Bezirgen Veliyev : Citation Profile

Are you Bezirgen Veliyev?

Aarhus Universitet

5

H index

3

i10 index

87

Citations

RESEARCH PRODUCTION:

11

Articles

15

Papers

RESEARCH ACTIVITY:

   13 years (2010 - 2023). See details.
   Cites by year: 6
   Journals where Bezirgen Veliyev has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 7 (7.45 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve315
   Updated: 2024-11-08    RAS profile: 2024-05-07    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Kock, Anders (5)

Christensen, Bent Jesper (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bezirgen Veliyev.

Is cited by:

Yu, Jun (2)

Kock, Anders (2)

Medeiros, Marcelo (2)

Hirano, Keisuke (2)

Demirer, Riza (2)

Hautsch, Nikolaus (2)

Shi, Shuping (2)

Phillips, Peter (1)

Sautmann, Anja (1)

Kasy, Maximilian (1)

Lechner, Michael (1)

Cites to:

Andersen, Torben (21)

Bollerslev, Tim (20)

Shephard, Neil (15)

Diebold, Francis (14)

Podolskij, Mark (13)

Hansen, Peter (13)

Lunde, Asger (12)

Newey, Whitney (11)

Meddahi, Nour (8)

Ait-Sahalia, Yacine (8)

Blundell, Richard (8)

Main data

Where Bezirgen Veliyev has published?

Journals with more than one article published# docs
Journal of Econometrics4
Stochastic Processes and their Applications2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org7

Recent works citing Bezirgen Veliyev (2024 and 2023)

YearTitle of citing document
2024Online Action Learning in High Dimensions: A New Exploration Rule for Contextual $\epsilon_t$-Greedy Heuristics. (2020). Medeiros, Marcelo C ; Flores, Claudio C. In: Papers. RePEc:arx:papers:2009.13961.

Full description at Econpapers || Download paper

2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

Full description at Econpapers || Download paper

2024Statistical inference for rough volatility: Minimax Theory. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01214.

Full description at Econpapers || Download paper

2024Statistical inference for rough volatility: Central limit theorems. (2022). Szymanski, Gr'Egoire ; Rosenbaum, Mathieu ; Liu, Yanghui ; Hoffmann, Marc ; Chong, Carsten. In: Papers. RePEc:arx:papers:2210.01216.

Full description at Econpapers || Download paper

2023Asymptotic Representations for Sequential Decisions, Adaptive Experiments, and Batched Bandits. (2023). Porter, Jack R ; Hirano, Keisuke. In: Papers. RePEc:arx:papers:2302.03117.

Full description at Econpapers || Download paper

2023Rough volatility, path-dependent PDEs and weak rates of convergence. (2023). Pannier, Alexandre ; Jacquier, Antoine ; Bonesini, Ofelia. In: Papers. RePEc:arx:papers:2304.03042.

Full description at Econpapers || Download paper

2024The fundamental theorem of asset pricing with and without transaction costs. (2023). Kuhn, Christoph. In: Papers. RePEc:arx:papers:2307.00571.

Full description at Econpapers || Download paper

2023Estimating the roughness exponent of stochastic volatility from discrete observations of the realized variance. (2023). Schied, Alexander ; Han, Xiyue. In: Papers. RePEc:arx:papers:2307.02582.

Full description at Econpapers || Download paper

2023From Deep Filtering to Deep Econometrics. (2023). Bilokon, Paul ; Stok, Robert. In: Papers. RePEc:arx:papers:2311.06256.

Full description at Econpapers || Download paper

2024Path-dependent PDEs for volatility derivatives. (2023). Pannier, Alexandre. In: Papers. RePEc:arx:papers:2311.08289.

Full description at Econpapers || Download paper

2024Rough volatility: evidence from range volatility estimators. (2023). Mouti, Saad. In: Papers. RePEc:arx:papers:2312.01426.

Full description at Econpapers || Download paper

2024Composite likelihood estimation of stationary Gaussian processes with a view toward stochastic volatility. (2024). Christensen, Peter ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2403.12653.

Full description at Econpapers || Download paper

2024A Primer on the Analysis of Randomized Experiments and a Survey of some Recent Advances. (2024). Tabord-Meehan, Max ; Shaikh, Azeem M ; Bai, Yuehao. In: Papers. RePEc:arx:papers:2405.03910.

Full description at Econpapers || Download paper

2023Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model. (2023). Bianchi, Sergio ; Angelini, Daniele. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:172:y:2023:i:c:s0960077923004514.

Full description at Econpapers || Download paper

2023Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes. (2023). Teng, Yuanyang ; Li, Yicun. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:177:y:2023:i:c:s0960077923011050.

Full description at Econpapers || Download paper

2023Who should get vaccinated? Individualized allocation of vaccines over SIR network. (2023). Wang, Guanyi ; Kitagawa, Toru. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:1:p:109-131.

Full description at Econpapers || Download paper

2023Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271.

Full description at Econpapers || Download paper

2024Forecasting of clean energy market volatility: The role of oil and the technology sector. (2024). Todorova, Neda ; Lyocsa, Tefan. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001592.

Full description at Econpapers || Download paper

2024Machine-learning stock market volatility: Predictability, drivers, and economic value. (2024). Cabrera, Gabriel ; Hansen, Erwin ; Diaz, Juan D. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002187.

Full description at Econpapers || Download paper

2024Do industries predict stock market volatility? Evidence from machine learning models. (2024). Demirer, Riza ; Suleman, Muhammad Tahir ; Niu, Zibo ; Zhu, Xuehong ; Zhang, Hongwei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001713.

Full description at Econpapers || Download paper

2023Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data. (2023). Montes, Erik Christian ; Rapach, David E ; Borup, Daniel. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1122-1144.

Full description at Econpapers || Download paper

2023The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Gao, Wang ; Zhao, Xinyi ; Zhang, Hongwei ; Niu, Zibo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429.

Full description at Econpapers || Download paper

2024From fundamental signals to stock volatility: A machine learning approach. (2024). Ma, Tian ; Liao, Cunfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000349.

Full description at Econpapers || Download paper

2023Asymptotic expansion and estimates of Wiener functionals. (2023). Yoshida, Nakahiro. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:157:y:2023:i:c:p:176-248.

Full description at Econpapers || Download paper

2023Order estimate of functionals related to fractional Brownian motion. (2023). Yoshida, Nakahiro ; Yamagishi, Hayate. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:161:y:2023:i:c:p:490-543.

Full description at Econpapers || Download paper

2023High order asymptotic expansion for Wiener functionals. (2023). Yoshida, Nakahiro ; Tudor, Ciprian A. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:164:y:2023:i:c:p:443-492.

Full description at Econpapers || Download paper

2023Volatility Puzzle: Long Memory or Antipersistency. (2023). Yu, Jun ; Shi, Shuping. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:7:p:3861-3883.

Full description at Econpapers || Download paper

2023High-dimensional estimation of quadratic variation based on penalized realized variance. (2023). Podolskij, Mark ; Nielsen, Mikkel Slot ; Christensen, Kim. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-022-09282-8.

Full description at Econpapers || Download paper

2023Causal Machine Learning and its use for public policy. (2023). Lechner, Michael. In: Swiss Journal of Economics and Statistics. RePEc:spr:sjecst:v:159:y:2023:i:1:d:10.1186_s41937-023-00113-y.

Full description at Econpapers || Download paper

2023Volatility is (mostly) path-dependent. (2023). Lekeufack, Jordan ; Guyon, Julien. In: Quantitative Finance. RePEc:taf:quantf:v:23:y:2023:i:9:p:1221-1258.

Full description at Econpapers || Download paper

Works by Bezirgen Veliyev:

YearTitleTypeCited
2015Validity of Edgeworth expansions for realized volatility estimators In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2016Validity of Edgeworth expansions for realized volatility estimators.(2016) In: Econometrics Journal.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2015Inference from high-frequency data: A subsampling approach In: CREATES Research Papers.
[Full Text][Citation analysis]		paper8
2017Inference from high-frequency data: A subsampling approach.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
2015Edgeworth expansion for the pre-averaging estimator In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2015Edgeworth expansion for the pre-averaging estimator.(2015) In: Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2017Edgeworth expansion for the pre-averaging estimator.(2017) In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2018The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing In: CREATES Research Papers.
[Full Text][Citation analysis]		paper3
2019The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing.(2019) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2018Edgeworth expansion for Euler approximation of continuous diffusion processes In: CREATES Research Papers.
[Full Text][Citation analysis]		paper2
2020Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures In: CREATES Research Papers.
[Full Text][Citation analysis]		paper4
2021A machine learning approach to volatility forecasting In: CREATES Research Papers.
[Full Text][Citation analysis]		paper18
2023A Machine Learning Approach to Volatility Forecasting*.(2023) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		article
2021The incremental information in the yield curve about future interest rate risk In: CREATES Research Papers.
[Full Text][Citation analysis]		paper0
2023The incremental information in the yield curve about future interest rate risk.(2023) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2010A Direct Proof of the Bichteler--Dellacherie Theorem and Connections to Arbitrage In: Papers.
[Full Text][Citation analysis]		paper7
2012Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process In: Papers.
[Full Text][Citation analysis]		paper0
2014UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS.(2014) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2020Functional Sequential Treatment Allocation In: Papers.
[Full Text][Citation analysis]		paper10
2022Functional Sequential Treatment Allocation.(2022) In: Journal of the American Statistical Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2020Functional Sequential Treatment Allocation with Covariates In: Papers.
[Full Text][Citation analysis]		paper3
2022Treatment recommendation with distributional targets In: Papers.
[Full Text][Citation analysis]		paper3
2023Treatment recommendation with distributional targets.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 3		article
2022A GMM approach to estimate the roughness of stochastic volatility In: Papers.
[Full Text][Citation analysis]		paper16
2023A GMM approach to estimate the roughness of stochastic volatility.(2023) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2012A short proof of the Doob–Meyer theorem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article5

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team