Almut Veraart

Imperial College London

Lecturer in Statistics

Department of Mathematics

180 Queen's Gate

London, SW7 2AZ

CREATES

International Research Fellow

Aarhus University

DK-8000 Aarhus C

Denmark

SCHOLARLY PAPERS

19

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2,528

CITATIONS
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29

Scholarly Papers (19)

1.

Stochastic Volatility of Volatility in Continuous Time

CREATES Research Paper 2009-25
Number of pages: 38 Posted: 09 Jun 2009
Ole E. Barndorff-Nielsen and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Imperial College London
Downloads 266 (113,868)
Citation 3

Abstract:

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stochastic volatility, volatility of volatility, non-Gaussian Ornstein–Uhlenbeck process, superposition, leverage effect, L´evy processes

2.

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

Number of pages: 36 Posted: 09 Feb 2014
Andrea Granelli and Almut Veraart
Imperial College London and Imperial College London
Downloads 259 (117,077)

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Variance Risk Premium, quadratic variation, stochastic volatility, Levy processes, leverage effect, Hawkes process, self-excitement, contagion, change of measure

3.

Stochastic Volatility and Stochastic Leverage

CREATES Research Paper No. 2009-20
Number of pages: 51 Posted: 19 May 2009 Last Revised: 28 Sep 2011
Almut Veraart and Luitgard A. M. Veraart
Imperial College London and London School of Economics & Political Science (LSE) - Department of Mathematics
Downloads 258 (117,544)

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Stochastic volatility, volatility of volatility, stochastic correlation, leverage effect, Jacobi process, Ornstei-Uhlenbeck process, square root diffusion, Lévy process, Heston

4.

Modelling Electricity Forward Markets by Ambit Fields

Number of pages: 45 Posted: 05 Oct 2011
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 250 (121,410)
Citation 9

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Electricity Markets, Forward Prices, Random Fields, Ambit Fields, Levy Basis, Samuelson Effect, Stochastic Volatility

5.

Modelling Energy Spot Prices by Lévy Semistationary Processes

CREATES Research Paper 2010-18
Number of pages: 30 Posted: 03 May 2010
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 221 (137,280)
Citation 5

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Energy markets, forward price, Lévy semistationary process, stochastic integration, spot price

6.

Stochastic Volatility of Volatility and Variance Risk Premia

Number of pages: 38 Posted: 16 Dec 2011
Ole E. Barndorff-Nielsen and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences and Imperial College London
Downloads 216 (140,363)

Abstract:

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Stochastic volatility of volatility, Levy process, Ornstein-Uhlenbeck process, variance risk premium, supOU process

7.

Ambit Processes and Stochastic Partial Differential Equations

CREATES Research Paper 2010-17
Number of pages: 37 Posted: 03 May 2010
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 150 (194,313)
Citation 1

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Ambit processes, stochastic partial differential equations, Lévy bases, Lévy noise, Walsh theory of martingale measures, turbulence, finance

8.
Downloads 137 (209,126)
Citation 3

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Levy semistationary processes, regime switch, stochastic volatility, CARMA processes, generalised hyperbolic distribution, energy markets, electricity prices

9.

Cross-Commodity Modelling by Multivariate Ambit Fields

Number of pages: 25 Posted: 21 Jan 2014
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 124 (226,066)

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Ambit fields, commodities, forward prices, spread options

10.

Modelling Energy Spot Prices by Volatility Modulated Lévy-Driven Volterra Processes

Number of pages: 38 Posted: 24 Feb 2013
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 109 (248,332)

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energy markets, forward price, generalised hyperbolic distribution, Lévy semistationary process, volatility modulated Lévy-driven Volterra process, stochastic integration, stochastic volatility, Samuelson effect, spot price

11.

A Multifactor Approach to Modelling the Impact of Wind Energy on Electricity Spot Prices

Number of pages: 32 Posted: 03 Feb 2018
Paulina A. Rowińska, Almut Veraart and Pierre Gruet
Imperial College London - Department of Mathematics, Imperial College London and EDF Energy - EDF Electricité de France
Downloads 108 (249,927)

Abstract:

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CARMA model, Electricity spot prices, Electricity futures prices, Lévy process, Lévy semistationary process, Wind energy

12.

Modelling and Predicting Photovoltaic Power Generation in the EEX Market

Number of pages: 17 Posted: 18 Nov 2015
Almut Veraart and Hanna Zdanowicz
Imperial College London and Norwegian Computing Center
Downloads 99 (265,285)
Citation 2

Abstract:

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photovoltaic power generation, stochastic modelling, time series, forecasting, EEX market

13.

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

Number of pages: 19 Posted: 05 Sep 2017
Thomas Deschatre and Almut Veraart
Université Paris Dauphine and Imperial College London
Downloads 79 (305,598)

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Dependence modelling, spikes, doubly stochastic Poisson process, CAR processes, electricity prices, wind penetration index

14.

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

Number of pages: 29 Posted: 26 Feb 2013
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Aarhus University - School of Economics and Management, Harvard University and Imperial College London
Downloads 79 (305,598)

Abstract:

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Lévy bases, trawl processes, stationarity, stochastic volatility, meta-time change

15.

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

Number of pages: 80 Posted: 17 Jan 2018
Almut Veraart
Imperial College London
Downloads 66 (337,924)
Citation 1

Abstract:

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count data, continuous time modelling of multivariate time series, trawl processes, infinitely divisible, Poisson mixtures, multivariate negative binomial law, limit order book

16.

Inference, Simulation and Application of a Latent Trawl Model for Extreme Values

Number of pages: 43 Posted: 26 Dec 2018
Valentin Courgeau and Almut Veraart
Imperial College London and Imperial College London
Downloads 44 (406,953)

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trawl process, peaks-over-threshold, generalised Pareto distribution, pairwise likelihood estimation, Kullback-Leibler divergence

17.

Impact of Time-Inhomogeneous Jumps and Leverage Type Effects on Returns and Realised Variances

CREATES Working Paper No. 2008-57
Number of pages: 43 Posted: 11 Nov 2008
Almut Veraart
Imperial College London
Downloads 37 (434,118)
Citation 2

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18.

Inference for the Jump Part of Quadratic Variation of Itô Semimartingales

CREATES Research Paper 2008-17
Number of pages: 39 Posted: 23 Jun 2008
Almut Veraart
Imperial College London
Downloads 24 (495,962)
Citation 4

Abstract:

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Quadratic variation, Itô semimartingale, stochastic volatility, jumps, realised variance, realised multipower variation, high-frequency data

19.

Likelihood Estimation of Lévy‐Driven Stochastic Volatility Models Through Realized Variance Measures

The Econometrics Journal, Vol. 14, Issue 2, pp. 204-240, 2011
Number of pages: 37 Posted: 08 Jun 2011
Almut Veraart
Imperial College London
Downloads 2 (635,688)
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Abstract:

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Inference, Leverage effect, Lévy processes, Realized variance, Stochastic volatility, Superposition, Quasi‐maximum likelihood

Other Papers (1)

Total Downloads: 10

Abstract:

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Realised variance, realised multipower variation, simulation