IDEAS home Printed from https://ideas.repec.org/e/pve148.html
   My authors  Follow this author

Almut E. D. Veraart

Personal Details

First Name:Almut
Middle Name:E. D.
Last Name:Veraart
Suffix:
RePEc Short-ID:pve148
https://www.imperial.ac.uk/people/a.veraart

Affiliation

(90%) Imperial College London, Department of Mathematics

http://www3.imperial.ac.uk/mathematics
United Kingdom, London

(10%) Center for Research in Econometric Analysis of Time Series (CREATES)
Institut for Økonomi
Aarhus Universitet

Aarhus, Denmark
http://www.creates.au.dk/
RePEc:edi:creaudk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2013. "Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes," Papers 1307.6332, arXiv.org.
  2. Almut E. D. Veraart & Luitgard A. M. Veraart, 2013. "Risk premia in energy markets," CREATES Research Papers 2013-02, Department of Economics and Business Economics, Aarhus University.
  3. Almut E. D. Veraart & Luitgard A. M. Veraart, 2012. "Modelling electricity day–ahead prices by multivariate Lévy semistationary processes," CREATES Research Papers 2012-13, Department of Economics and Business Economics, Aarhus University.
  4. Almut E. D. Veraart, 2010. "How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?," CREATES Research Papers 2010-65, Department of Economics and Business Economics, Aarhus University.
  5. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010. "Ambit processes and stochastic partial differential equations," CREATES Research Papers 2010-17, Department of Economics and Business Economics, Aarhus University.
  6. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010. "Modelling electricity forward markets by ambit fields," CREATES Research Papers 2010-41, Department of Economics and Business Economics, Aarhus University.
  7. Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart, 2010. "Modelling energy spot prices by Lévy semistationary processes," CREATES Research Papers 2010-18, Department of Economics and Business Economics, Aarhus University.
  8. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
  9. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2009. "Stochastic volatility of volatility in continuous time," CREATES Research Papers 2009-25, Department of Economics and Business Economics, Aarhus University.
  10. Almut Veraart, 2008. "Inference for the jump part of quadratic variation of Itô semimartingales," CREATES Research Papers 2008-17, Department of Economics and Business Economics, Aarhus University.
  11. Almut E. D. Veraart, 2008. "Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances," CREATES Research Papers 2008-57, Department of Economics and Business Economics, Aarhus University.
  12. Almut Elisabeth Dorothea Veraart, 2007. "Feasible inference for realised variance in the presence of jumps," OFRC Working Papers Series 2007fe02, Oxford Financial Research Centre.

Articles

  1. Heinrich, Claudio & Pakkanen, Mikko S. & Veraart, Almut E.D., 2019. "Hybrid simulation scheme for volatility modulated moving average fields," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 166(C), pages 224-244.
  2. Veraart, Almut E.D., 2019. "Modeling, simulation and inference for multivariate time series of counts using trawl processes," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 110-129.
  3. Michele Nguyen & Almut E. D. Veraart, 2017. "Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(1), pages 46-80, March.
  4. Sauri, Orimar & Veraart, Almut E.D., 2017. "On the class of distributions of subordinated Lévy processes and bases," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 475-496.
  5. Ragnhild Noven & Almut Veraart & Axel Gandy, 2015. "A Lévy-driven rainfall model with applications to futures pricing," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 99(4), pages 403-432, October.
  6. Ole E. Barndorff-Nielsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart, 2014. "Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 41(3), pages 693-724, September.
  7. Barndorff-Nielsen, Ole E. & Benth, Fred Espen & Pedersen, Jan & Veraart, Almut E.D., 2014. "On stochastic integration for volatility modulated Lévy-driven Volterra processes," Stochastic Processes and their Applications, Elsevier, vol. 124(1), pages 812-847.
  8. Ole E. Barndorff-Nielsen & Almut E. D. Veraart, 2012. "Stochastic Volatility of Volatility and Variance Risk Premia," Journal of Financial Econometrics, Oxford University Press, vol. 11(1), pages 1-46, December.
  9. Almut Veraart & Luitgard Veraart, 2012. "Stochastic volatility and stochastic leverage," Annals of Finance, Springer, vol. 8(2), pages 205-233, May.
  10. Almut Veraart, 2011. "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;German Statistical Society, vol. 95(3), pages 253-291, September.
  11. Almut E. D. Veraart, 2011. "Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures," Econometrics Journal, Royal Economic Society, vol. 14(2), pages 204-240, July.
  12. Veraart, Almut E.D., 2010. "Inference For The Jump Part Of Quadratic Variation Of Itô Semimartingales," Econometric Theory, Cambridge University Press, vol. 26(2), pages 331-368, April.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 12 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (8) 2007-03-03 2008-06-27 2008-11-18 2009-05-30 2009-06-03 2010-05-08 2010-10-09 2012-05-02. Author is listed
  2. NEP-ENE: Energy Economics (4) 2010-05-08 2010-09-03 2013-02-03 2013-07-28
  3. NEP-ETS: Econometric Time Series (4) 2008-06-27 2009-06-03 2010-10-09 2012-05-02
  4. NEP-MST: Market Microstructure (4) 2008-06-27 2009-06-03 2010-10-09 2012-05-02
  5. NEP-ORE: Operations Research (4) 2009-05-30 2009-06-03 2010-05-08 2010-05-08
  6. NEP-MIC: Microeconomics (1) 2010-05-08
  7. NEP-REG: Regulation (1) 2013-02-03

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Almut E. D. Veraart should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.