Details about Almut E. D. Veraart

Access statistics for papers by Almut E. D. Veraart.

Last updated 2020-02-08. Update your information in the RePEc Author Service.

Short-id: pve148

Working Papers

2013

1. Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes
   Papers, arXiv.org View citations (53)
2. Risk premia in energy markets
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2012

3. Modelling electricity day–ahead prices by multivariate Lévy semistationary processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (13)

2010

4. Ambit processes and stochastic partial differential equations
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
5. How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University
   See also Journal Article How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?, AStA Advances in Statistical Analysis, Springer (2011) View citations (2) (2011)
6. Modelling electricity forward markets by ambit fields
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
7. Modelling energy spot prices by Lévy semistationary processes
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)

2009

8. Stochastic volatility and stochastic leverage
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   See also Journal Article Stochastic volatility and stochastic leverage, Annals of Finance, Springer (2012) View citations (16) (2012)
9. Stochastic volatility of volatility in continuous time
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)

2008

10. Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
11. Inference for the jump part of quadratic variation of Itô semimartingales
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (12)
    See also Journal Article INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES, Econometric Theory, Cambridge University Press (2010) View citations (13) (2010)

2007

12. Feasible inference for realised variance in the presence of jumps
    OFRC Working Papers Series, Oxford Financial Research Centre View citations (3)

Journal Articles

2019

1. Hybrid simulation scheme for volatility modulated moving average fields
   Mathematics and Computers in Simulation (MATCOM), 2019, 166, (C), 224-244
2. Modeling, simulation and inference for multivariate time series of counts using trawl processes
   Journal of Multivariate Analysis, 2019, 169, (C), 110-129 View citations (4)

2017

3. On the class of distributions of subordinated Lévy processes and bases
   Stochastic Processes and their Applications, 2017, 127, (2), 475-496 View citations (1)
4. Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
   Scandinavian Journal of Statistics, 2017, 44, (1), 46-80 View citations (3)

2015

5. A Lévy-driven rainfall model with applications to futures pricing
   AStA Advances in Statistical Analysis, 2015, 99, (4), 403-432 View citations (2)

2014

6. Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
   Scandinavian Journal of Statistics, 2014, 41, (3), 693-724 View citations (9)
7. On stochastic integration for volatility modulated Lévy-driven Volterra processes
   Stochastic Processes and their Applications, 2014, 124, (1), 812-847 View citations (8)

2012

8. Stochastic Volatility of Volatility and Variance Risk Premia
   Journal of Financial Econometrics, 2012, 11, (1), 1-46 View citations (14)
9. Stochastic volatility and stochastic leverage
   Annals of Finance, 2012, 8, (2), 205-233 View citations (16)
   See also Working Paper Stochastic volatility and stochastic leverage, CREATES Research Papers (2009) View citations (3) (2009)

2011

10. How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?
    AStA Advances in Statistical Analysis, 2011, 95, (3), 253-291 View citations (2)
    See also Working Paper How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?, CREATES Research Papers (2010) (2010)
11. Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures
    Econometrics Journal, 2011, 14, (2), 204-240 View citations (2)

2010

12. INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
    Econometric Theory, 2010, 26, (2), 331-368 View citations (13)
    See also Working Paper Inference for the jump part of quadratic variation of Itô semimartingales, CREATES Research Papers (2008) View citations (12) (2008)