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Christensen, Kim [Author] ; Thyrsgaard, Martin [Other]; Veliyev, Bezirgen [Other]

The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing

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[S.l.]: SSRN, [2019]
Christensen, Kim [Author] ; Podolskij, Mark [Other]; Thamrongrat, Nopporn [Other]; Veliyev, Bezirgen [Other]

Inference from High-Frequency Data : A Subsampling Approach

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[S.l.]: SSRN, [2016]
Christensen, Kim [Author]; Siggaard, Mathias Voldum [Author]; Veliyev, Bezirgen [Author]

A machine learning approach to volatility forecasting

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Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, [2021]

Published in: Aarhus Universitet: CREATES research paper ; 2021,3
Christensen, Kim [Author]; Timmermann, Allan [Author]; Veliyev, Bezirgen [Author]

Warp Speed Price Moves : Jumps after Earnings Announcements

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[S.l.]: SSRN, [2023]
Podolskij, Mark [Author]; Veliyev, Bezirgen [Author]; Yoshida, Nakahiro [Author]

Edgeworth expansion for Euler approximation of continuous diffusion processes

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Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, 2018

Published in: Aarhus Universitet: CREATES research paper ; 201828
Christensen, Kim [Author]; Thyrsgaard, Martin [Author]; Veliyev, Bezirgen [Author]

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

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Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, 2018

Published in: Aarhus Universitet: CREATES research paper ; 201819
Christensen, Bent Jesper [Author]; Kjær, Mads Markvart [Author]; Veliyev, Bezirgen [Author]

The incremental information in the yield curve about future interest rate risk - [This version: June 28, 2021]

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Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, [2021]

Published in: Aarhus Universitet: CREATES research paper ; 2021,11
Bolko, Anine E. [Author]; Christensen, Kim [Author]; Pakkanen, Mikko S. [Author]; Veliyev, Bezirgen [Author]

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

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Aarhus, Denmark: Department of Economics and Business Economics, Aarhus University, [2020]

Published in: Aarhus Universitet: CREATES research paper ; 2020,12
Hounyo, Ulrich; Veliyev, Bezirgen

Validity of Edgeworth expansions for realized volatility estimators

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Oxford University Press (OUP), 2016

Published in: The Econometrics Journal, 19 (2016) 1, Seite 1-32
Kock, Anders Bredahl; Preinerstorfer, David; Veliyev, Bezirgen

FUNCTIONAL SEQUENTIAL TREATMENT ALLOCATION WITH COVARIATES

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Cambridge University Press (CUP), 2023

Published in: Econometric Theory (2023), Seite 1-42
Christensen, Kim; Timmermann, Allan; Veliyev, Bezirgen

Warp Speed Price Moves: Jumps after Earnings Announcements

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Elsevier BV, 2023

Published in: SSRN Electronic Journal (2023)
Kock, Anders Bredahl; Preinerstorfer, David; Veliyev, Bezirgen

Functional Sequential Treatment Allocation

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Informa UK Limited, 2022

Published in: Journal of the American Statistical Association, 117 (2022) 539, Seite 1311-1323
Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro

Edgeworth expansion for Euler approximation of continuous diffusion processes

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Institute of Mathematical Statistics, 2020

Published in: The Annals of Applied Probability, 30 (2020) 4
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen

The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing

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Elsevier BV, 2018

Published in: SSRN Electronic Journal (2018)
Podolskij, Mark; Veliyev, Bezirgen; Yoshida, Nakahiro

Edgeworth expansion for the pre-averaging estimator

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Elsevier BV, 2017

Published in: Stochastic Processes and their Applications, 127 (2017) 11, Seite 3558-3595
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen

A short proof of the Doob–Meyer theorem

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Elsevier BV, 2012

Published in: Stochastic Processes and their Applications, 122 (2012) 4, Seite 1204-1209
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen

A direct proof of the Bichteler–Dellacherie theorem and connections to arbitrage

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Institute of Mathematical Statistics, 2011

Published in: The Annals of Probability, 39 (2011) 6
Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen

A DIRECT PROOF OF THE BICHTELER—DELLACHERIE THEOREM AND CONNECTIONS TO ARBITRAGE

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Institute of Mathematical Statistics, 2011

Published in: The Annals of Probability, 39 (2011) 6, Seite 2424-2440
Bolko, Anine Eg; Christensen, Kim; Veliyev, Bezirgen; Pakkanen, Mikko

Roughness in Spot Variance? A GMM Approach for Estimation of Fractional Log-Normal Stochastic Volatility Models Using Realized Measures

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Elsevier BV, 2020

Published in: SSRN Electronic Journal (2020)
Christensen, Kim; Podolskij, Mark; Thamrongrat, Nopporn; Veliyev, Bezirgen

Inference from High-Frequency Data: A Subsampling Approach

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Elsevier BV, 2015

Published in: SSRN Electronic Journal (2015)

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