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Bezirgen Veliyev
Lektor
Fuglesangs Allé 4
bygning 2621, 10
8210 Aarhus V
Danmark
Fastnet: +4587164967
Institut for Økonomi - CREATES
Fuglesangs Allé 4
bygning 2621, 10
8210 Aarhus V
Danmark
Fastnet: +4587164967
Profil
Member of Section: Econometrics and Business Analytics
Research Secretary: Solveig Nygaard Sørensen
Research and Teaching Areas
Financial econometrics, machine learning and statistics, microeconometrics.
Selected Publications
- A GMM approach to estimate the roughness of stochastic volatility. forthcoming in Journal of Econometrics (with A. E. Bolko, K. Christensen, M. S. Pakkanen).
- Treatment recommendation with distributional targets. forthcoming in Journal of Econometrics (with A. B. Kock, D. Preinerstorfer).
- A machine learning approach to volatility forecasting. forthcoming in Journal of Financial Econometrics (with K. Christensen, M. Siggaard).
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Functional sequential treatment allocation. Journal of the American Statistical Association, 2022, 517, 1311-1323 (with A. B. Kock, D. Preinerstorfer).
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing. Journal of Econometrics, 2019, 212, 556-583, (with K. Christensen, M. Thyrsgaard).
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Inference from high-frequency data: A subsampling approach. Journal of Econometrics, 2017, 197, 245-272, (with K. Christensen, M. Podolskij, N. Thamrongrant).
- Validity of Edgeworth expansions for realized volatility estimators. Econometrics Journal, 2016, 19, 1-32 (with U. Hounyo).
- Accepteret/In press
Functional sequential treatment allocation with covariates
Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
- Udgivet
Treatment recommendation with distributional targets
Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
- Accepteret/In press
A GMM approach to estimate the roughness of stochastic volatility
Publikation: Bidrag til tidsskrift/Konferencebidrag i tidsskrift /Bidrag til avis › Tidsskriftartikel › Forskning › peer review
ID: 69472943