Department of Economics and Business Economics

Bezirgen Veliyev

Associate Professor

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Bezirgen Veliyev

Associate Professor

  • Department of Economics and Business Economics
  • Department of Economics and Business Economics - CREATES
Postal address:
Fuglesangs Allé 4
2621, 10
8210
Aarhus V
Denmark

Email: bveliyev@econ.au.dk

Phone: +4587164967

Academic Positions

Associate Professor, CREATES, Aarhus University, Denmark, 2019-

Assistant Professor, CREATES, Aarhus University, Denmark, 2016-2019

Postdoc, CREATES, Aarhus University, Denmark, 2014-2016

Postdoc, Institute of Applied Mathematics, Heidelberg University, Germany, 2012-2014

Education

PhD in Mathematics, University of Vienna, Austria, 2012

MS in Mathematics, Stanford University, CA, USA, 2008

BS in Mathematics, Bogazici University, Istanbul, Turkey, 2006

Publications

The incremental information in the yield curve about future interest rate risk

Christensen, B. J., Kjær, M. M. & Veliyev, B., 1 Jul 2021, Aarhus: Institut for Økonomi, Aarhus Universitet, 75 p. (CREATES Research Papers; No. 2021-11).

A machine learning approach to volatility forecasting

Christensen, K., Siggaard, M. V. & Veliyev, B., 18 Jan 2021, Aarhus: Institut for Økonomi, Aarhus Universitet, 47 p. (CREATES Research Papers; No. 2021-03).

Functional Sequential Treatment Allocation

Kock, A. B., Preinerstorfer, D. & Veliyev, B., Nov 2020, (E-pub ahead of print) In: Journal of the American Statistical Association.

Roughness in spot variance? A GMM approach for estimation of fractional log-normal stochastic volatility models using realized measures

Bolko, A. E., Christensen, K., Pakkanen, M. & Veliyev, B., Oct 2020, Aarhus: Institut for Økonomi, Aarhus Universitet, 45 p. (CREATES Research Papers; No. 2020-12).

Treatment recommendation with distributional targets

Kock, A. B., Preinerstorfer, D. & Veliyev, B., May 2020, arXiv.org, 52 p.

Functional Sequential Treatment Allocation with Covariates

Kock, A. B., Preinerstorfer, D. & Veliyev, B., Jan 2020, arXiv.org, 47 p.

Edgeworth expansion for Euler approximation of continuous diffusion processes

Podolskij, M., Veliyev, B. & Yoshida, N., 2020, In: Annals of Applied Probability. 30, 4, p. 1971-2003 33 p.

Functional Sequential Treatment Allocation

Kock, A. B., Preinerstorfer, D. & Veliyev, B., 2020, arXiv.org, 90 p.

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, K., Thyrsgaard, M. & Veliyev, B., Oct 2019, In: Journal of Econometrics. 212, 2, p. 556-583 28 p.

Edgeworth expansion for Euler approximation of continuous diffusion processes

Podolskij, M., Veliyev, B. & Yoshida, N., 27 Nov 2018, Aarhus: Institut for Økonomi, Aarhus Universitet, 35 p. (CREATES Research Papers; No. 2018-28).

Edgeworth expansion for the pre-averaging estimator

Podolskij, M., Veliyev, B. & Yoshida, N., 2017, In: Stochastic Processes and Their Applications. 127, 11, p. 3558-3595 38 p.

Inference from high-frequency data: A subsampling approach

Christensen, K., Podolskij, M., Thamrongrat, N. & Veliyev, B., 2017, In: Journal of Econometrics. 197, 2, p. 245–272 28 p.

Validity of Edgeworth expansions for realized volatility estimators

Hounyo, U. & Veliyev, B., 2016, In: Econometrics Journal. 19, 1, p. 1-32 32 p.

Edgeworth expansion for the pre-averaging estimator

Podolskij, M., Veliyev, B. & Yoshida, N., 15 Dec 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 36 p. (CREATES Research Papers; No. 2015-60).

Validity of Edgeworth expansions for realized volatility estimators

Hounyo, U. & Veliyev, B., 7 May 2015, Aarhus: Institut for Økonomi, Aarhus Universitet, 31 p. (CREATES Research Papers; No. 2015-21).

Utility maximization in a binomial model with transaction costs: A duality approach based on the shadow price process

Bayer, C. & Veliyev, B., 13 Jun 2014, In: International Journal of Theoretical and Applied Finance. 17, 4, p. 1-27 27 p.

A short proof of the Doob-Meyer theorem

Beiglböck, M., Schachermayer, W. & Veliyev, B., 1 Apr 2012, In: Stochastic Processes and Their Applications. 122, 4, p. 1204-1209 6 p.

A direct proof of the Bichteler-Dellacherie Theorem and connections to arbitrage

Beiglböck, M., Schachermayer, W. & Veliyev, B., 1 Nov 2011, In: Annals of Probability. 39, 6, p. 2424-2440 17 p.