7
H index
5
i10 index
175
Citations
Almut E. D. Veraart : Citation Profile
Aarhus Universitet (10% share) | RESEARCH PRODUCTION: 12 Articles 12 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2007 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Almut E. D. Veraart. | Is cited by:
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Main data
Where Almut E. D. Veraart has published?
| Journals with more than one article published | # docs |
|---|---|
| AStA Advances in Statistical Analysis | 2 |
| Stochastic Processes and their Applications | 2 |
| Scandinavian Journal of Statistics | 2 |
Recent works citing Almut E. D. Veraart (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics. (2021). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Papers. RePEc:arx:papers:2107.03674. Full description at Econpapers || Download paper |
| 2024 | Existence of optimal controls for stochastic Volterra equations. (2022). Serrano, Rafael ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2207.05169. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Inference and forecasting for continuous-time integer-valued trawl processes. (2023). , Almut ; Shephard, Neil ; Lunde, Asger ; Bennedsen, Mikkel. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001926. Full description at Econpapers || Download paper |
| 2023 | Co-volatility and asymmetric transmission of risks between the global oil and Chinas futures markets. (2023). Klein, Tony ; Ji, Qiang ; Marfatia, Hardik A ; Luo, Jiawen. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005953. Full description at Econpapers || Download paper |
| 2024 | Simulation methods and error analysis for trawl processes and ambit fields. (2024). , Almut ; Leonte, Dan. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:215:y:2024:i:c:p:518-542. Full description at Econpapers || Download paper |
| 2024 | A generalised ItŠformula for Lévy-driven Volterra processes. (2015). Bender, Christian ; Oberacker, Philip ; Knobloch, Robert . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:125:y:2015:i:8:p:2989-3022. Full description at Econpapers || Download paper |
| 2023 | Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes. (2023). , Almut ; Pakkanen, Mikko S ; Li, Yuan. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:155:y:2023:i:c:p:202-231. Full description at Econpapers || Download paper |
| 2023 | Valuation of Spark-Spread Option Written on Electricity and Gas Forward Contracts Under Two-Factor Models with Non-Gaussian Lévy Processes. (2023). Noorani, Idin ; Mehrdoust, Farshid. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:2:d:10.1007_s10614-021-10232-4. Full description at Econpapers || Download paper |
Works by Almut E. D. Veraart:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2008 | Inference for the jump part of quadratic variation of Itô semimartingales In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 20 |
| 2010 | INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES.(2010) In: Econometric Theory. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
| 2008 | Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Stochastic volatility and stochastic leverage In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 18 |
| 2012 | Stochastic volatility and stochastic leverage.(2012) In: Annals of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 18 | article | |
| 2009 | Stochastic volatility of volatility in continuous time In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 6 |
| 2010 | Ambit processes and stochastic partial differential equations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Modelling energy spot prices by Lévy semistationary processes In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 7 |
| 2010 | Modelling electricity forward markets by ambit fields In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 8 |
| 2010 | How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2011 | How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?.(2011) In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | article | |
| 2012 | Modelling electricity day–ahead prices by multivariate Lévy semistationary processes In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 11 |
| 2013 | Risk premia in energy markets In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 4 |
| 2013 | Modelling energy spot prices by volatility modulated L\{e}vy-driven Volterra processes In: Papers. [Full Text][Citation analysis] | paper | 48 |
| 2014 | Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 9 |
| 2017 | Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 4 |
| 2011 | Likelihood estimation of Lévyâ€driven stochastic volatility models through realized variance measures In: Econometrics Journal. [Citation analysis] | article | 1 |
| 2019 | Modeling, simulation and inference for multivariate time series of counts using trawl processes In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 4 |
| 2019 | Hybrid simulation scheme for volatility modulated moving average fields In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 0 |
| 2014 | On stochastic integration for volatility modulated Lévy-driven Volterra processes In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 7 |
| 2017 | On the class of distributions of subordinated Lévy processes and bases In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 1 |
| 2012 | Stochastic Volatility of Volatility and Variance Risk Premia In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 15 |
| 2007 | Feasible inference for realised variance in the presence of jumps In: OFRC Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
| 2015 | A Lévy-driven rainfall model with applications to futures pricing In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 2 |
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