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1

Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets

Benth, Fred Espen, Eyjolfsson, Heidar, Veraart, Almut E. D.

Journal:

SIAM Journal on Financial Mathematics

Year:

2014

Language:

english

File:

PDF, 303 KB

english, 2014

2

Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes

Barndorff-Nielsen, Ole E., Lunde, Asger, Shephard, Neil, Veraart, Almut E.D.

Journal:

Scandinavian Journal of Statistics

Year:

2014

Language:

english

File:

PDF, 962 KB

english, 2014

3

The Fascination of Probability, Statistics and their Applications || Cumulants and Bartlett Identities in Cox Regression

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 171 KB

english, 2016

4

On the class of distributions of subordinated Lévy processes and bases

Sauri, Orimar, Veraart, Almut E.D.

Journal:

Stochastic Processes and their Applications

Year:

2016

Language:

english

File:

PDF, 394 KB

english, 2016

5

Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion

Granelli, Andrea, Veraart, Almut E. D.

Journal:

SIAM Journal on Financial Mathematics

Year:

2016

Language:

english

File:

PDF, 832 KB

english, 2016

6

Modelling Energy Spot Prices by Lévy Semistationary Processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 272 KB

english, 2010

7

A Joint Model for Electricity Spot Prices and Wind Penetration with Dependence in the Extremes

Deschatre, Thomas, Veraart, Almut

Journal:

SSRN Electronic Journal

Year:

2017

Language:

english

File:

PDF, 30.53 MB

english, 2017

8

How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?

Almut E. D. Veraart

Journal:

AStA Advances in Statistical Analysis

Year:

2011

Language:

english

File:

PDF, 1.58 MB

english, 2011

9

Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures

Almut E. D. Veraart

Journal:

The Econometrics Journal

Year:

2011

Language:

english

File:

PDF, 466 KB

english, 2011

10

Stochastic volatility and stochastic leverage

Almut E. D. Veraart, Luitgard A. M. Veraart

Journal:

Annals of Finance

Year:

2012

Language:

english

File:

PDF, 659 KB

english, 2012

11

On stochastic integration for volatility modulated Lévy-driven Volterra processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Pedersen, Jan, Veraart, Almut E.D.

Journal:

Stochastic Processes and their Applications

Year:

2014

Language:

english

File:

PDF, 332 KB

english, 2014

12

Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut E. D.

Journal:

Year:

2013

Language:

english

File:

PDF, 621 KB

english, 2013

13

A Lévy-driven rainfall model with applications to futures pricing

Noven, Ragnhild C., Veraart, Almut E. D., Gandy, Axel

Journal:

AStA Advances in Statistical Analysis

Year:

2015

Language:

english

File:

PDF, 603 KB

english, 2015

14

The Fascination of Probability, Statistics and their Applications ||

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 8.43 MB

english, 2016

15

The Fascination of Probability, Statistics and their Applications || Lévy Copulas: Review of Recent Results

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 305 KB

english, 2016

16

The Fascination of Probability, Statistics and their Applications || A Stochastic HJB Equation for Optimal Control of Forward-Backward SDEs

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 154 KB

english, 2016

17

The Fascination of Probability, Statistics and their Applications || A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 899 KB

english, 2016

18

The Fascination of Probability, Statistics and their Applications || Continuity of Local Time: An Applied Perspective

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 244 KB

english, 2016

19

The Fascination of Probability, Statistics and their Applications || On the Process of the Eigenvalues of a Hermitian Lévy process

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 238 KB

english, 2016

20

The Fascination of Probability, Statistics and their Applications || Markov Renewal Methods in Restart Problems in Complex Systems

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 435 KB

english, 2016

21

The Fascination of Probability, Statistics and their Applications || Model Selection for Volatility Prediction

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 211 KB

english, 2016

22

The Fascination of Probability, Statistics and their Applications || Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 305 KB

english, 2016

23

The Fascination of Probability, Statistics and their Applications || Simulation of Stochastic Volterra Equations Driven by Space–Time Lévy Noise

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 481 KB

english, 2016

24

The Fascination of Probability, Statistics and their Applications || Hedging Under Worst-Case-Scenario in a Market Driven by Time-Changed Lévy Noises

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 376 KB

english, 2016

25

The Fascination of Probability, Statistics and their Applications || Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 923 KB

english, 2016

26

The Fascination of Probability, Statistics and their Applications || Generalised Partial Autocorrelations and the Mutual Information Between Past and Future

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 258 KB

english, 2016

27

The Fascination of Probability, Statistics and their Applications || A Beaufort Scale of Predictability

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 319 KB

english, 2016

28

The Fascination of Probability, Statistics and their Applications || The Different Asymptotic Regimes of Nearly Unstable Autoregressive Processes

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 202 KB

english, 2016

29

The Fascination of Probability, Statistics and their Applications || Associated Natural Exponential Families and Elliptic Functions

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 318 KB

english, 2016

30

The Fascination of Probability, Statistics and their Applications || Likelihood Inference for Exponential-Trawl Processes

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 839 KB

english, 2016

31

The Fascination of Probability, Statistics and their Applications || Modelling Turbulent Time Series by BSS-Processes

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 567 KB

english, 2016

32

The Fascination of Probability, Statistics and their Applications || From Wind-Blown Sand to Turbulence and Back

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 178 KB

english, 2016

33

The Fascination of Probability, Statistics and their Applications || Efficient Estimation of Integrated Volatility in Presence of Infinite Variation Jumps with Multiple Activity Indices

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 308 KB

english, 2016

34

The Fascination of Probability, Statistics and their Applications || Exchangeability and Infinite Divisibility

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 309 KB

english, 2016

35

The Fascination of Probability, Statistics and their Applications || On the Size Distribution of Sand

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 210 KB

english, 2016

36

The Fascination of Probability, Statistics and their Applications || CoCos with Extension Risk. A Structural Approach

Podolskij, Mark, Stelzer, Robert, Thorbjørnsen, Steen, Veraart, Almut E. D.

Year:

2016

Language:

english

File:

PDF, 218 KB

english, 2016

37

INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES

Veraart, Almut E.D.

Journal:

Econometric Theory

Year:

2010

Language:

english

File:

PDF, 305 KB

english, 2010

38

Modelling Electricity Futures by Ambit Fields

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut E. D.

Journal:

Advances in Applied Probability

Year:

2014

Language:

english

File:

PDF, 1.69 MB

english, 2014

39

Spatio-temporal Ornstein-Uhlenbeck Processes: Theory, Simulation and Statistical Inference

Nguyen, Michele, Veraart, Almut E. D.

Journal:

Scandinavian Journal of Statistics

Year:

2016

Language:

english

File:

PDF, 2.49 MB

english, 2016

40

Modelling spatial heteroskedasticity by volatility modulated moving averages

Nguyen, Michele, Veraart, Almut E.D.

Journal:

Spatial Statistics

Year:

2017

Language:

english

File:

PDF, 7.31 MB

english, 2017

41

Modeling, simulation and inference for multivariate time series of counts using trawl processes

Veraart, Almut E.D.

Journal:

Journal of Multivariate Analysis

Year:

2018

Language:

english

File:

PDF, 501 KB

english, 2018

42

Modelling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion

Granelli, Andrea, Veraart, Almut

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 694 KB

english, 2014

43

Inference for the Jump Part of Quadratic Variation of Itô Semimartingales

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 420 KB

english, 2008

44

Modelling, Simulation and Inference for Multivariate Time Series of Counts Using Trawl Processes

Journal:

SSRN Electronic Journal

Year:

2018

Language:

english

File:

PDF, 1.12 MB

english, 2018

45

[Probability Theory and Stochastic Modelling] Ambit Stochastics Volume 88 ||

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut E. D.

Year:

2018

Language:

english

File:

PDF, 6.84 MB

english, 2018

46

Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes

Nguyen, Michele, Veraart, Almut E. D.

Journal:

Year:

2018

Language:

english

File:

PDF, 4.95 MB

english, 2018

47

[Probability Theory and Stochastic Modelling] Ambit Stochastics Volume 88 || Representation and Simulation of Ambit Fields

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut E. D.

Year:

2018

Language:

english

File:

PDF, 643 KB

english, 2018

48

[Probability Theory and Stochastic Modelling] Ambit Stochastics Volume 88 || Trawl Processes

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut E. D.

Year:

2018

Language:

english

File:

PDF, 633 KB

english, 2018

49

Cross-Commodity Modelling by Multivariate Ambit Fields

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 223 KB

english, 2014

50

Modelling Electricity Futures by Ambit Fields

Barndorff-Nielsen, Ole E., Benth, Fred Espen, Veraart, Almut E. D.

Journal:

Advances in Applied Probability

Year:

2014

Language:

english

File:

PDF, 1.73 MB

english, 2014

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