206 citations · 593 across the 13 of their papers we have counts for
13 papers
Real-Time Detection of Local No-Arbitrage Violations
Torben G. Andersen, Viktor Todorov, Bo Zhou
This paper focuses on the task of detecting local episodes involving violation of the standard Itô semimartingale assumption for financial asset prices in real time that might indu…
Volatility of Volatility and Leverage Effect from Options
Carsten H. Chong, Viktor Todorov
We propose model-free (nonparametric) estimators of the volatility of volatility and leverage effect using high-frequency observations of short-dated options. At each point in time…
Asymptotic Expansions for High-Frequency Option Data
Carsten H. Chong, Viktor Todorov
We derive a nonparametric higher-order asymptotic expansion for small-time changes of conditional characteristic functions of Itô semimartingale increments. The asymptotics setup i…
Short-time expansion of characteristic functions in a rough volatility setting with applications
Carsten H. Chong, Viktor Todorov
We derive a higher-order asymptotic expansion of the conditional characteristic function of the increment of an Itô semimartingale over a shrinking time interval. The spot characte…
Jump activity estimation for pure-jump semimartingales via self-normalized statistics
Viktor Todorov
We derive a nonparametric estimator of the jump-activity index of a "locally-stable" pure-jump Itô semimartingale from discrete observations of the process on a fixed time inte…
Limit theorems for the empirical distribution function of scaled increments of Itô semimartingales at high frequencies
Viktor Todorov, George Tauchen
We derive limit theorems for the empirical distribution function of "devolatilized" increments of an Itô semimartingale observed at high frequencies. These "devolatilized" incremen…