options

Viktor Todorov

Annals of Applied Probability 2019, Journal Link

• Inference for Option Panels in Pure-Jump Settings

Torben G. Andersen, Nicola Fusari, Viktor Todorov, Rasmus Varneskov

Econometric Theory 2019, Journal Link

• Time-Varying Periodicity in Intraday Volatility

Torben G. Andersen, Martin Thyrsgaard, Viktor Todorov

Journal of the American Statistical Association 2019, Journal Link

• Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span

Torben G. Andersen, Nicola Fusari, Viktor Todorov, Rasmus Varneskov

Journal of Econometrics 2019, Journal Link

• Rank Tests at Jump Events

Jia Li, Viktor Todorov, George Tauchen, Huidi Lin

Journal of Business and Economic Statistics 2019, Journal Link

• Jump Factor Models in Large Cross-Sections

Viktor Todorov, Jia Li, George Tauchen

Quantitative Economics 2019, Journal Link

• Nonparametric Implied Levy Densities

Likuan Qin, Viktor Todorov

Annals of Statistics 2019, Journal Link

• Nonparametric Inference for the Spectral Measure of A Bivariate Pure-Jump Semimartingale

Viktor Todorov

Stochastic Processes and Their Applications 2019, Journal Link

• Limit Theorems for Integrated Local Empirical Characteristic Exponents from Noisy High-Frequency Data 

    with Application to Volatility and Jump Activity Estimation

    Jean Jacod, Viktor Todorov

    Annals of Applied Probability 2018, Journal Link

• Mixed-scale Jump Regressions with Bootstrap Inference

Viktor Todorov, Jia Li, George Tauchen, Rui Chen

Journal of Econometrics 2017, Journal Link

• Adaptive Estimation of Continuous-Time Regression Models using High-Frequency Data

Viktor Todorov, George Tauchen, Jia Li

Journal of Econometrics 2017, Journal Link

• Testing for Time-Varying Jump Activity for Pure Jump Semimartingales

Viktor Todorov

Annals of Statistics 2017, Journal Link

• Short-Term Market Risks Implied by Weekly Options

Torben G. Andersen, Nicola Fusari, Viktor Todorov

Journal of Finance 2017, Journal Link

• Robust Jump Regressions

Viktor Todorov, Jia Li, George Tauchen

Journal of the American Statistical Association 2017, Journal Link

• Jump Regressions

Viktor Todorov, George Tauchen, Jia Li

Econometrica 2017, Journal Link

• Estimating the Volatility Occupation Time via Regularized Laplace Inversion

Jia Li, Viktor Todorov, George Tauchen

Econometric Theory 2016, Journal Link

• Inference Theory for Volatility Functional Dependencies

Jia Li, Viktor Todorov, George Tauchen

Journal of Econometrics 2016, Journal Link

• Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross Section of Expected Stock Returns

Viktor Todorov, Tim Bollerselv, Sophia Zhengzi Li

Journal of Financial Economics 2016, Journal Link

• Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices

Viktor Todorov, Jean Jacod

2015

• Tail Risk Premia and Return Predictability

Tim Bollerslev, Viktor Todorov, Lai Xu

Journal of Financial Economics 2015, Journal Link

• The Risk Premia Embedded in Index Options

Torben G. Andersen, Nicola Fusari, Viktor Todorov

Journal of Financial Economics 2015, Journal Link

• Jump Activity Estimation for Pure-Jump Ito Semimartingales via Self-Normalised Statistics

Viktor Todorov

Annals of Statistics 2015, Journal Link

• The Fine Structure of Equity-Index Option Dynamics

Torben G. Andersen, Oleg Bondarenko, Viktor Todorov, George Tauchen

Journal of Econometrics 2015, Journal Link

• Parametric Inference and Dynamic State Recovery from Option Panels

Torben G. Andersen, Nicola Fusari, Viktor Todorov

Econometrica 2015, Journal Link

• Nonparametric Test for a Constant Beta between Ito Semimartingales based on High Frequency Data

Markus Reiß, Viktor Todorov, George Tauchen

Stochastic Processes and Their Applications 2015, Journal Link

• Time-Varying Jump Tails

Viktor Todorov, Tim Bollerslev

Journal of Econometrics 2014, Journal Link

• Limit Theorems for the Empirical Distribution Function of Scaled Increments of Ito Semimartingales at High Frequencies

Viktor Todorov, George Tauchen

Annals of Applied Probability 2014, Journal Link

• Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps

Viktor Todorov, Jean Jacod

Annals of Statistics 2014, Journal Link

• Volatility Activity: Specification and Estimation

Viktor Todorov, George Tauchen, Iaryna Grynkiv

Journal of Econometrics 2014, Journal Link

• Volatility Occupation Times

Viktor Todorov, Jia Li, George Tauchen

Annals of Statistics 2014, Journal Link

• Power Variation from Second Order Differences for Pure Jump Semimartingales

Viktor Todorov

Stochastic Processes and Their Applications 2013, Journal Link

• Jump Tails, Extreme Dependencies and the Distribution of Stock Returns

Tim Bollerslev, Viktor Todorov, Sophia Zhengzi Li

Journal of Econometrics 2013, Journal Link

• Central Limit Theorems for Approximate Quadratic Variations of Pure Jump into Semimartingales

A. Diop, Jean Jacod, Viktor Todorov

Stochastic Processes and Their Applications 2012, Journal Link

• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions

Viktor Todorov, George Tauchen

Journal of American Statistical Association 2012, Journal Link

• Realized Laplace Transforms for Pure-Jump Semimartingales

Viktor Todorov, George Tauchen

Annals of Statistics 2012, Journal Link

• The Realized Laplace Transform of Volatility

Viktor Todorov, George Tauchen

Econometrica 2012, Journal Link

• Estimation of Jump Tails

Tim Bollerslev, Viktor Todorov

Econometrica 2011, Journal Link

• Tails, Fears and Risk Premia

Tim Bollerslev, Viktor Todorov

Journal of Finance 2011, Journal Link

• Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models

Viktor Todorov, George Tauchen, Iaryna Grynkiv

Journal of Econometrics 2011, Journal Link

• Volatility Jumps

Viktor Todorov, George Tauchen

Journal of Business and Economic Statistics 2011, Journal Link

• Limit Theorems for Power Variations of Pure-Jump Processes with Application to Activity Estimation

Viktor Todorov, George Tauchen

Annals of Applied Probability 2011, Journal Link

• Econometric Analysis of Jump-Driven Stochastic Volatility Models

Viktor Todorov

Journal of Econometrics 2011, Journal Link

• Do Price and Volatility Jump Together?

Jean Jacod, Viktor Todorov

Annals of Applied Probability 2010, Journal Link

• Jumps and Betas: A New Theoretical Framework for Disentangling and Estimating Systematic Risks

Viktor Todorov, Tim Bollerslev

Journal of Econometrics 2010, Journal Link

• Realized Volatility and Multipower Variation

Torben G. Andersen, Viktor Todorov 

2010

• Variance Risk Premium Dynamics: The Role of Jumps

Viktor Todorov

    Review of Financial Studies 2010, Journal Link

• Activity Signature Functions for High-Frequency Data Analysis

Viktor Todorov, George Tauchen

Journal of Econometrics 2010, Journal Link

• Testing for Common Arrival of Jumps in Discretely-Observed Multidimensional Processes

Jean Jacod, Viktor Todorov

Annals of Statistics 2009, Journal Link

• Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data

Viktor Todorov

Journal of Econometrics 2009, Journal Link

• Simulation Methods for Levy-driven CARMA Stochastic Volatility Models

Viktor Todorov, George Tauchen

Journal of Business & Economic Statistics 2006, Journal Link