206 citations · 593 across the 13 of their papers we have counts for
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math.PR2014★ 24 cited
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…
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…