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Variation and efficiency of high-frequency betas

Zhang, Congshan; Li, Jia; Todorov, Viktor; Tauchen, … - In: Journal of econometrics 228 (2022) 1, pp. 156-175

Persistent link: https://www.econbiz.de/10013441735

Jumps and betas : a new framework for disentangling and estimating systematic risks

Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-235

Persistent link: https://www.econbiz.de/10008663039

Activity signature functions for high-frequency data analysis

Todorov, Viktor; Tauchen, George Eugene - In: Journal of econometrics 154 (2010) 2, pp. 125-138

Persistent link: https://www.econbiz.de/10003940085

Econometric analysis of jump-driven stochastic volatility models

Todorov, Viktor - In: Journal of econometrics 160 (2011) 1, pp. 12-21

Persistent link: https://www.econbiz.de/10009242565

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

Bollerslev, Tim; Todorov, Viktor; Li, Sophia Zhengzi - In: Journal of econometrics 172 (2013) 2, pp. 307-324

Persistent link: https://www.econbiz.de/10009706199

Parametric Inference and Dynamic State Recovery from Option Panels

Andersen, Torben G. - 2012

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...

Persistent link: https://www.econbiz.de/10013107009

Intraday cross-sectional distributions of systematic risk

Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418

Persistent link: https://www.econbiz.de/10014471397