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.ST2014★ 77 cited
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…
math.ST2014★ 2 cited
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…