Almut E. D. Veraart
Names
| first: |
Almut |
| middle: |
E. D. |
| last: |
Veraart |
Identifer
Contact
Affiliations
-
Imperial College London, Department of Mathematics (weight: 90%)
- http://www3.imperial.ac.uk/mathematics
- location: United Kingdom, London
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Aarhus Universitet
/ Institut for Økonomi
/ Center for Research in Econometric Analysis of Time Series (CREATES) (weight: 10%)
Research profile
author of:
- Inference for the jump part of quadratic variation of Itô semimartingales (RePEc:aah:create:2008-17)
by Almut Veraart - Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances (RePEc:aah:create:2008-57)
by Almut E. D. Veraart - Stochastic volatility and stochastic leverage (RePEc:aah:create:2009-20)
by Almut E. D. Veraart & Luitgard A. M. Veraart - Stochastic volatility of volatility in continuous time (RePEc:aah:create:2009-25)
by Ole E. Barndorff-Nielsen & Almut E. D. Veraart - Ambit processes and stochastic partial differential equations (RePEc:aah:create:2010-17)
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - Modelling energy spot prices by Lévy semistationary processes (RePEc:aah:create:2010-18)
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - Modelling electricity forward markets by ambit fields (RePEc:aah:create:2010-41)
by Ole E. Barndorff–Nielsen & Fred Espen Benth & Almut E. D. Veraart - How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (RePEc:aah:create:2010-65)
by Almut E. D. Veraart - Modelling electricity day–ahead prices by multivariate Lévy semistationary processes (RePEc:aah:create:2012-13)
by Almut E. D. Veraart & Luitgard A. M. Veraart - Risk premia in energy markets (RePEc:aah:create:2013-02)
by Almut E. D. Veraart & Luitgard A. M. Veraart - Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics (RePEc:aah:create:2021-12)
by Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart - Modelling energy spot prices by volatility modulated L\'{e}vy-driven Volterra processes (RePEc:arx:papers:1307.6332)
by Ole E. Barndorff-Nielsen & Fred Espen Benth & Almut E. D. Veraart - High-frequency Estimation of the L\'evy-driven Graph Ornstein-Uhlenbeck process (RePEc:arx:papers:2008.10930)
by Valentin Courgeau & Almut E. D. Veraart - Inference and forecasting for continuous-time integer-valued trawl processes (RePEc:arx:papers:2107.03674)
by Mikkel Bennedsen & Asger Lunde & Neil Shephard & Almut E. D. Veraart - The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective (RePEc:arx:papers:2211.13777)
by Lorenzo Lucchese & Mikko Pakkanen & Almut Veraart - Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes (RePEc:bla:scjsta:v:41:y:2014:i:3:p:693-724)
by Ole E. Barndorff-Nielsen & Asger Lunde & Neil Shephard & Almut E.D. Veraart - Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference (RePEc:bla:scjsta:v:44:y:2017:i:1:p:46-80)
by Michele Nguyen & Almut E. D. Veraart - Asymptotic theory for the inference of the latent trawl model for extreme values (RePEc:bla:scjsta:v:49:y:2022:i:4:p:1448-1495)
by Valentin Courgeau & Almut E.D. Veraart - Inference For The Jump Part Of Quadratic Variation Of Itô Semimartingales (RePEc:cup:etheor:v:26:y:2010:i:02:p:331-368_10)
by Veraart, Almut E.D. - Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures (RePEc:ect:emjrnl:v:14:y:2011:i:2:p:204-240)
by Almut E. D. Veraart - Inference and forecasting for continuous-time integer-valued trawl processes (RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001926)
by Bennedsen, Mikkel & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D. - A multi-factor approach to modelling the impact of wind energy on electricity spot prices (RePEc:eee:eneeco:v:104:y:2021:i:c:s0140988321004953)
by Rowińska, Paulina A. & Veraart, Almut E.D. & Gruet, Pierre - The short-term predictability of returns in order book markets: A deep learning perspective (RePEc:eee:intfor:v:40:y:2024:i:4:p:1587-1621)
by Lucchese, Lorenzo & Pakkanen, Mikko S. & Veraart, Almut E.D. - Modeling, simulation and inference for multivariate time series of counts using trawl processes (RePEc:eee:jmvana:v:169:y:2019:i:c:p:110-129)
by Veraart, Almut E.D. - Hybrid simulation scheme for volatility modulated moving average fields (RePEc:eee:matcom:v:166:y:2019:i:c:p:224-244)
by Heinrich, Claudio & Pakkanen, Mikko S. & Veraart, Almut E.D. - Simulation methods and error analysis for trawl processes and ambit fields (RePEc:eee:matcom:v:215:y:2024:i:c:p:518-542)
by Leonte, Dan & Veraart, Almut E.D. - On stochastic integration for volatility modulated Lévy-driven Volterra processes (RePEc:eee:spapps:v:124:y:2014:i:1:p:812-847)
by Barndorff-Nielsen, Ole E. & Benth, Fred Espen & Pedersen, Jan & Veraart, Almut E.D. - On the class of distributions of subordinated Lévy processes and bases (RePEc:eee:spapps:v:127:y:2017:i:2:p:475-496)
by Sauri, Orimar & Veraart, Almut E.D. - A weak law of large numbers for realised covariation in a Hilbert space setting (RePEc:eee:spapps:v:145:y:2022:i:c:p:241-268)
by Benth, Fred Espen & Schroers, Dennis & Veraart, Almut E.D. - Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes (RePEc:eee:spapps:v:155:y:2023:i:c:p:202-231)
by Li, Yuan & Pakkanen, Mikko S. & Veraart, Almut E.D. - Integer-valued trawl processes: A class of stationary infinitely divisible processes (RePEc:hrv:faseco:34650304)
by Barndorff-Nielsen, Ole E. & Lunde, Asger & Shephard, Neil & Veraart, Almut E.D. - Stochastic volatility and stochastic leverage (RePEc:kap:annfin:v:8:y:2012:i:2:p:205-233)
by Almut Veraart & Luitgard Veraart - Stochastic Volatility of Volatility and Variance Risk Premia (RePEc:oup:jfinec:v:11:y:2012:i:1:p:1-46)
by Ole E. Barndorff-Nielsen & Almut E. D. Veraart - Feasible inference for realised variance in the presence of jumps (RePEc:oxf:wpaper:2007-fe-02)
by Almut Elisabeth Dorothea Veraart - A latent trawl process model for extreme values (RePEc:rsk:journ2:5844801)
by Ragnhild C. Noven & Almut E. D. Veraart & Axel Gandy - Feasible inference for realised variance in the presence of jumps (RePEc:sbs:wpsefe:2007fe02)
by Almut Elisabeth Dorothea Veraart - Scoring predictions at extreme quantiles (RePEc:spr:alstar:v:106:y:2022:i:4:d:10.1007_s10182-021-00421-9)
by Axel Gandy & Kaushik Jana & Almut E. D. Veraart - How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? (RePEc:spr:alstar:v:95:y:2011:i:3:p:253-291)
by Almut Veraart - A Lévy-driven rainfall model with applications to futures pricing (RePEc:spr:alstar:v:99:y:2015:i:4:p:403-432)
by Ragnhild Noven & Almut Veraart & Axel Gandy - Mixing Properties of Multivariate Infinitely Divisible Random Fields (RePEc:spr:jotpro:v:32:y:2019:i:4:d:10.1007_s10959-018-0864-7)
by Riccardo Passeggeri & Almut E. D. Veraart - Likelihood theory for the graph Ornstein-Uhlenbeck process (RePEc:spr:sistpr:v:25:y:2022:i:2:d:10.1007_s11203-021-09257-1)
by Valentin Courgeau & Almut E. D. Veraart