7
H index
5
i10 index
191
Citations
Almut E. D. Veraart : Citation Profile
Aarhus Universitet (10% share) | RESEARCH PRODUCTION: 23 Articles 18 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
17 years (2007 - 2024). 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:
| Cites to:
|
Main data
Where Almut E. D. Veraart has published?
| Journals with more than one article published | # docs |
|---|---|
| Stochastic Processes and their Applications | 4 |
| AStA Advances in Statistical Analysis | 3 |
| Scandinavian Journal of Statistics | 3 |
| Mathematics and Computers in Simulation (MATCOM) | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Papers / arXiv.org | 4 |
Recent works citing Almut E. D. Veraart (2025 and 2024)
| Year | Title of citing document |
|---|---|
| 2024 | Existence of optimal controls for stochastic Volterra equations. (2024). Serrano, Rafael ; Pulido, Sergio. In: Papers. RePEc:arx:papers:2207.05169. Full description at Econpapers || Download paper |
| 2025 | Robust Functional Data Analysis for Stochastic Evolution Equations in Infinite Dimensions. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2401.16286. Full description at Econpapers || Download paper |
| 2024 | Dynamically Consistent Analysis of Realized Covariations in Term Structure Models. (2024). Schroers, Dennis. In: Papers. RePEc:arx:papers:2406.19412. Full description at Econpapers || Download paper |
| 2025 | Rough Bergomi turns grey. (2025). Jacquier, Antoine ; Zuric, Zan ; Orioles, Adriano Oliveri. In: Papers. RePEc:arx:papers:2505.08623. Full description at Econpapers || Download paper |
| 2025 | Optimal Quoting under Adverse Selection and Price Reading. (2025). Barzykin, Alexander ; Gu, Olivier ; Bergault, Philippe ; Lemmel, Malo. In: Papers. RePEc:arx:papers:2508.20225. Full description at Econpapers || Download paper |
| 2025 | Kolmogorov equations for stochastic Volterra processes with singular kernels. (2025). Pannier, Alexandre ; Gasteratos, Ioannis. In: Papers. RePEc:arx:papers:2509.21608. Full description at Econpapers || Download paper |
| 2025 | On the estimation of leverage effect and volatility of volatility in the presence of jumps. (2025). Liu, Qiang ; Zhou, Wang. In: Papers. RePEc:arx:papers:2511.00944. Full description at Econpapers || Download paper |
| 2024 | Count network autoregression. (2024). Armillotta, Mirko ; Fokianos, Konstantinos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:584-612. Full description at Econpapers || Download paper |
| 2024 | Generalized divergences for statistical evaluation of uncertainty in long-memory processes. (2024). Yoshioka, Yumi. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:182:y:2024:i:c:s0960077924001784. Full description at Econpapers || Download paper |
| 2024 | Modeling stationary, periodic, and long memory processes by superposed jump-driven processes. (2024). Yoshioka, Hidekazu. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:188:y:2024:i:c:s0960077924009093. Full description at Econpapers || Download paper |
| 2024 | Multivariate Count Time Series Modelling. (2024). Fokianos, Konstantinos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:31:y:2024:i:c:p:100-116. Full description at Econpapers || Download paper |
| 2024 | Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models. (2024). Wong, Patrick ; Ignatieva, Katja. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000549. Full description at Econpapers || Download paper |
| 2024 | Energy-conservation model of inter-provincial cooperation that accounts GDP and social benefits. (2024). Shi, Shaoqing ; Guo, Meichen ; Zhao, Laijun ; Xue, Jian. In: Energy. RePEc:eee:energy:v:290:y:2024:i:c:s0360544223034941. Full description at Econpapers || Download paper |
| 2025 | What triggers intraday price jumps and co-jumps in gold?. (2025). Sobti, Neharika. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004673. Full description at Econpapers || Download paper |
| 2024 | A clean optimization approach for sustainable waste-to-energy using integrated technology. (2024). Shi, YI ; Huang, Yidan ; Xu, Jiuping. In: Renewable Energy. RePEc:eee:renene:v:221:y:2024:i:c:s0960148123016658. Full description at Econpapers || Download paper |
| 2025 | Existence of optimal controls for stochastic Volterra equations. (2025). Crdenas, Andrs ; Pulido, Sergio ; Serrano, Rafael. In: Post-Print. RePEc:hal:journl:hal-03720342. Full description at Econpapers || Download paper |
| 2024 | A Review of Generalized Hyperbolic Distributions. (2024). Jiang, Xiao ; Hitchen, Thomas ; Nadarajah, Saralees. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:1:d:10.1007_s10614-023-10457-5. Full description at Econpapers || Download paper |
| 2024 | Robustness of Hilbert space-valued stochastic volatility models. (2024). Benth, Fred Espen ; Eyjolfsson, Heidar. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00542-4. Full description at Econpapers || Download paper |
| 2024 | A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets. (2024). Sgarra, Carlo ; Benth, Fred Espen. In: Finance and Stochastics. RePEc:spr:finsto:v:28:y:2024:i:4:d:10.1007_s00780-024-00546-0. Full description at Econpapers || Download paper |
| 2024 | Temporal evolution of the extreme excursions of multivariate k$$ k $$th order Markov processes with application to oceanographic data. (2024). Tendijck, Stan ; Jonathan, Philip ; Tawn, Jonathan ; Randell, David. In: Environmetrics. RePEc:wly:envmet:v:35:y:2024:i:3:n:e2834. 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 | 22 |
| 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: 22 | 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 | 7 |
| 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 | 8 |
| 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 |
| 2021 | Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Modelling energy spot prices by volatility modulated L\{e}vy-driven Volterra processes In: Papers. [Full Text][Citation analysis] | paper | 52 |
| 2022 | High-frequency Estimation of the L\evy-driven Graph Ornstein-Uhlenbeck process In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Inference and forecasting for continuous-time integer-valued trawl processes In: Papers. [Full Text][Citation analysis] | paper | 0 |
| 2023 | Inference and forecasting for continuous-time integer-valued trawl processes.(2023) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2023 | The Short-Term Predictability of Returns in Order Book Markets: a Deep Learning Perspective In: Papers. [Full Text][Citation analysis] | paper | 3 |
| 2024 | The short-term predictability of returns in order book markets: A deep learning perspective.(2024) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2014 | Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 5 |
| 2014 | Integer-valued trawl processes: A class of stationary infinitely divisible processes.(2014) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Spatio-temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 2 |
| 2022 | Asymptotic theory for the inference of the latent trawl model for extreme values In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 0 |
| 2011 | Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures In: Econometrics Journal. [Citation analysis] | article | 1 |
| 2021 | A multi-factor approach to modelling the impact of wind energy on electricity spot prices In: Energy Economics. [Full Text][Citation analysis] | article | 3 |
| 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 |
| 2024 | Simulation methods and error analysis for trawl processes and ambit fields In: Mathematics and Computers in Simulation (MATCOM). [Full Text][Citation analysis] | article | 1 |
| 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 |
| 2022 | A weak law of large numbers for realised covariation in a Hilbert space setting In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 5 |
| 2023 | Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 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: Economics Series Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2007 | Feasible inference for realised variance in the presence of jumps.(2007) In: OFRC Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| A latent trawl process model for extreme values In: Journal of Energy Markets. [Full Text][Citation analysis] | article | 0 | |
| 2022 | Scoring predictions at extreme quantiles In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 1 |
| 2015 | A Lévy-driven rainfall model with applications to futures pricing In: AStA Advances in Statistical Analysis. [Full Text][Citation analysis] | article | 2 |
| 2019 | Mixing Properties of Multivariate Infinitely Divisible Random Fields In: Journal of Theoretical Probability. [Full Text][Citation analysis] | article | 1 |
| 2022 | Likelihood theory for the graph Ornstein-Uhlenbeck process In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team