206 citations · 593 across the 13 of their papers we have counts for
6 papers · 1 filter
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…
Efficient estimation of integrated volatility in presence of infinite variation jumps
Jean Jacod, Viktor Todorov
We propose new nonparametric estimators of the integrated volatility of an Itô semimartingale observed at discrete times on a fixed time interval with mesh of the observation grid…
Nonparametric test for a constant beta between \Ito semi-martingales based on high-frequency data
Markus Reiß, Viktor Todorov, George Tauchen
We derive a nonparametric test for constant beta over a fixed time interval from high-frequency observations of a bivariate \Ito semimartingale. Beta is defined as the ratio of the…
Volatility occupation times
Jia Li, Viktor Todorov, George Tauchen
We propose nonparametric estimators of the occupation measure and the occupation density of the diffusion coefficient (stochastic volatility) of a discretely observed Itô semimarti…
Realized Laplace transforms for pure-jump semimartingales
Viktor Todorov, George Tauchen
We consider specification and inference for the stochastic scale of discretely-observed pure-jump semimartingales with locally stable Lévy densities in the setting where both the t…
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 …