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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…
math.ST2013★ 23 cited
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…
math.ST2012★ 34 cited
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…