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subject:"Volatilität"
subject:"Großbritannien"
~person:"Todorov, Viktor"
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Search: subject_exact:"Estimation theory"
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Volatilität
Großbritannien
Estimation theory
21
Schätztheorie
21
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19
Estimation
14
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14
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12
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12
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Todorov, Viktor
Koopman, Siem Jan
19
Li, Jia
17
Kumar, Dilip
16
Li, Yingying
15
Teräsvirta, Timo
15
Diebold, Francis X.
14
Härdle, Wolfgang
14
Maheswaran, S.
14
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14
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13
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12
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12
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10
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10
Mancino, Maria Elvira
10
Silvennoinen, Annastiina
10
Swanson, Norman R.
10
Bekaert, Geert
9
Fan, Jianqing
9
Liu, Zhi
9
Lucas, André
9
Mykland, Per A.
9
Spokojnyj, Vladimir G.
9
Alizadeh, Sassan
8
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8
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8
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8
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8
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8
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8
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8
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8
Sentana, Enrique
8
Sibbertsen, Philipp
8
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8
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7
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7
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7
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10
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3
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2
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1
Econometric theory
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
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ECONIS (ZBW)
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Bias reduction in spot volatility estimation from options
Todorov, Viktor
;
Zhang, Yang
- In:
Journal of econometrics
234
(
2023
)
1
,
pp. 53-81
Persistent link: https://www.econbiz.de/10014364661
Saved in:
3
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:
4
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
Saved in:
5
Unified inference for nonlinear factor models from panels with fixed and large time span
Andersen, Torben
;
Fusari, Nicola
;
Todorov, Viktor
; …
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 4-25
Persistent link: https://www.econbiz.de/10012303860
Saved in:
6
Adaptive estimation of continuous-time regression models using high-frequency data
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 36-47
Persistent link: https://www.econbiz.de/10011897689
Saved in:
7
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:
8
Jump regressions
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
Saved in:
9
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
-
2011
Persistent link: https://www.econbiz.de/10009561739
Saved in:
10
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:
11
Inverse Realized Laplace Transforms for Nonparametric Volatility Estimation in Jump-Diffusions
Todorov, Viktor
-
2011
We develop a nonparametric estimator of the stochastic volatility density of a discretely-observed Ito semimartingale in the setting of an increasing time span and finer mesh of the observation grid. There are two steps. The first is aggregating the high-frequency increments into the realized...
Persistent link: https://www.econbiz.de/10013119658
Saved in:
12
Volatility Activity : Specification and Estimation
Todorov, Viktor
-
2011
The paper examines volatility activity and its asymmetry and undertakes further specification analysis of volatility models based on it. We develop new nonparametric statistics using high frequency option-based VIX data to test for asymmetry in volatility jumps. We also develop methods to...
Persistent link: https://www.econbiz.de/10013119659
Saved in:
13
Estimating the volatility occupation time via regularized Laplace inversion
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Econometric theory
32
(
2016
)
5
,
pp. 1253-1288
Persistent link: https://www.econbiz.de/10011661745
Saved in:
14
Inference theory for volatility functional dependencies
Li, Jia
;
Todorov, Viktor
;
Tauchen, George Eugene
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 17-34
Persistent link: https://www.econbiz.de/10011704756
Saved in:
15
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:
16
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:
17
Realized volatility and multipower variation
Andersen, Torben
;
Todorov, Viktor
-
2009
Persistent link: https://www.econbiz.de/10003892558
Saved in:
18
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
19
Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
164
(
2011
)
2
,
pp. 367-381
Persistent link: https://www.econbiz.de/10009301899
Saved in:
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