← All authors Bezirgen Veliyev Aarhus University (from arXiv:2001.10996, 2020) · ORCID · OpenAlex
16 papers in scope · 15 published · 3 on the econ.EM arXiv · 167 citations · h-index 7 (over the papers listed here)
Related authors The 20 authors closest to this one in our weighted citation graph, most related first.
Anders Kock David Preinerstorfer Martin Thyrsgaard Phillip Heiler Louise Beuchert Simon Calmar Andersen Helena Skyt Nielsen Yingying Dong Jeff Rowley Toru Kitagawa Benedikt M. Pötscher Mengshan Xu Hugo Enrique Sánchez López Yifan Cui Keisuke Hirano Gevorg Khandamiryan Christopher Walters Zhi Liu Kim Christensen Victor Chernozhukov Proximity is measured over citations between two papers we both hold, weighted by how heavily one leans on the other, and is symmetric — it does not distinguish citing from being cited. Authors without a profile here are skipped, and a genuinely close colleague can be missing simply because their work is not in our arXiv corpus. Method: docs/06-citations-pipeline.md .
Papers (5 of 16)
published 2025 · Journal of Financial Economics · 8 citations · first circulated 2023
working paper 2024 · arXiv
The incremental information in the yield curve about future interest rate risk
published 2023 · Journal of Banking & Finance
published 2023 · Econometric Theory · 2 citations · first circulated 2020
published 2022 · Journal of Econometrics · 3 citations · first circulated 2020
A GMM approach to estimate the roughness of stochastic volatility
published 2022 · Journal of Econometrics · 37 citations · first circulated 2020
A Machine Learning Approach to Volatility Forecasting
published 2022 · Journal of Financial Econometrics · 27 citations
published 2020 · Journal of the American Statistical Association
Edgeworth expansion for Euler approximation of continuous diffusion processes
published 2020 · The Annals of Applied Probability
The Realized Empirical Distribution Function of Stochastic Variance with Application to Goodness-of-Fit Testing
published 2018 · Journal of Econometrics · 2 citations
Edgeworth expansion for the pre-averaging estimator
published 2017 · Stochastic Processes and their Applications · 11 citations · first circulated 2015
Inference from high-frequency data: A subsampling approach
published 2016 · Journal of Econometrics · 7 citations · first circulated 2015
Validity of Edgeworth expansions for realized volatility estimators
published 2016 · Econometrics Journal · 11 citations · first circulated 2015
UTILITY MAXIMIZATION IN A BINOMIAL MODEL WITH TRANSACTION COSTS: A DUALITY APPROACH BASED ON THE SHADOW PRICE PROCESS
published 2014 · International Journal of Theoretical and Applied Finance · 5 citations · first circulated 2012
with Christian Bayer
A short proof of the Doob–Meyer theorem
published 2011 · Stochastic Processes and their Applications · 26 citations · first circulated 2010
with Mathias Beiglböck, Walter Schachermayer, Mathias Beiglboeck
A direct proof of the Bichteler–Dellacherie theorem and connections to arbitrage
published 2011 · The Annals of Probability · 28 citations · first circulated 2010
with Mathias Beiglböck, Walter Schachermayer, Mathias Beiglb ock
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