Details about Almut E. D. Veraart

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

Last updated 2013-04-06. Update your information in the RePEc Author Service.

Short-id: pve148

Working Papers

2013

1. Risk premia in energy markets
   CREATES Research Papers, School of Economics and Management, University of Aarhus

2012

2. Modelling electricity day–ahead prices by multivariate Lévy semistationary processes
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)

2010

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

2009

7. Stochastic volatility and stochastic leverage
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (2)
   See also Journal Article in Annals of Finance (2012)
8. Stochastic volatility of volatility in continuous time
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (2)

2008

9. Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
   CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (1)
10. Inference for the jump part of quadratic variation of Itô semimartingales
    CREATES Research Papers, School of Economics and Management, University of Aarhus View citations (10)
    See also Journal Article in Econometric Theory (2010)

2007

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

Journal Articles

2012

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

2011

3. 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
   See also Working Paper (2010)
4. Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures
   Econometrics Journal, 2011, 14, (2), 204-240 View citations (1)

2010

5. INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
   Econometric Theory, 2010, 26, (02), 331-368 View citations (2)
   See also Working Paper (2008)