Следене
Almut Veraart
Almut Veraart
Потвърден имейл адрес: imperial.ac.uk - Начална страница
Заглавие
Позовавания
Позовавания
Година
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
OE Barndorff-Nielsen, FE Benth, AED Veraart
161*2013
Stochastic volatility of volatility and variance risk premia
OE Barndorff-Nielsen, AED Veraart
Journal of Financial Econometrics 11 (1), 1-46, 2012
79*2012
Modelling electricity futures by ambit fields
OE Barndorff-Nielsen, FE Benth, AED Veraart
Advances in Applied Probability 46 (3), 719-745, 2014
782014
Ambit processes and stochastic partial differential equations
OE Barndorff-Nielsen, FE Benth, AED Veraart
Advanced mathematical methods for finance, 35-74, 2011
652011
Inference for the jump part of quadratic variation of Itô semimartingales
AED Veraart
Econometric Theory 26 (2), 331-368, 2010
652010
Ambit stochastics
OE Barndorff-Nielsen, FE Benth, AED Veraart
Springer, 2018
552018
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency
OE Barndorff-Nielsen, FE Benth, AED Veraart
arXiv preprint arXiv:1210.1354, 2012
542012
Stochastic volatility and stochastic leverage
AED Veraart, LAM Veraart
Annals of Finance 8, 205-233, 2012
522012
Modelling electricity day-ahead prices by multivariate Lévy semistationary processes
AED Veraart, LAM Veraart
Quantitative Energy Finance: Modeling, Pricing, and Hedging in Energy and …, 2013
502013
Time change
AED Veraart, M Winkel
Encyclopedia of quantitative finance 4, 1812-1816, 2010
472010
Integer‐valued trawl processes: A class of stationary infinitely divisible processes
OE Barndorff‐Nielsen, A Lunde, N Shephard, AED Veraart
Scandinavian Journal of Statistics 41 (3), 693-724, 2014
452014
On stochastic integration for volatility modulated Lévy-driven Volterra processes
OE Barndorff-Nielsen, FE Benth, J Pedersen, AED Veraart
Stochastic Processes and their Applications 124 (1), 812-847, 2014
332014
Approximating Lévy semistationary processes via Fourier methods in the context of power markets
FE Benth, H Eyjolfsson, AED Veraart
SIAM Journal on Financial Mathematics 5 (1), 71-98, 2014
302014
Modelling the impact of wind power production on electricity prices by regime-switching Lévy semistationary processes
AED Veraart
Stochastics of Environmental and Financial Economics: Centre of Advanced …, 2016
242016
Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
M Nguyen, AED Veraart
Scandinavian Journal of Statistics 44 (1), 46-80, 2017
202017
A latent trawl process model for extreme values
RC Noven, AED Veraart, A Gandy
arXiv preprint arXiv:1511.08190, 2015
192015
A Lévy-driven rainfall model with applications to futures pricing
RC Noven, AED Veraart, A Gandy
AStA Advances in Statistical Analysis 99, 403-432, 2015
192015
Cross-commodity modelling by multivariate ambit fields
OE Barndorff-Nielsen, FE Benth, AED Veraart
Commodities, energy and environmental finance, 109-148, 2015
192015
Modeling, simulation and inference for multivariate time series of counts using trawl processes
AED Veraart
Journal of Multivariate Analysis 169, 110-129, 2019
182019
Risk premia in energy markets
AED Veraart, LAM Veraart
162013
Системата не може да изпълни операцията сега. Опитайте отново по-късно.
Статии 1–20