Todorov, Viktor; Tauchen, George; Grynkiv, Iaryna Realized Laplace transforms for estimation of jump diffusive volatility models. (English) Zbl 1441.62889 J. Econom. 164, No. 2, 367-381 (2011). MSC: 62P20 62M05 60G51 62P05 PDFBibTeX XMLCite \textit{V. Todorov} et al., J. Econom. 164, No. 2, 367--381 (2011; Zbl 1441.62889) Full Text: DOI
Todorov, Viktor; Tauchen, George Limit theorems for power variations of pure-jump processes with application to activity estimation. (English) Zbl 1215.62088 Ann. Appl. Probab. 21, No. 2, 546-588 (2011). MSC: 62M05 62F12 60G48 60H10 60J60 PDFBibTeX XMLCite \textit{V. Todorov} and \textit{G. Tauchen}, Ann. Appl. Probab. 21, No. 2, 546--588 (2011; Zbl 1215.62088) Full Text: DOI arXiv
Todorov, Viktor; Bollerslev, Tim Jumps and betas: a new framework for disentangling and estimating systematic risks. (English) Zbl 1400.62240 J. Econom. 157, No. 2, 220-235 (2010). MSC: 62P05 60J75 91G70 PDFBibTeX XMLCite \textit{V. Todorov} and \textit{T. Bollerslev}, J. Econom. 157, No. 2, 220--235 (2010; Zbl 1400.62240) Full Text: DOI
Todorov, Viktor; Tauchen, George Activity signature functions for high-frequency data analysis. (English) Zbl 1431.62483 J. Econom. 154, No. 2, 125-138 (2010). MSC: 62P05 60G51 60J76 PDFBibTeX XMLCite \textit{V. Todorov} and \textit{G. Tauchen}, J. Econom. 154, No. 2, 125--138 (2010; Zbl 1431.62483) Full Text: DOI
Todorov, Viktor Estimation of continuous-time stochastic volatility models with jumps using high-frequency data. (English) Zbl 1429.62480 J. Econom. 148, No. 2, 131-148 (2009). MSC: 62P05 60G51 60H10 91B70 PDFBibTeX XMLCite \textit{V. Todorov}, J. Econom. 148, No. 2, 131--148 (2009; Zbl 1429.62480) Full Text: DOI