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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
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Option market trading activity and the estimation of the pricing kernel : a Bayesian approach
Barone-Adesi, Giovanni; Fusari, Nicola; Mira, Antonietta; … - In: Journal of econometrics 216 (2020) 2, pp. 430-449
Persistent link: https://www.econbiz.de/10012439749
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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
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Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Todorov, Viktor - In: Journal of econometrics 148 (2009) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10003833752
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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
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Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
Todorov, Viktor - In: Journal of econometrics 148 (2009) 2, pp. 131-148
Persistent link: https://www.econbiz.de/10008175049
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Testing semiparametric conditional moment restrictions using conditional martingale transforms
Todorov, Viktor; Tauchen, George - In: Journal of econometrics 154 (2010) 1, pp. 74-85
Persistent link: https://www.econbiz.de/10008350271
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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/10010063357
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Realized Laplace transforms for estimation of jump diffusive volatility models
Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna - In: Journal of econometrics 164 (2011) 2, pp. 367-382
Persistent link: https://www.econbiz.de/10009291420
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Jumps and betas: A new framework for disentangling and estimating systematic risks
Todorov, Viktor; Bollerslev, Tim - In: Journal of econometrics 157 (2010) 2, pp. 220-236
Persistent link: https://www.econbiz.de/10008433407