Details about Bezirgen Veliyev

Access statistics for papers by Bezirgen Veliyev.

Last updated 2025-01-09. Update your information in the RePEc Author Service.

Short-id: pve315

Working Papers

2024

1. Treatment Evaluation at the Intensive and Extensive Margins
   Papers, arXiv.org

2023

2. Warp Speed Price Moves: Jumps after Earnings Announcements
   CEPR Discussion Papers, C.E.P.R. Discussion Papers

2022

3. A GMM approach to estimate the roughness of stochastic volatility
   Papers, arXiv.org View citations (10)
   See also Journal Article A GMM approach to estimate the roughness of stochastic volatility, Journal of Econometrics, Elsevier (2023) View citations (9) (2023)
4. Treatment recommendation with distributional targets
   Papers, arXiv.org View citations (1)
   See also Journal Article Treatment recommendation with distributional targets, Journal of Econometrics, Elsevier (2023) View citations (2) (2023)

2021

5. A machine learning approach to volatility forecasting
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (14)
   See also Journal Article A Machine Learning Approach to Volatility Forecasting*, Journal of Financial Econometrics, Oxford University Press (2023) View citations (7) (2023)
6. The incremental information in the yield curve about future interest rate risk
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article The incremental information in the yield curve about future interest rate risk, Journal of Banking & Finance, Elsevier (2023) (2023)

2020

7. Functional Sequential Treatment Allocation
   Papers, arXiv.org View citations (10)
   See also Journal Article Functional Sequential Treatment Allocation, Journal of the American Statistical Association, Taylor & Francis Journals (2022) View citations (3) (2022)
8. Functional Sequential Treatment Allocation with Covariates
   Papers, arXiv.org View citations (5)
   See also Journal Article FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES, Econometric Theory, Cambridge University Press (2024) (2024)
9. Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (4)

2018

10. Edgeworth expansion for Euler approximation of continuous diffusion processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
11. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing, Journal of Econometrics, Elsevier (2019) View citations (5) (2019)

2015

12. Edgeworth expansion for the pre-averaging estimator
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Papers, arXiv.org (2015)
    See also Journal Article Edgeworth expansion for the pre-averaging estimator, Stochastic Processes and their Applications, Elsevier (2017) View citations (5) (2017)
13. Inference from high-frequency data: A subsampling approach
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    See also Journal Article Inference from high-frequency data: A subsampling approach, Journal of Econometrics, Elsevier (2017) View citations (8) (2017)
14. Validity of Edgeworth expansions for realized volatility estimators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
    See also Journal Article Validity of Edgeworth expansions for realized volatility estimators, Econometrics Journal, Royal Economic Society (2016) View citations (5) (2016)

2012

15. Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process
    Papers, arXiv.org
    See also Journal Article UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2014) (2014)

2010

16. A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage
    Papers, arXiv.org View citations (7)

Journal Articles

2024

1. FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES
   Econometric Theory, 2024, 40, (6), 1211-1252
   See also Working Paper Functional Sequential Treatment Allocation with Covariates, Papers (2020) View citations (5) (2020)

2023

2. A GMM approach to estimate the roughness of stochastic volatility
   Journal of Econometrics, 2023, 235, (2), 745-778 View citations (9)
   See also Working Paper A GMM approach to estimate the roughness of stochastic volatility, Papers (2022) View citations (10) (2022)
3. A Machine Learning Approach to Volatility Forecasting*
   Journal of Financial Econometrics, 2023, 21, (5), 1680-1727 View citations (7)
   See also Working Paper A machine learning approach to volatility forecasting, CREATES Research Papers (2021) View citations (14) (2021)
4. The incremental information in the yield curve about future interest rate risk
   Journal of Banking & Finance, 2023, 155, (C)
   See also Working Paper The incremental information in the yield curve about future interest rate risk, CREATES Research Papers (2021) (2021)
5. Treatment recommendation with distributional targets
   Journal of Econometrics, 2023, 234, (2), 624-646 View citations (2)
   See also Working Paper Treatment recommendation with distributional targets, Papers (2022) View citations (1) (2022)

2022

6. Functional Sequential Treatment Allocation
   Journal of the American Statistical Association, 2022, 117, (539), 1311-1323 View citations (3)
   See also Working Paper Functional Sequential Treatment Allocation, Papers (2020) View citations (10) (2020)

2019

7. The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
   Journal of Econometrics, 2019, 212, (2), 556-583 View citations (5)
   See also Working Paper The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing, CREATES Research Papers (2018) View citations (2) (2018)

2017

8. Edgeworth expansion for the pre-averaging estimator
   Stochastic Processes and their Applications, 2017, 127, (11), 3558-3595 View citations (5)
   See also Working Paper Edgeworth expansion for the pre-averaging estimator, CREATES Research Papers (2015) View citations (2) (2015)
9. Inference from high-frequency data: A subsampling approach
   Journal of Econometrics, 2017, 197, (2), 245-272 View citations (8)
   See also Working Paper Inference from high-frequency data: A subsampling approach, CREATES Research Papers (2015) View citations (2) (2015)

2016

10. Validity of Edgeworth expansions for realized volatility estimators
    Econometrics Journal, 2016, 19, (1), 1-32 View citations (5)
    See also Working Paper Validity of Edgeworth expansions for realized volatility estimators, CREATES Research Papers (2015) (2015)

2014

11. UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (04), 1-27
    See also Working Paper Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process, Papers (2012) (2012)

2012

12. A short proof of the Doob–Meyer theorem
    Stochastic Processes and their Applications, 2012, 122, (4), 1204-1209 View citations (6)