Следене
Bezirgen Veliyev
Bezirgen Veliyev
Associate Professor, Department of Economics, Aarhus University
Потвърден имейл адрес: econ.au.dk - Начална страница
Заглавие
Позовавания
Позовавания
Година
A machine learning approach to volatility forecasting
K Christensen, M Siggaard, B Veliyev
Journal of Financial Econometrics 21 (5), 1680-1727, 2023
882023
A short proof of the Doob–Meyer theorem
M Beiglboeck, W Schachermayer, B Veliyev
Stochastic Processes and their applications 122 (4), 1204-1209, 2012
552012
A GMM approach to estimate the roughness of stochastic volatility
AE Bolko, K Christensen, MS Pakkanen, B Veliyev
Journal of Econometrics 235 (2), 745-778, 2023
48*2023
A direct proof of the Bichteler–Dellacherie theorem and connections to arbitrage
M Beiglböck, W Schachermayer, B Veliyev
Annals of Probability 39 (6), 2424-2440, 2011
352011
Inference from high-frequency data: A subsampling approach
K Christensen, M Podolskij, N Thamrongrat, B Veliyev
Journal of Econometrics 197 (2), 245-272, 2017
222017
Edgeworth expansion for the pre-averaging estimator
M Podolskij, B Veliyev, N Yoshida
Stochastic Processes and their Applications 127 (11), 3558-3595, 2017
142017
Functional sequential treatment allocation
AB Kock, D Preinerstorfer, B Veliyev
Journal of the American Statistical Association 117 (539), 1311-1323, 2022
122022
Validity of Edgeworth expansions for realized volatility estimators
U Hounyo, B Veliyev
The Econometrics Journal 19 (1), 1-32, 2016
112016
Treatment recommendation with distributional targets
AB Kock, D Preinerstorfer, B Veliyev
Journal of Econometrics 234 (2), 624-646, 2023
92023
Edgeworth expansion for Euler approximation of continuous diffusion processes
M Podolskij, B Veliyev, N Yoshida
Annals of Applied Probability 30 (4), 1971-2003, 2020
92020
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
K Christensen, M Thyrsgaard, B Veliyev
Journal of econometrics 212 (2), 556-583, 2019
92019
Utility Maximization in a Binomial Model with transaction costs: A duality approach based on the shadow price process
C Bayer, B Veliyev
International Journal of Theoretical and Applied Finance 17 (4), 2014
92014
Warp Speed Price Moves: Jumps after Earnings Announcements
K Christensen, A Timmermann, B Veliyev
Available at SSRN 4422376, 2023
32023
Functional sequential treatment allocation with covariates
AB Kock, D Preinerstorfer, B Veliyev
Econometric Theory, 1-42, 2020
22020
The incremental information in the yield curve about future interest rate risk
BJ Christensen, MM Kjær, B Veliyev
Journal of Banking & Finance 155, 106973, 2023
12023
REALIZED PRINCIPAL COMPONENT ANALYSIS OF NOISY HIGH-FREQUENCY DATA
F Benvenuti, K Christensen, B Veliyev
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Статии 1–16