Viktor Todorov

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Short-time expansion of characteristic functions in a rough ...

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von C Chong · · Zitiert von: 2 — Short-time expansion of characteristic functions in a rough volatility setting with applications. Authors:Carsten Chong, Viktor Todorov. › q-fin

Tails, Fears and Risk Premia by Tim Bollerslev, Viktor Todorov :: SSRN

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We show that the compensation for rare events accounts for a large fraction of the average equity and variance risk premia. Exploiting the special structure of

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[ ] Limit theorems for power variations of pure-jump...

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· From: Viktor Todorov [view email] [via VTEX proxy] [v1] Wed, 6 Apr :29:07 UTC (135 KB). Full-text links: ...

Volatility Jumps by Viktor Todorov, George Tauchen :: SSRN

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The paper undertakes a non-parametric analysis of the very high frequency movements in stock market volatility using very finely sampled data on the S&P VIX ind

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[ ] Jump activity estimation for pure-jump semimartingales...

arxiv.org

Authors: Viktor Todorov. (Submitted on 18 Aug 2015). Abstract: We derive a nonparametric estimator of the jump-activity index of a "locally-stable" pure-jump It\^{o} semimartingale from discrete observations of the process on a fixed time interval with mesh of the observation grid shrinking to zero. The estimator is based on ...

Volatility Activity: Specification and Estimation by Viktor Todorov,...

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The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparam

The Realized Laplace Transform of Volatility George Tauchen ...

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von G Tauchen · Zitiert von: 1 — Viktor Todorov and George Tauchen Motivation. • Strong parametric and nonparametric evidence for presence of persistent stochastic. › tauchen › download

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