Almut E. D. Veraart : Citation Profile


Are you Almut E. D. Veraart?

Aarhus Universitet (10% share)

6

H index

4

i10 index

102

Citations

RESEARCH PRODUCTION:

10

Articles

12

Papers

RESEARCH ACTIVITY:

   10 years (2007 - 2017). See details.
   Cites by year: 10
   Journals where Almut E. D. Veraart has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 10 (8.93 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pve148
   Updated: 2018-07-21    RAS profile: 2018-04-11    
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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:

Andersen, Torben (4)

Dungey, Mardi (3)

LINTON, OLIVER (2)

Afanasyev, Dmitriy (2)

Kalnina, Ilze (2)

Schaumburg, Ernst (2)

Renò, Roberto (2)

Santucci de Magistris, Paolo (2)

Sheppard, Kevin (2)

Shephard, Neil (2)

Ewald, Christian-Oliver (1)

Cites to:

Shephard, Neil (20)

Barndorff-Nielsen, Ole (19)

Bollerslev, Tim (10)

Podolskij, Mark (7)

Lunde, Asger (6)

Andersen, Torben (5)

Hansen, Peter (5)

Zhou, Hao (4)

Renault, Eric (4)

Härdle, Wolfgang (4)

López Cabrera, Brenda (4)

Main data


Where Almut E. D. Veraart has published?


Journals with more than one article published# docs
AStA Advances in Statistical Analysis2
Stochastic Processes and their Applications2
Scandinavian Journal of Statistics2

Recent works citing Almut E. D. Veraart (2018 and 2017)


YearTitle of citing document
2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: CREATES Research Papers. RePEc:aah:create:2017-26.

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2017Hybrid scheme for Brownian semistationary processes. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S. ; Lunde, Asger. In: Papers. RePEc:arx:papers:1507.03004.

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2017Correction to Black-Scholes formula due to fractional stochastic volatility. (2017). Garnier, Josselin ; Solna, Knut . In: Papers. RePEc:arx:papers:1509.01175.

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2017The Local Fractional Bootstrap. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger ; Hounyo, Ulrich. In: Papers. RePEc:arx:papers:1605.00868.

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2018Semiparametric inference on the fractal index of Gaussian and conditionally Gaussian time series data. (2018). Bennedsen, Mikkel . In: Papers. RePEc:arx:papers:1608.01895.

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2017Decoupling the short- and long-term behavior of stochastic volatility. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Papers. RePEc:arx:papers:1610.00332.

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2017Pricing of commodity derivatives on processes with memory. (2017). Benth, Fred Espen ; Vanmaele, Michele ; Khedher, Asma . In: Papers. RePEc:arx:papers:1711.00307.

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2018Estimation of spot volatility with superposed noisy data. (2018). Liu, Qiang ; Wang, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:62-79.

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2017A rough multi-factor model of electricity spot prices. (2017). Bennedsen, Mikkel . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:301-313.

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2017Electricity price modeling with stochastic time change. (2017). Borovkova, Svetlana ; Schmeck, Maren Diane . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:51-65.

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2017Modeling positive electricity prices with arithmetic jump-diffusions. (2017). Hess, Markus. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:496-507.

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2017Stochastic PDEs with heavy-tailed noise. (2017). Chong, Carsten . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:7:p:2262-2280.

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2018Ornstein–Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility. (2018). Benth, Fred Espen ; Suss, Andre ; Rudiger, Barbara . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:2:p:461-486.

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2018Intermittency of trawl processes. (2018). Grahovac, Danijel ; Taqqu, Murad S ; Leonenko, Nikolai N. In: Statistics & Probability Letters. RePEc:eee:stapro:v:137:y:2018:i:c:p:235-242.

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2017Pricing Green Financial Products. (2017). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang K ; Melzer, Awdesch . In: SFB 649 Discussion Papers. RePEc:hum:wpaper:sfb649dp2017-020.

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2017Options valuation included jumps in intervention period. (2017). Divi, Martin. In: Český finanční a účetní časopis. RePEc:prg:jnlcfu:v:2017:y:2017:i:3:id:499:p:19-38.

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2017Hybrid scheme for Brownian semistationary processes. (2017). Bennedsen, Mikkel ; Pakkanen, Mikko S ; Lunde, Asger. In: Finance and Stochastics. RePEc:spr:finsto:v:21:y:2017:i:4:d:10.1007_s00780-017-0335-5.

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Works by Almut E. D. Veraart:


YearTitleTypeCited
2008Inference for the jump part of quadratic variation of Itô semimartingales In: CREATES Research Papers.
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paper16
2010INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES.(2010) In: Econometric Theory.
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This paper has another version. Agregated cites: 16
article
2008Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances In: CREATES Research Papers.
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paper0
2009Stochastic volatility and stochastic leverage In: CREATES Research Papers.
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paper10
2012Stochastic volatility and stochastic leverage.(2012) In: Annals of Finance.
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This paper has another version. Agregated cites: 10
article
2009Stochastic volatility of volatility in continuous time In: CREATES Research Papers.
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paper1
2010Ambit processes and stochastic partial differential equations In: CREATES Research Papers.
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paper7
2010Modelling energy spot prices by Lévy semistationary processes In: CREATES Research Papers.
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paper3
2010Modelling electricity forward markets by ambit fields In: CREATES Research Papers.
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paper6
2010How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? In: CREATES Research Papers.
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paper0
2011How 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.
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This paper has another version. Agregated cites: 0
article
2012Modelling electricity day–ahead prices by multivariate Lévy semistationary processes In: CREATES Research Papers.
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paper10
2013Risk premia in energy markets In: CREATES Research Papers.
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paper1
2013Modelling energy spot prices by volatility modulated L\{e}vy-driven Volterra processes In: Papers.
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paper32
2014Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics.
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article1
2017Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference In: Scandinavian Journal of Statistics.
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article0
2011Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures In: Econometrics Journal.
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article0
2014On stochastic integration for volatility modulated Lévy-driven Volterra processes In: Stochastic Processes and their Applications.
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article5
2017On the class of distributions of subordinated Lévy processes and bases In: Stochastic Processes and their Applications.
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article1
2012Stochastic Volatility of Volatility and Variance Risk Premia In: Journal of Financial Econometrics.
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article5
2007Feasible inference for realised variance in the presence of jumps In: OFRC Working Papers Series.
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paper3
2015A Lévy-driven rainfall model with applications to futures pricing In: AStA Advances in Statistical Analysis.
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article1

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