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Estimation of Jump Tails
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Bollerslev, Tim
65
Andersen, Torben G.
27
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16
Todorov, Viktor
16
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11
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6
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Journal of econometrics
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Working paper / National Bureau of Economic Research, Inc
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
The journal of finance : the journal of the American Finance Association
6
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OLC EcoSci
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Tails, Fears, and Risk Premia
BOLLERSLEV, TIM
;
TODOROV, VIKTOR
- In:
The journal of finance : the journal of the American …
66
(
2011
)
6
,
pp. 2165-2212
Persistent link: https://www.econbiz.de/10009799635
Saved in:
2
Estimation of Jump Tails
Bollerslev, Tim
;
Todorov, Viktor
- In:
Econometrica : journal of the Econometric Society, an …
79
(
2011
)
6
,
pp. 1727-1784
Persistent link: https://www.econbiz.de/10009802517
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Simulation Methods for Lévy-Driven Continuous-Time Autoregressive Moving Average (CARMA) Stochastic Volatility Models
Todorov, Viktor
;
Tauchen, George
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
4
,
pp. 455-469
Persistent link: https://www.econbiz.de/10008222287
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6
Variance Risk-Premium Dynamics: The Role of Jumps
Todorov, Viktor
- In:
The review of financial studies
23
(
2013
)
1
,
pp. 345-344
Persistent link: https://www.econbiz.de/10010113782
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7
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
Saved in:
8
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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9
Variance Risk-Premium Dynamics: The Role of Jumps
Todorov, Viktor
- In:
The review of financial studies
23
(
2010
)
1
,
pp. 345-345
Persistent link: https://www.econbiz.de/10008352734
Saved in:
10
The Realized Laplace Transform of Volatility
Todorov, Viktor
;
Tauchen, George
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
3
,
pp. 1105-1128
Persistent link: https://www.econbiz.de/10009977091
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