Kamu erişimi zorunlu olan makaleler - Viktor TodorovDaha fazla bilgi edinin
Hiçbir yerde sunulmuyor: 2
Testing for stationarity of volatility curves
TG Andersen, Y Tan, V Todorov, Z Zhang
Available at SSRN 4516345, 2023
Zorunlu olanlar: National Natural Science Foundation of China
Online Appendix for Recalcitrant Betas: Intraday Variation in the Cross-Sectional Dispersion of Systematic Risk
TG Andersen, M Thyrsgaard, V Todorov
Zorunlu olanlar: US National Science Foundation, Danish Council for Independent Research
Bir yerde sunuluyor: 39
Tail risk premia and return predictability
T Bollerslev, V Todorov, L Xu
Journal of Financial Economics 118 (1), 113-134, 2015
Zorunlu olanlar: Danish National Research Foundation
Roughing up beta: Continuous versus discontinuous betas and the cross section of expected stock returns
T Bollerslev, SZ Li, V Todorov
Journal of financial economics 120 (3), 464-490, 2016
Zorunlu olanlar: US National Science Foundation, Danish National Research Foundation
Parametric inference and dynamic state recovery from option panels
TG Andersen, N Fusari, V Todorov
Econometrica 83 (3), 1081-1145, 2015
Zorunlu olanlar: Danish National Research Foundation
Short‐term market risks implied by weekly options
TG Andersen, N Fusari, V Todorov
The Journal of Finance 72 (3), 1335-1386, 2017
Zorunlu olanlar: US National Science Foundation, Danish National Research Foundation
Jump regressions
J Li, V Todorov, G Tauchen
Econometrica 85 (1), 173-195, 2017
Zorunlu olanlar: US National Science Foundation
The pricing of tail risk and the equity premium: Evidence from international option markets
TG Andersen, N Fusari, V Todorov
Journal of Business & Economic Statistics 38 (3), 662-678, 2020
Zorunlu olanlar: US National Science Foundation, Danish National Research Foundation
Time-varying jump tails
T Bollerslev, V Todorov
Journal of Econometrics 183 (2), 168-180, 2014
Zorunlu olanlar: Danish National Research Foundation
Adaptive estimation of continuous-time regression models using high-frequency data
J Li, V Todorov, G Tauchen
Journal of Econometrics 200 (1), 36-47, 2017
Zorunlu olanlar: US National Science Foundation
Time-varying periodicity in intraday volatility
TG Andersen, M Thyrsgaard, V Todorov
Journal of the American Statistical Association, 2019
Zorunlu olanlar: US National Science Foundation
Nonparametric spot volatility from options
V Todorov
The Annals of Applied Probability 29 (6), 3590-3636, 2019
Zorunlu olanlar: US National Science Foundation
Nonparametric test for a constant beta between Itô semi-martingales based on high-frequency data
M Reiß, V Todorov, G Tauchen
Stochastic Processes and their Applications 125 (8), 2955-2988, 2015
Zorunlu olanlar: German Research Foundation
Tail risk and return predictability for the Japanese equity market
TG Andersen, V Todorov, M Ubukata
Journal of Econometrics 222 (1), 344-363, 2021
Zorunlu olanlar: US National Science Foundation
Volatility measurement with pockets of extreme return persistence
TG Andersen, Y Li, V Todorov, B Zhou
Journal of Econometrics 237 (2), 105048, 2023
Zorunlu olanlar: US National Science Foundation, National Natural Science Foundation of China …
The fine structure of equity-index option dynamics
TG Andersen, O Bondarenko, V Todorov, G Tauchen
Journal of Econometrics 187 (2), 532-546, 2015
Zorunlu olanlar: Danish National Research Foundation
Recalcitrant betas: Intraday variation in the cross‐sectional dispersion of systematic risk
TG Andersen, M Thyrsgaard, V Todorov
Quantitative Economics 12 (2), 647-682, 2021
Zorunlu olanlar: US National Science Foundation, Danish Council for Independent Research
Inference theory for volatility functional dependencies
J Li, V Todorov, G Tauchen
Journal of Econometrics 193 (1), 17-34, 2016
Zorunlu olanlar: US National Science Foundation
A descriptive study of high-frequency trade and quote option data
T Andersen, I Archakov, L Grund, N Hautsch, Y Li, S Nasekin, I Nolte, ...
Journal of Financial Econometrics 19 (1), 128-177, 2021
Zorunlu olanlar: Austrian Science Fund, UK Economic and Social Research Council
Nonparametric implied Lévy densities
L Qin, V Todorov
Zorunlu olanlar: US National Science Foundation
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