Viktor Todorov

25 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0002-2360-7812

Department of Finance, Northwestern University, Evanston, IL

Publications

• Do Equity and Options Markets Agree about Volatility? — The Journal of Finance 2026
• Nonparametric Test for Rough Volatility — Journal of the American Statistical Association 2025
• Intraday Periodic Volatility Curves — Journal of the American Statistical Association 2024
• The jump leverage risk premium — Journal of Financial Economics 2023
• Time-Varying Periodicity in Intraday Volatility — Journal of the American Statistical Association 2019
• Nonparametric implied Lévy densities — The Annals of Statistics 2019
• Jump Regressions — Econometrica 2017
• Short-Term Market Risks Implied by Weekly Options — The Journal of Finance 2017
• Robust Jump Regressions — Journal of the American Statistical Association 2017
• Testing for time-varying jump activity for pure jump semimartingales — The Annals of Statistics 2017
• Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns — Journal of Financial Economics 2016
• Tail risk premia and return predictability — Journal of Financial Economics 2015
• Jump activity estimation for pure-jump semimartingales via self-normalized statistics — The Annals of Statistics 2015
• The risk premia embedded in index options — Journal of Financial Economics 2015
• Parametric Inference and Dynamic State Recovery From Option Panels — Econometrica 2015
• Efficient estimation of integrated volatility in presence of infinite variation jumps — The Annals of Statistics 2014
• Volatility occupation times — The Annals of Statistics 2013
• Realized Laplace transforms for pure-jump semimartingales — The Annals of Statistics 2012
• Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions — Journal of the American Statistical Association 2012
• The Realized Laplace Transform of Volatility — Econometrica 2012
• Estimation of Jump Tails — Econometrica 2011
• Tails, Fears, and Risk Premia — The Journal of Finance 2011
• Variance Risk-Premium Dynamics: The Role of Jumps — The Review of Financial Studies 2010
• Testing for common arrivals of jumps for discretely observed multidimensional processes — The Annals of Statistics 2009
• Observable versus Latent Factors — Journal of the American Statistical Association (name-matched, not ORCID-linked)