Viktor Todorov

Best Publications

• Tails, Fears, and Risk Premia

  Tim Bollerslev;Viktor Todorov

  1113
  Citations

• Tail Risk Premia and Return Predictability

  Tim Bollerslev;Tim Bollerslev;Viktor Todorov;Lai Xu

  436
  Citations

• Variance Risk-Premium Dynamics: The Role of Jumps

  Viktor Todorov

  405
  Citations

• The risk premia embedded in index options

  Torben G. Andersen;Nicola Fusari;Viktor Todorov

  326
  Citations

• Volatility Jumps

  Unknown

  261
  Citations

• Testing for Common Arrivals of Jumps for Discretely Observed Multidimensional Processes

  Jean Jacod;Viktor Todorov

  237
  Citations

• Jumps and betas: A new framework for disentangling and estimating systematic risks

  Viktor Todorov;Tim Bollerslev

  235
  Citations

• Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns

  Tim Bollerslev;Tim Bollerslev;Sophia Zhengzi Li;Viktor Todorov

  212
  Citations

• Estimation of Jump Tails

  Tim Bollerslev;Viktor Todorov

  207
  Citations

• Parametric Inference and Dynamic State Recovery from Option Panels

  Torben G. Andersen;Nicola Fusari;Viktor Todorov

  200
  Citations

• Jump tails, extreme dependencies, and the distribution of stock returns

  Tim Bollerslev;Viktor Todorov;Sophia Zhengzi Li

  186
  Citations

• Do price and volatility jump together

  Jean Jacod;Viktor Todorov

  167
  Citations

• Short-Term Market Risks Implied by Weekly Options

  Torben Andersen;Nicola Fusari;Viktor Todorov

  157
  Citations

• Estimation of continuous-time stochastic volatility models with jumps using high-frequency data

  Viktor Todorov

  138
  Citations

• Activity signature functions for high-frequency data analysis

  Viktor Todorov;George Tauchen

  134
  Citations

• Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models

  Viktor Todorov;George Tauchen

  109
  Citations

• Time-Varying Jump Tails

  Tim Bollerslev;Viktor Todorov

  98
  Citations

• Econometric analysis of jump-driven stochastic volatility models

  Viktor Todorov

  97
  Citations

• The Realized Laplace Transform of Volatility

  Viktor Todorov;George Tauchen

  87
  Citations

• The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets

  Torben Gustav Andersen;Nicola Fusari;Viktor Todorov

  82
  Citations