Search Results

Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures,
Almut Veraart, in Econometrics Journal (2011)

Feasible inference for realised variance in the presence of jumps,
Almut Veraart, from Oxford Financial Research Centre (2007)
Keywords: Bipower variation, feasible inference, realized variance, semimartingale, stochastic volatility

How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?,
Almut Veraart, in AStA Advances in Statistical Analysis (2011)
Keywords: Realised variance, Realised multipower variation, Truncated realised variance, Inference, Stochastic volatility, Jumps,

Inference and forecasting for continuous-time integer-valued trawl processes,
Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E. D. Veraart, from arXiv.org (2023)

Risk premia in energy markets,
Almut Veraart and Luitgard Veraart, from Department of Economics and Business Economics, Aarhus University (2013)
Keywords: Lévy semistationary process, energy market, spot price, forward price, futures, risk premia, stochastic volatility, European Energy Exchange market.

Modelling electricity day–ahead prices by multivariate Lévy semistationary processes,
Almut Veraart and Luitgard Veraart, from Department of Economics and Business Economics, Aarhus University (2012)
Keywords: Electricity market, day–ahead prices, multivariate Lévy semistationary process, stochastic volatility, correlation, panel structure.

Stochastic volatility and stochastic leverage,
Almut Veraart and Luitgard Veraart, in Annals of Finance (2012)
Keywords: Stochastic volatility, Volatility of volatility, Stochastic correlation, Leverage effect, Jacobi process, Ornstein–Uhlenbeck process, Square root diffusion, Lévy process, Heston model, Barndorff-Nielsen & Shephard model, C1, C5, G0, G1,

Ambit processes and stochastic partial differential equations,
Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut Veraart, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance

Modelling energy spot prices by Lévy semistationary processes,
Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut Veraart, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price

Modelling electricity forward markets by ambit fields,
Ole E. Barndorff–Nielsen, Fred Espen Benth and Almut Veraart, from Department of Economics and Business Economics, Aarhus University (2010)
Keywords: Electricity markets, forward prices, random fields, ambit fields, stochastic volatility.

Feasible inference for realised variance in the presence of jumps,
Almut Elisabeth Dorothea Veraart, from University of Oxford, Department of Economics (2007)
Keywords: Bipower variation, Feasible inference, Realised variance, Semimartingale, Stochastic volatility

Stochastic volatility and stochastic leverage,
Almut Veraart and Luitgard A. M. Veraart, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: Stochastic volatility, volatility of volatility, stochastic correlation, leverage effect, Jacobi process, Ornstein–Uhlenbeck process, square root diffusion, Lévy process, Heston model, Barndorff-Nielsen & Shephard model

On the class of distributions of subordinated Lévy processes and bases,
Orimar Sauri and Almut Veraart, in Stochastic Processes and their Applications (2017)
Keywords: Subordination; Lévy basis; Lévy processes; Lévy mixing; Lévy semistationary processes; Recovery problem;

Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference,
Michele Nguyen and Almut Veraart, in Scandinavian Journal of Statistics (2017)

Stochastic volatility of volatility in continuous time,
Ole Barndorff-Nielsen and Almut Veraart, from Department of Economics and Business Economics, Aarhus University (2009)
Keywords: Stochastic volatility, volatility of volatility, non-Gaussian Ornstein–Uhlenbeck process, superposition, leverage effect, Lévy processes.

The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective,
Lorenzo Lucchese, Mikko Pakkanen and Almut Veraart, from arXiv.org (2023)

Simulation methods and error analysis for trawl processes and ambit fields,
Dan Leonte and Almut E.D. Veraart, in Mathematics and Computers in Simulation (MATCOM) (2024)
Keywords: Ambit fields; Infinite divisibility; Lévy bases; Numerical study of stochastic processes; Serial correlation; Stochastic simulation; Trawl processes;

Asymptotic theory for the inference of the latent trawl model for extreme values,
Valentin Courgeau and Almut E.D. Veraart, in Scandinavian Journal of Statistics (2022)

Stochastic Volatility of Volatility and Variance Risk Premia,
Ole Barndorff-Nielsen and Almut Veraart, in Journal of Financial Econometrics (2012)

A Lévy-driven rainfall model with applications to futures pricing,
Ragnhild Noven, Almut Veraart and Axel Gandy, in AStA Advances in Statistical Analysis (2015)

Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics,
Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E.D. Veraart, from Department of Economics and Business Economics, Aarhus University (2021)
Keywords: Integer valued trawl process, Lévy basis, composite likelihood, pairwise likelihood, estimation, model selection, forecasting

A multi-factor approach to modelling the impact of wind energy on electricity spot prices,
Paulina A. Rowińska, Almut E.D. Veraart and Pierre Gruet, in Energy Economics (2021)
Keywords: CARMA model; Electricity spot prices; Electricity futures prices; Lévy process; Lévy semistationary process; Wind energy;

A weak law of large numbers for realised covariation in a Hilbert space setting,
Fred Espen Benth, Dennis Schroers and Almut E.D. Veraart, in Stochastic Processes and their Applications (2022)
Keywords: Law of large numbers; High-frequency estimation; Quadratic covariation; Volatility; Hilbert space; Evolution equations;

Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes,
Yuan Li, Mikko S. Pakkanen and Almut E.D. Veraart, in Stochastic Processes and their Applications (2023)
Keywords: Realised semicovariance; Multivariate Brownian semistationary process; Central limit theory; Malliavin calculus;

Hybrid simulation scheme for volatility modulated moving average fields,
Claudio Heinrich, Mikko S. Pakkanen and Almut Veraart, in Mathematics and Computers in Simulation (MATCOM) (2019)
Keywords: simulation; Random field; Moving average; Stochastic volatility; Matérn covariance;

Inference and forecasting for continuous-time integer-valued trawl processes,
Mikkel Bennedsen, Asger Lunde, Neil Shephard and Almut E.D. Veraart, in Journal of Econometrics (2023)
Keywords: Count data; Lévy basis; Pairwise likelihood; Estimation; Model selection; Forecasting;

Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes,
Ole Barndorff-Nielsen, Fred Espen Benth and Almut Veraart, from arXiv.org (2013)

Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes,
Ole Barndorff-Nielsen, Asger Lunde, Neil Shephard and Almut Veraart, in Scandinavian Journal of Statistics (2014)

The short-term predictability of returns in order book markets: A deep learning perspective,
Lorenzo Lucchese, Mikko S. Pakkanen and Almut E.D. Veraart, in International Journal of Forecasting (2024)
Keywords: Price forecasting; Order book; High-frequency trading; Deep learning; Neural networks; Comparative studies; Model selection; Model confidence sets; Financial markets;

On stochastic integration for volatility modulated Lévy-driven Volterra processes,
Ole Barndorff-Nielsen, Fred Espen Benth, Jan Pedersen and Almut Veraart, in Stochastic Processes and their Applications (2014)
Keywords: Volatility modulated Volterra process; Lévy semistationary processes; Stochastic integration; Skorohod integral; Malliavin calculus;

Integer-valued trawl processes: A class of stationary infinitely divisible processes,
Ole Barndorff-Nielsen, Asger Lunde, Neil Shephard and Almut E.D. Veraart, from Harvard University Department of Economics (2014)

Optimal investment in the foreign exchange market with proportional transaction costs,
Luitgard Veraart, in Quantitative Finance (2010)
Keywords: Applied mathematical finance, Consumption-portfolio choice, Continuous time dynamic finance, Control of stochastic systems,

Land or lakes: Gravel excavation in Dutch spatial and resources policies through the lens of sustainability developments, 1950–2015,
Frank Veraart, in Land Use Policy (2019)
Keywords: Spatial policies; Resource policies; Temporal dynamics; Sustainability; History; Transnational; Gravel; Excavation; The Netherlands; Building materials; Environment; Tourism; Mining; Extracting industries; Government; NGO; European Union;

Optimal Market Making in the Foreign Exchange Market,
Luitgard Veraart, in Applied Mathematical Finance (2010)
Keywords: Market making, optimal investment, proportional transaction costs, stochastic control,

Comment on “Sectoral shocks, reallocation, and labor market policies” by Joaquín García-Cabo, Anna Lipińska, and Gastón Navarro,
Almut Balleer, in European Economic Review (2023)
Keywords: Labor market policies; Search and matching frictions; Reallocation;

New evidence, old puzzles: Technology shocks and labor market dynamics,
Almut Balleer, in Quantitative Economics (2012)

New evidence, old puzzles: technology shocks and labor market dynamics,
Almut Balleer, from Kiel Institute for the World Economy (IfW Kiel) (2009)
Keywords: Labor market dynamics, technology shocks, structural VAR, search and matching, business cycle

Planning culture – dynamics of power relations between actors,
Almut Wolff, in European Planning Studies (2020)

‘Little children are not for dad's?’ Challenging and undoing hegemonic masculinity,
Almut Peukert, in Gender, Work and Organization (2019)

Der Beitrag internationaler Richter zur Entwicklung der Rechtsstaatlichkeit in Bosnien und Herzegowina / Establishing the Rule of Law ın Bosnia and Hercegovina: the Contribution of International Jugdes,
Schröder Almut, in Comparative Southeast European Studies (2003)

Grimwade, Nigel (1996). International Trade Policy. A Contemporary Analysis,
Almut Oetjen, in Kyklos (1997)

Bailey, Elizabeth E. and Janet Rothenberg Pack (eds.) (1995). The Political Economy of Privatization and Deregulation,
Almut Oetjen, in Kyklos (1997)

Why ‘false’ colours are seen by butterflies,
Almut Kelber, in Nature (1999)

Uncertain future for vegetation cover,
Almut Arneth, in Nature (2015)

Polish scientists fight creationism,
Almut Graebsch, in Nature (2006)

What a hawkmoth remembers after hibernation depends on innate preferences and conditioning situation,
Almut Kelber, in Behavioral Ecology (2010)

Birds perceive colours in categories,
Almut Kelber, in Nature (2018)
Keywords: Animal behaviour, Evolution

Wachstumsinitiative: BIP-Anstieg durch Mehrarbeit?,
Balleer Almut, in Wirtschaftsdienst (2024)

Six Sigma – kompakt und praxisnah,
Almut Melzer, from Springer (2019)

Das Archiv "Deutsches Gedächtnis" und seine Bestände: Herkunft - Erschließung - Nutzung,
Almut Leh, from German Data Forum (RatSWD) (2012)
Keywords: ratswd

Registered author: Almut Balleer

Communicating Climate Change Risk: A Content Analysis of IPCC’s Summary for Policymakers,
P. Marijn Poortvliet, Meredith T. Niles, Jeroen A. Veraart, Saskia E. Werners, Fiona C. Korporaal and Bob C. Mulder, in Sustainability (2020)
Keywords: climate change; risk communication; psychological distance; threat appraisal; efficacy; global warming; content analysis

Topiramate Utilization After Phentermine/Topiramate Approval for Obesity Management: Risk Minimization in the Era of Drug Repurposing,
Amir Sarayani, Christian Hampp, Joshua D. Brown, William Troy Donahoo and Almut G. Winterstein, in Drug Safety (2022)

Increased auditory cortical representation in musicians,
Christo Pantev, Robert Oostenveld, Almut Engelien, Bernhard Ross, Larry E. Roberts and Manfried Hoke, in Nature (1998)

Distress and default contagion in financial networks,
Luitgard A. M. Veraart, from London School of Economics and Political Science, LSE Library (2020)
Keywords: systemic risk; contagion; financial networks; stress testing; mark-to-market losses

Distress and default contagion in financial networks,
Luitgard Anna Maria Veraart, in Mathematical Finance (2020)

When does portfolio compression reduce systemic risk?,
Luitgard Anna Maria Veraart, in Mathematical Finance (2022)

When does portfolio compression reduce systemic risk?,
Luitgard A. M. Veraart, from London School of Economics and Political Science, LSE Library (2022)
Keywords: systemic risk; portfolio compression; financial networks; cycles; netting

Global and regional health and food security under strict conservation scenarios,
Roslyn C. Henry, Almut Arneth, Martin Jung, Sam S. Rabin, Mark D. Rounsevell, Frances Warren and Peter Alexander, in Nature Sustainability (2022)

Validation of an ICD-9-Based Algorithm to Identify Stillbirth Episodes from Medicaid Claims Data,
Sabina O. Nduaguba, Nicole E. Smolinski, Thuy N. Thai, Steven T. Bird, Sonja A. Rasmussen and Almut G. Winterstein, in Drug Safety (2023)

Towards a Philosophy of a Bio-Based Economy: A Levinassian Perspective on the Relations between Economic and Ecological Systems,
Roel Veraart and Vincent Blok, in Environmental Values (2021)
Keywords: Bio-based economy; circular economy; enjoyment; Georgescu-Roegen; Levinas; sustainability

What Is Wrong with Empirical-Legal Research into Victimhood? A Critical Analysis of the Ordered Apology and the Victim Impact Statement,
Vincent Geeraets and Wouter Veraart, in Oxford Journal of Legal Studies (2021)
Keywords: apologies, victim impact statement, victimology, procedural justice, legal method

Contestations over Indigenous Participation in Bolivia's Extractive Industry: Ideology, Practices, and Legal Norms,
Almut Schilling-Vacaflor, from GIGA German Institute of Global and Area Studies (2014)
Keywords: participatory rights, free, prior, and informed consent (FPIC), extractive industry, indigenous peoples, legal pluralism, resource governance, Bolivia

Rethinking the Consultation-Conflict Link: Lessons from Bolivia's Gas Sector,
Almut Schilling-Vacaflor, from GIGA German Institute of Global and Area Studies (2013)
Keywords: prior consultation, FPIC, indigenous rights, extractive industry, resource conflicts, Bolivia

Democratizing Resource Governance through Prior Consultations? Lessons from Bolivia's Hydrocarbon Sector,
Almut Schilling-Vacaflor, from GIGA German Institute of Global and Area Studies (2012)
Keywords: resource governance, human rights, indigenous peoples, prior consultation, deliberative democracy, Bolivia, Latin America

Bolivia's New Constitution: Towards Participatory Democracy and Political Pluralism?,
Almut Schilling-Vacaflor, from GIGA German Institute of Global and Area Studies (2010)
Keywords: Bolivia, constitution, participatory democracy, indigenous peoples, social rights, political pluralism

Who controls the territory and the resources? Free, prior and informed consent (FPIC) as a contested human rights practice in Bolivia,
Almut Schilling-Vacaflor, in Third World Quarterly (2017)

Integrating Human Rights and the Environment in Supply Chain Regulations,
Almut Schilling-Vacaflor, in Sustainability (2021)
Keywords: policy integration; global supply chains; business and human rights; environmental governance; Sustainable Development Goals (SDGs); due diligence; policy-making; corporate accountability; soybeans; cattle; deforestation; land rights; Brazil; European Union (EU)

The sustainability governance of global supply chains: transnational approaches and the neglect of local development agendas,
Almut Schilling-Vacaflor, from Edward Elgar Publishing (2023)
Keywords: Development Studies, Economics and Finance, Environment, Geography, Politics and Public Policy

Neuronal ensemble control of prosthetic devices by a human with tetraplegia,
Leigh R. Hochberg, Mijail D. Serruya, Gerhard M. Friehs, Jon A. Mukand, Maryam Saleh, Abraham H. Caplan, Almut Branner, David Chen, Richard D. Penn and John P. Donoghue, in Nature (2006)

Reconciling global-model estimates and country reporting of anthropogenic forest CO2 sinks,
Giacomo Grassi, Jo House, Werner A. Kurz, Alessandro Cescatti, Richard A. Houghton, Glen Peters, Maria J. Sanz, Raul Abad Viñas, Ramdane Alkama, Almut Arneth, Alberte Bondeau, Frank Dentener, Marianela Fader, Sandro Federici, Pierre Friedlingstein, Atul K. Jain, Etsushi Kato, Charles D. Koven, Donna Lee, Julia E. M. S. Nabel, Alexander A. Nassikas, Lucia Perugini, Simone Rossi, Stephen Sitch, Nicolas Viovy, Andy Wiltshire and Sönke Zaehle, in Nature Climate Change (2018)

Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models,
Pauline M. Barrieu and Luitgard A.M. Veraart, in Scandinavian Actuarial Journal (2016)

Adjustable network reconstruction with applications to CDS exposures,
Axel Gandy and Luitgard Anna Maria Veraart, in Journal of Multivariate Analysis (2019)
Keywords: Bayesian methods; Calibration; Matrix balancing; Random graphs; Systemic risk;

Pricing q-forward contracts: an evaluation of estimation window and pricing method under different mortality models,
Pauline Barrieu and Luitgard A. M. Veraart, from London School of Economics and Political Science, LSE Library (2016)
Keywords: longevity risk; q-forward; model uncertainty; estimation window; pricing method

A Bayesian methodology for systemic risk assessment in financial networks,
Axel Gandy and Luitgard A. M. Veraart, from London School of Economics and Political Science, LSE Library (2017)
Keywords: Financial network; unknown interbank liabilities; systemic risk; Bayes; MCMC; Gibbs sampler; power law

Compound poisson models for weighted networks with applications in finance,
Axel Gandy and Luitgard A. M. Veraart, from London School of Economics and Political Science, LSE Library (2021)
Keywords: eighted directed networks; compound Poisson distribution; regression; subnetwork prediction; financial networks; systemic risk

Systemic risk in markets with multiple central counterparties,
Luitgard A. M. Veraart and Iñaki Aldasoro, from London School of Economics and Political Science, LSE Library (2024)
Keywords: central counterparties; systemic risk; contagion; stress testing; Cover 2

Systemic Risk in Markets with Multiple Central Counterparties,
Iñaki Aldasoro and Luitgard A M Veraart, from Bank for International Settlements (2022)
Keywords: central counterparties, systemic risk, contagion, stress testing, Cover 2.

Migration and investment: a business cycle perspective,
Chantal Fusshoeller and Almut Balleer, from Verein für Socialpolitik / German Economic Association (2017)

Air quality in welfare accounting,
Almut Balleer and Morten Endrikat, in Macroeconomic Dynamics (2023)

Monetary policy in the presence of supply constraints: Evidence from German firm-level data,
Almut Balleer and Marvin Noeller, from RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen (2023)
Keywords: Supply constraints, capacity utilization, price setting, local projections, monetary policy

Monetary policy in the presence of supply constraints: Evidence from German firm-level data,
Almut Balleer and Marvin Noeller, from C.E.P.R. Discussion Papers (2024)

Expansionary and Contractionary Technology Shocks,
Zeno Enders and Almut Balleer, from Society for Economic Dynamics (2012)

Expansionary and Contractionary Technology Improvements,
Almut Balleer and Zeno Enders, from Verein für Socialpolitik / German Economic Association (2013)

Monetary Policy in the Presence of Supply Constraints: Evidence from German Firm-level Data,
Marvin Nöller and Almut Balleer, from Verein für Socialpolitik / German Economic Association (2023)

Akt protein boosts cancer metabolism through a two-pronged attack,
Philipp Poeller and Almut Schulze, in Nature (2022)
Keywords: Metabolism, Cancer, Biochemistry

Better to ask online when it concerns intimate relationships? Survey mode differences in the assessment of relationship quality,
Almut Schumann and Detlev Lück, in Demographic Research (2023)
Keywords: survey data, research methods, data collection, interviews, relationships, quality of a statistical survey, intimate relationship, Generations and Gender Programme (GGP)

How does a diurnal hawkmoth find nectar? Differences in sensory control with a nocturnal relative,
Joaquín Goyret and Almut Kelber, in Behavioral Ecology (2011)

Reflecting Regional Conditions in Circular Bioeconomy Scenarios: A Multi-Criteria Approach for Matching Technologies and Regions,
Almut Güldemund and Vanessa Zeller, in Sustainability (2024)
Keywords: circular bioeconomy; CBE; regional; transition; technology scenario; success criteria; barriers and drivers; social acceptance; biomass supply chain

Monetary Policy, Price Setting, and Credit Constraints,
Almut Balleer and Peter Zorn, from C.E.P.R. Discussion Papers (2019)
Keywords: Price setting; Extensive margin; Intensive margin; Monetary policy; Local projections; Menu cost; Credit constraints