Bezirgen Veliyev : Citation Profile

Are you Bezirgen Veliyev?

Aarhus Universitet

5

H index

0

i10 index

68

Citations

RESEARCH PRODUCTION:

6

Articles

14

Papers

RESEARCH ACTIVITY:

   12 years (2010 - 2022). See details.
   Cites by year: 5
   Journals where Bezirgen Veliyev has often published
   Relations with other researchers
   Recent citing documents: 19.    Total self citations: 5 (6.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve315
   Updated: 2024-01-16    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

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

Is cited by:

Medeiros, Marcelo (2)

Hautsch, Nikolaus (2)

Yu, Jun (2)

Shi, Shuping (2)

Hirano, Keisuke (2)

Demirer, Riza (1)

Zhang, Yaojie (1)

Sautmann, Anja (1)

Phillips, Peter (1)

GUPTA, RANGAN (1)

Kasy, Maximilian (1)

Cites to:

Andersen, Torben (19)

Bollerslev, Tim (17)

Shephard, Neil (13)

Podolskij, Mark (12)

Hansen, Peter (11)

Diebold, Francis (11)

Lunde, Asger (11)

Newey, Whitney (10)

Flachaire, Emmanuel (8)

Meddahi, Nour (8)

Blundell, Richard (8)

Main data

Where Bezirgen Veliyev has published?

Journals with more than one article published# docs
Journal of Econometrics2
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
2023Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2023Statistical 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.

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

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

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

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

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

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

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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.

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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.

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2023Treatment recommendation with distributional targets. (2023). Veliyev, Bezirgen ; Preinerstorfer, David ; Kock, Anders Bredahl. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:2:p:624-646.

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2023A GMM approach to estimate the roughness of stochastic volatility. (2023). Veliyev, Bezirgen ; Pakkanen, Mikko S ; Christensen, Kim ; Bolko, Anine E. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:745-778.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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]		paper4
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: 4		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]		paper9
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]		paper8
2020Functional Sequential Treatment Allocation with Covariates In: Papers.
[Full Text][Citation analysis]		paper4
2022Treatment recommendation with distributional targets In: Papers.
[Full Text][Citation analysis]		paper1
2022A GMM approach to estimate the roughness of stochastic volatility In: Papers.
[Full Text][Citation analysis]		paper8
2012A short proof of the Doob–Meyer theorem In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article5

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