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Estimation of jump tails
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559404
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Tails, fears, and risk premia
Bollerslev, Tim; Todorov, Viktor - 2011
Persistent link: https://www.econbiz.de/10009559410
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Activity signature functions for high-frequency data analysis
Tauchen, George Eugene; Todorov, Viktor - 2008
Persistent link: https://www.econbiz.de/10010218844
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Volatility jumps
Tauchen, George Eugene; Todorov, Viktor - 2008
Persistent link: https://www.econbiz.de/10010218853
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The Realized Laplace Transform of volatility
Todorov, Viktor; Tauchen, George Eugene - 2011
Persistent link: https://www.econbiz.de/10009560217
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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
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Limit theorems for power variations of pure-jump processes with application to activity estimation
Todorov, Viktor; Tauchen, George Eugene - 2010
Persistent link: https://www.econbiz.de/10009560326
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Volatility activity : specification and estimation
Todorov, Viktor; Tauchen, George Eugene; Grynkiv, Iaryna - 2011
Persistent link: https://www.econbiz.de/10009561739
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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
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Daily house price indexes : construction, modeling, and longer-run predictions
Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - 2013
Persistent link: https://www.econbiz.de/10010231930