Bezirgen Veliyev
Bezirgen Veliyev is an Associate Professor at the Department of Economics and Business Economics, Aarhus University and a research fellow at CREATES. He obtained his PhD degree in 2012 from University of Vienna. Previously, he was a postdoc at Heidelberg University (2012-2014) and Aarhus University (2014-2016).
Broadly, his research interests lie within financial econometrics, econometric theory and statistics for stochastic processes. In most of his recent works, he is interested in estimating and forecasting of volatility with high frequency data.
Bolko, A. E., Christensen, K., Pakkanen, M. S. & Veliyev, B. (2023). A GMM approach to estimate the roughness of stochastic volatility. Journal of Econometrics, 235(2), 745-778. https://doi.org/10.1016/j.jeconom.2022.06.009
Christensen, B. J., Kjær, M. M. & Veliyev, B. (2023). The incremental information in the yield curve about future interest rate risk. Journal of Banking and Finance, 155, Article 106973. https://doi.org/10.1016/j.jbankfin.2023.106973
Kock, A. B., Preinerstorfer, D. & Veliyev, B. (2023). Treatment recommendation with distributional targets. Journal of Econometrics, 234(2), 624-646. https://doi.org/10.1016/j.jeconom.2022.08.003
Kock, A. B., Preinerstorfer, D. & Veliyev, B. (2022). Functional Sequential Treatment Allocation. Journal of the American Statistical Association, 117(539), 1311-1323. https://doi.org/10.1080/01621459.2020.1851236
Podolskij, M., Veliyev, B. & Yoshida, N. (2020). Edgeworth expansion for Euler approximation of continuous diffusion processes. Annals of Applied Probability, 30(4), 1971-2003. https://doi.org/10.1214/19-AAP1549
Christensen, K., Thyrsgaard, M. & Veliyev, B. (2019). The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. Journal of Econometrics, 212(2), 556-583. https://doi.org/10.1016/j.jeconom.2019.06.002
Podolskij, M., Veliyev, B. & Yoshida, N. (2017). Edgeworth expansion for the pre-averaging estimator. Stochastic Processes and Their Applications, 127(11), 3558-3595 . https://doi.org/10.1016/j.spa.2017.03.001
Christensen, K., Podolskij, M., Thamrongrat, N. & Veliyev, B. (2017). Inference from high-frequency data: A subsampling approach. Journal of Econometrics, 197(2), 245–272. https://doi.org/10.1016/j.jeconom.2016.07.010
Hounyo, U. & Veliyev, B. (2016). Validity of Edgeworth expansions for realized volatility estimators. Econometrics Journal, 19(1), 1-32. https://doi.org/10.1111/ectj.12058
Bayer, C. & Veliyev, B. (2014). 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, 17(4), 1-27.
Beiglböck, M., Schachermayer, W. & Veliyev, B. (2012). A short proof of the Doob-Meyer theorem. Stochastic Processes and Their Applications, 122(4), 1204-1209. https://doi.org/10.1016/j.spa.2011.12.001
Beiglböck, M., Schachermayer, W. & Veliyev, B. (2011). A direct proof of the Bichteler-Dellacherie Theorem and connections to arbitrage. Annals of Probability, 39(6), 2424-2440. https://doi.org/10.1214/10-AOP602
