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

20

DOWNLOADS
Rank 19,230

SSRN RANKINGS

Top 19,230

in Total Papers Downloads

2,629

SSRN CITATIONS
Rank 22,670

SSRN RANKINGS

Top 22,670

in Total Papers Citations

14

CROSSREF CITATIONS

21

Scholarly Papers (20)

Actions:
Email selected abstracts
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 272 (117,952)
Citation 5

Abstract:

Loading...

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 264 (121,727)

Abstract:

Loading...

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 260 (123,717)
Citation 1

Abstract:

Loading...

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
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 255 (126,285)
Citation 11

Abstract:

Loading...

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
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 223 (144,116)
Citation 9

Abstract:

Loading...

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 221 (145,449)
Citation 1

Abstract:

Loading...

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
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 153 (202,213)
Citation 3

Abstract:

Loading...

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

8.

Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Levy Semistationary Processes

Number of pages: 16 Posted: 09 Feb 2015
Almut Veraart
Imperial College London
Downloads 139 (218,620)
Citation 2

Abstract:

Loading...

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
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 129 (231,842)

Abstract:

Loading...

Ambit fields, commodities, forward prices, spread options

10.

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 127 (234,654)

Abstract:

Loading...

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

11.

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

Number of pages: 38 Posted: 24 Feb 2013
Ole E. Barndorff-Nielsen, Fred Espen Benth and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, University of Oslo and Imperial College London
Downloads 109 (262,236)

Abstract:

Loading...

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

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 107 (265,704)
Citation 2

Abstract:

Loading...

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

13.

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

Number of pages: 29 Posted: 26 Feb 2013
Ole E. Barndorff-Nielsen, Asger Lunde, Neil Shephard and Almut Veraart
University of Aarhus - Thiele Centre, Department of Mathematical Sciences, Aarhus University - School of Economics and Management, Harvard University and Imperial College London
Downloads 81 (317,915)
Citation 1

Abstract:

Loading...

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

14.

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 (322,637)

Abstract:

Loading...

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

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 75 (332,555)
Citation 2

Abstract:

Loading...

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 63 (365,291)

Abstract:

Loading...

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 38 (453,628)
Citation 2

Abstract:

Loading...

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 (523,204)
Citation 11

Abstract:

Loading...

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

19.

Asymptotic Theory for the Inference of the Latent Trawl Model for Extreme Values

Number of pages: 40 Posted: 26 Feb 2020
Valentin Courgeau and Almut Veraart
Imperial College London and Imperial College London
Downloads 8 (625,067)

Abstract:

Loading...

Trawl process, central limit theorem, generalised Pareto distribution, pairwise likelihood estimation, Generalised Method of Moments

20.

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 (670,375)
  • Add to Cart

Abstract:

Loading...

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

Other Papers (1)

Total Downloads: 10
Actions:
Email selected abstracts

Abstract:

Loading...

Realised variance, realised multipower variation, simulation