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~person:"Todorov, Viktor"
~subject:"Jumps"
~subject:"Option pricing theory"
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Search: subject_exact:"Stochastic+process"
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Jumps
Option pricing theory
Stochastic process
34
Stochastischer Prozess
34
Volatility
34
Volatilität
34
Estimation
16
Schätzung
16
Time series analysis
15
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stochastic volatility
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Todorov, Viktor
Cui, Zhenyu
35
Chiarella, Carl
29
Takahashi, Akihiko
27
Carr, Peter
23
Madan, Dilip B.
22
Nguyen, Duy
22
Alòs, Elisa
19
Elliott, Robert J.
19
Hainaut, Donatien
19
Fabozzi, Frank J.
18
Oosterlee, Cornelis W.
18
Escobar, Marcos
16
Wang, Xingchun
16
Kim, Young Shin
15
Grasselli, Martino
14
Jacquier, Antoine (Jack)
14
Lorig, Matthew
14
Forde, Martin
13
Fouque, Jean-Pierre
13
Hess, Markus
13
Levendorskij, Sergej Z.
13
Schoutens, Wim
13
Shiraya, Kenichiro
13
Siu, Tak Kuen
13
Wong, Hoi Ying
13
Yamada, Toshihiro
13
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13
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13
Benth, Fred Espen
12
Eberlein, Ernst
12
Gatheral, Jim
12
Grzelak, Lech A.
12
Kang, Boda
12
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12
Kirkby, Justin
12
Račev, Svetlozar T.
12
Ewald, Christian-Oliver
11
Filipović, Damir
11
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11
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Journal of econometrics
5
ERID working paper
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economic Research Initiatives at Duke (ERID) Working Paper
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of financial economics
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ECONIS (ZBW)
11
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1
Nonparametric jump variation measures from options
Todorov, Viktor
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 255-280
Persistent link: https://www.econbiz.de/10013463804
Saved in:
2
Rank tests at jump events
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Lin, Huidi
- In:
Journal of business & economic statistics : JBES ; a …
37
(
2019
)
2
,
pp. 312-321
Persistent link: https://www.econbiz.de/10012177350
Saved in:
3
Mixed-scale jump regressions with bootstrap inference
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
;
Chen, Rui
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
Saved in:
4
Inverse realized Laplace transforms for nonparametric volatility density estimation in jump-diffusions
Todorov, Viktor
;
Tauchen, George Eugene
-
2011
Persistent link: https://www.econbiz.de/10009561745
Saved in:
5
Realized Laplace Transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2010
Persistent link: https://www.econbiz.de/10009560323
Saved in:
6
Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models
Todorov, Viktor
-
2010
We develop a new efficient and analytically tractable method for estimation of parametric volatility models that is robust to price-level jumps and generally has good finite sample properties. The method entails first integrating intra-day data into the Realized Laplace Transform of volatility,...
Persistent link: https://www.econbiz.de/10013137409
Saved in:
7
Parametric inference and dynamic state recovery from option panels
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
83
(
2015
)
3
,
pp. 1081-1145
Persistent link: https://www.econbiz.de/10011378591
Saved in:
8
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
9
The risk premia embedded in index options
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
- In:
Journal of financial economics
117
(
2015
)
3
,
pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
Saved in:
10
Time-varying jump tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Journal of econometrics
183
(
2014
)
2
,
pp. 168-180
Persistent link: https://www.econbiz.de/10010506069
Saved in:
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