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
147*2013
Stochastic volatility of volatility and variance risk premia
OE Barndorff-Nielsen, AED Veraart
Journal of Financial Econometrics 11 (1), 1-46, 2012
76*2012
Modelling electricity futures by ambit fields
OE Barndorff-Nielsen, FE Benth, AED Veraart
Advances in Applied Probability 46 (3), 719-745, 2014
712014
Inference for the jump part of quadratic variation of Itô semimartingales
AED Veraart
Econometric Theory 26 (2), 331-368, 2010
662010
Ambit processes and stochastic partial differential equations
OE Barndorff-Nielsen, FE Benth, AED Veraart
Advanced mathematical methods for finance, 35-74, 2011
592011
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
532012
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
492013
Stochastic volatility and stochastic leverage
AED Veraart, LAM Veraart
Annals of Finance 8, 205-233, 2012
462012
Ambit stochastics
OE Barndorff-Nielsen, FE Benth, AED Veraart
Springer International Publishing, 2018
442018
Time change
AED Veraart, M Winkel
Encyclopedia of quantitative finance 4, 1812-1816, 2010
442010
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
392014
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
312014
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
272014
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
212016
Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference
M Nguyen, AED Veraart
Scandinavian Journal of Statistics 44 (1), 46-80, 2017
202017
Cross-commodity modelling by multivariate ambit fields
OE Barndorff-Nielsen, FE Benth, AED Veraart
Commodities, energy and environmental finance, 109-148, 2015
192015
A latent trawl process model for extreme values
RC Noven, AED Veraart, A Gandy
arXiv preprint arXiv:1511.08190, 2015
172015
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
162015
Risk premia in energy markets
AED Veraart, LAM Veraart
Journal of Energy Markets, 2013
152013
Modeling, simulation and inference for multivariate time series of counts using trawl processes
AED Veraart
Journal of Multivariate Analysis 169, 110-129, 2019
132019
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