206 citations · 593 across the 13 of their papers we have counts for
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econ.EM2023★ 1 cited
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…
econ.EM2023★ 9 cited
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…