34 citations · 110 across the 5 of their papers we have counts for
5 papers
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…
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…
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…