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Details about Almut E. D. Veraart

E-mail:
Homepage:http://www3.imperial.ac.uk/people/a.veraart
Workplace:Imperial College London, Department of Mathematics
Center for Research in Econometric Analysis of Time Series (CREATES), Institut for Økonomi (Department of Economics and Business), Aarhus Universitet (University of Aarhus), (more information at EDIRC)

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

Last updated 2017-03-16. Update your information in the RePEc Author Service.

Short-id: pve148


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Working Papers

2013

  1. Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes
    Papers, arXiv.org Downloads View citations (27)
  2. Risk premia in energy markets
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads

2012

  1. Modelling electricity day–ahead prices by multivariate Lévy semistationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)

2010

  1. Ambit processes and stochastic partial differential equations
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (6)
  2. 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 Downloads
    See also Journal Article in AStA Advances in Statistical Analysis (2011)
  3. Modelling electricity forward markets by ambit fields
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (5)
  4. Modelling energy spot prices by Lévy semistationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (1)

2009

  1. Stochastic volatility and stochastic leverage
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    See also Journal Article in Annals of Finance (2012)
  2. Stochastic volatility of volatility in continuous time
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (3)

2008

  1. 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 Downloads View citations (2)
  2. Inference for the jump part of quadratic variation of Itô semimartingales
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (11)
    See also Journal Article in Econometric Theory (2010)

2007

  1. Feasible inference for realised variance in the presence of jumps
    OFRC Working Papers Series, Oxford Financial Research Centre Downloads View citations (2)

Journal Articles

2017

  1. On the class of distributions of subordinated Lévy processes and bases
    Stochastic Processes and their Applications, 2017, 127, (2), 475-496 Downloads

2015

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

2014

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

2012

  1. Stochastic Volatility of Volatility and Variance Risk Premia
    Journal of Financial Econometrics, 2012, 11, (1), 1-46 Downloads View citations (4)
  2. Stochastic volatility and stochastic leverage
    Annals of Finance, 2012, 8, (2), 205-233 Downloads View citations (8)
    See also Working Paper (2009)

2011

  1. 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 Downloads
    See also Working Paper (2010)
  2. Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures
    Econometrics Journal, 2011, 14, (2), 204-240 View citations (1)

2010

  1. INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
    Econometric Theory, 2010, 26, (02), 331-368 Downloads View citations (10)
    See also Working Paper (2008)
 
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