Details about Almut E. D. Veraart

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

Last updated 2025-02-10. Update your information in the RePEc Author Service.

Short-id: pve148

Working Papers

2023

1. Inference and forecasting for continuous-time integer-valued trawl processes
   Papers, arXiv.org View citations (1)
   See also Journal Article Inference and forecasting for continuous-time integer-valued trawl processes, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)
2. The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective
   Papers, arXiv.org View citations (2)
   See also Journal Article The short-term predictability of returns in order book markets: A deep learning perspective, International Journal of Forecasting, Elsevier (2024) (2024)

2022

3. High-frequency Estimation of the L\'evy-driven Graph Ornstein-Uhlenbeck process
   Papers, arXiv.org View citations (1)

2021

4. Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University

2014

5. Integer-valued trawl processes: A class of stationary infinitely divisible processes
   Scholarly Articles, Harvard University Department of Economics View citations (9)
   See also Journal Article Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes, Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics (2014) View citations (10) (2014)

2013

6. Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes
   Papers, arXiv.org View citations (55)
7. Risk premia in energy markets
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)

2012

8. 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

9. Ambit processes and stochastic partial differential equations
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (6)
10. 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)
11. Modelling electricity forward markets by ambit fields
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (9)
12. Modelling energy spot prices by Lévy semistationary processes
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (7)

2009

13. 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)
14. Stochastic volatility of volatility in continuous time
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (8)

2008

15. 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)
16. 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 (14) (2010)

2007

17. Feasible inference for realised variance in the presence of jumps
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
    Also in OFRC Working Papers Series, Oxford Financial Research Centre (2007) View citations (3)

Journal Articles

2024

1. Simulation methods and error analysis for trawl processes and ambit fields
   Mathematics and Computers in Simulation (MATCOM), 2024, 215, (C), 518-542 View citations (1)
2. The short-term predictability of returns in order book markets: A deep learning perspective
   International Journal of Forecasting, 2024, 40, (4), 1587-1621
   See also Working Paper The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective, Papers (2023) View citations (2) (2023)

2023

3. Inference and forecasting for continuous-time integer-valued trawl processes
   Journal of Econometrics, 2023, 236, (2) View citations (1)
   See also Working Paper Inference and forecasting for continuous-time integer-valued trawl processes, Papers (2023) View citations (1) (2023)
4. Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes
   Stochastic Processes and their Applications, 2023, 155, (C), 202-231

2022

5. A weak law of large numbers for realised covariation in a Hilbert space setting
   Stochastic Processes and their Applications, 2022, 145, (C), 241-268 View citations (4)
6. Asymptotic theory for the inference of the latent trawl model for extreme values
   Scandinavian Journal of Statistics, 2022, 49, (4), 1448-1495
7. Likelihood theory for the graph Ornstein-Uhlenbeck process
   Statistical Inference for Stochastic Processes, 2022, 25, (2), 227-260
8. Scoring predictions at extreme quantiles
   AStA Advances in Statistical Analysis, 2022, 106, (4), 527-544 View citations (1)

2021

9. A multi-factor approach to modelling the impact of wind energy on electricity spot prices
   Energy Economics, 2021, 104, (C) View citations (3)

2019

10. Hybrid simulation scheme for volatility modulated moving average fields
    Mathematics and Computers in Simulation (MATCOM), 2019, 166, (C), 224-244
11. Mixing Properties of Multivariate Infinitely Divisible Random Fields
    Journal of Theoretical Probability, 2019, 32, (4), 1845-1879 View citations (1)
12. Modeling, simulation and inference for multivariate time series of counts using trawl processes
    Journal of Multivariate Analysis, 2019, 169, (C), 110-129 View citations (6)

2017

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

2015

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

2014

16. Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes
    Scandinavian Journal of Statistics, 2014, 41, (3), 693-724 View citations (10)
    See also Working Paper Integer-valued trawl processes: A class of stationary infinitely divisible processes, Scholarly Articles (2014) View citations (9) (2014)
17. On stochastic integration for volatility modulated Lévy-driven Volterra processes
    Stochastic Processes and their Applications, 2014, 124, (1), 812-847 View citations (8)

2012

18. Stochastic Volatility of Volatility and Variance Risk Premia
    Journal of Financial Econometrics, 2012, 11, (1), 1-46 View citations (14)
19. 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

20. 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)
21. Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures
    Econometrics Journal, 2011, 14, (2), 204-240 View citations (2)

2010

22. INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES
    Econometric Theory, 2010, 26, (2), 331-368 View citations (14)
    See also Working Paper Inference for the jump part of quadratic variation of Itô semimartingales, CREATES Research Papers (2008) View citations (12) (2008)

Undated

23. A latent trawl process model for extreme values
    Journal of Energy Markets