206 citations · 377 across the 3 of their papers we have counts for
3 papers
math.PR2011★ 27 cited
Limit theorems for power variations of pure-jump processes with application to activity estimation
Viktor Todorov, George Tauchen
This paper derives the asymptotic behavior of realized power variation of pure-jump Itô semimartingales as the sampling frequency within a fixed interval increases to infinity. We…
q-fin.ST2010★ 144 cited
Do price and volatility jump together?
Jean Jacod, Viktor Todorov
We consider a process , which is observed on a finite time interval , at discrete times This process is an Itô semimartingale with stochastic volat…
math.ST2009★ 206 cited
Testing for common arrivals of jumps for discretely observed multidimensional processes
Jean Jacod, Viktor Todorov
We consider a bivariate process , which is observed on a finite time interval at discrete times Assuming that its two components …