Department of Economics and Business Economics

Almut Veraart

  1. 2019
  2. Published

    Hybrid simulation scheme for volatility modulated moving average fields. / Heinrich, Claudio; Pakkanen, Mikko; Veraart, Almut.

    In: Simulation, Vol. 166, No. December, 12.2019.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  3. 2018
  4. Published

    Ambit Stochastics. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, Almut.

    Springer, 2018. 418 p. (Probability Theory and Stochastic Modelling, Vol. 88).

    Research output: Book/anthology/dissertation/reportBookResearchpeer-review

  5. 2017
  6. Published

    On the class of distributions of subordinated Lévy processes and bases. / Sauri, Orimar; Veraart, Almut.

    In: Stochastic Processes and Their Applications, Vol. 127, No. 2, 2017, p. 475-496.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  7. 2014
  8. Published

    Approximating Lévy semistationary processes via Fourier methods in the context of power markets. / Benth, Fred Espen; Eyjolfsson, Heidar; Veraart, Almut E D.

    In: S I A M Journal on Financial Mathematics, Vol. 5, No. 1, 01.01.2014, p. 71-98.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  9. Published

    Integer-valued trawl processes : A class of stationary infinitely divisible processes. / Barndorff-Nielsen, Ole E.; Lunde, Asger; Shephard, Neil; Veraart, Almut.

    In: Scandinavian Journal of Statistics, Vol. 41, 2014, p. 693-724.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  10. Published

    Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes. / Veraart, Almut; Veraart, Luitgard A.M.

    Quantitative Energy Finance. ed. / Fred Espen Benth; Valery A. Kholodnyi; Peter Laurence . New York : Springer, 2014. p. 157-188.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  11. Published

    On stochastic integration for volatility modulated Lévy-driven Volterra processes. / Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Pedersen, Jan; Veraart, Almut E D.

    In: Stochastic Processes and Their Applications, Vol. 124, No. 1, 2014, p. 812-847.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  12. 2013
  13. Published

    Risk premiums in energy markets. / Veraart, Almut; Veraart, Luitgard A.M.

    In: Journal of Energy Markets, Vol. 6, No. 4, 2013, p. 91-132.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  14. Published

    Stochastic volatility of volatility and variance risk premia. / Barndorff-nielsen, O.E.; Veraart, A.E.D.

    In: Journal of Financial Econometrics, Vol. 11, No. 1, 2013, p. 1-46.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  15. 2012
  16. Published
  17. Published

    Stochastic volatility and stochastic leverage. / Veraart, Almut; Veraart, Luitgard.

    In: Annals of Finance, Vol. 8, No. 2-3, 2012, p. 205-233.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  18. 2011
  19. Published

    Ambit processes and stochastic partial differential equations. / Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut.

    Advanced Mathematical Methods for Finance. ed. / Giulia Di Nunno; Bernt Øksendal. Berlin : Springer, 2011. p. 35-74.

    Research output: Contribution to book/anthology/report/proceedingBook chapterResearchpeer-review

  20. Published

    How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? / Veraart, Almut.

    In: A St A - Advances in Statistical Analysis, Vol. 95, No. 3, 2011, p. 253-291.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  21. Published

    Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures. / Veraart, Almut.

    In: Econometrics Journal, Vol. 14, No. 2, 2011, p. 204-240.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  22. 2010
  23. Published

    Ambit processes and stochastic partial differential equations. / Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  24. Published

    How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? / Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  25. Published

    Inference for the jump part of quadratic variation of Itô semimartingales. / Veraart, Almut.

    In: Econometric Theory, Vol. 26, No. 2, 2010, p. 331-368.

    Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  26. Published

    Modelling electricity forward markets by ambit fields. / Barndorff-Nielsen, Ole; Fred Espen Benth, Fred Espen; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  27. Published

    Modelling energy spot prices by Lévy semistationary processes. / Barndorff-Nielsen, Ole; Benth, Fred Espen; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

    Research output: Working paperResearch

  28. Published

    Time change. / Veraart, Almut; Winkel, Matthias.

    Encyclopedia of Quantitative Finance. ed. / Rama Cont. Vol. 4 John Wiley & Sons Ltd, 2010. p. 1812-1816.

    Research output: Contribution to book/anthology/report/proceedingEncyclopedia entryResearch

  29. 2009
  30. Published

    Stochastic volatility and stochastic leverage. / Veraart, Almut; Veraart, Luitgard A. M.

    Aarhus : Institut for økonomi, Aarhus Universitet, 2009.

    Research output: Working paperResearch

  31. Published

    Stochastic volatility of volatility in continuous time. / Barndorff-Nielsen, Ole; Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2009.

    Research output: Working paperResearch

  32. 2008
  33. Published

    Impact of time-inhomogeneous jumps and leverage type effects on returns and realised variances. / Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  34. Published

    Inference for the jump part of quadratic variation of Itô semimartingales. / Veraart, Almut.

    Aarhus : Institut for Økonomi, Aarhus Universitet, 2008.

    Research output: Working paperResearch

  35. 2007
  36. Published

    Feasible inference for realised variance in the presence of jumps. / Veraart, Almut.

    Oxford : Oxford Financial Research Centre, 2007.

    Research output: Working paperResearch