Bezirgen Veliyev

Aarhus University

CREATES

Fuglesangs Alle 4

DK-8210 Aarhus V, 8210

Denmark

SCHOLARLY PAPERS

3

DOWNLOADS

131

SSRN CITATIONS

2

CROSSREF CITATIONS

2

Scholarly Papers (3)

1.

Inference from High-Frequency Data: A Subsampling Approach

Journal of Econometrics, Forthcoming
Number of pages: 73 Posted: 26 Sep 2015 Last Revised: 19 Jul 2016
Aarhus University - CREATES, Aarhus University - School of Economics and Management, Heidelberg University and Aarhus University
Downloads 86 (305,993)
Citation 4

Abstract:

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bipower variation; high-frequency data; microstructure noise; positive semi-definite estimation; pre-averaging; stochastic volatility; subsampling

2.

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

Number of pages: 48 Posted: 24 Jul 2018 Last Revised: 25 Jun 2019
Kim Christensen, Martin Thyrsgaard and Bezirgen Veliyev
Aarhus University - CREATES, Northwestern University - Kellogg School of Management and Aarhus University
Downloads 45 (424,727)

Abstract:

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empirical processes; goodness-of-fit; high-frequency data; microstructure noise; pre-averaging; realized variance; stochastic volatility

3.

Validity of Edgeworth Expansions for Realized Volatility Estimators

The Econometrics Journal, Vol. 19, Issue 1, pp. 1-32, 2016
Number of pages: 32 Posted: 10 May 2016
Ulrich Hounyo and Bezirgen Veliyev
Aarhus University - CREATES and Aarhus University
Downloads 0 (698,456)
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Abstract:

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Bootstrap, Confidence intervals, Edgeworth expansions, Preā€averaging, Realized volatility