35 results found
Heinrich C, Pakkanen MS, Veraart AED, Hybrid simulation scheme for volatility modulated moving average fields
We develop a simulation scheme for a class of spatial stochastic processescalled volatility modulated moving averages. A characteristic feature of thismodel is that the behaviour of the moving average kernel at zero governs theroughness of realisations, whereas its behaviour away from zero determines theglobal properties of the process, such as long range dependence. Our simulationscheme takes this into account and approximates the moving average kernel by apower function around zero and by a step function elsewhere. For this type ofapproach the authors of , who considered an analogous model in onedimension, coined the expression hybrid simulation scheme. We derive theasymptotic mean square error of the simulation scheme and compare it in asimulation study with several other simulation techniques and exemplify itsfavourable performance in a simulation study.
Sauri O, Veraart A, On the class of distributions of subordinated Lévy processes, Stochastic Processes and Their Applications, ISSN: 0304-4149
This article studies the class of distributions obtained by subordinating L´evyprocesses and L´evy bases by independent subordinators and meta-times. To dothis we derive properties of a suitable mapping obtained via L´evy mixing. Weshow that our results can be used to solve the so-called recovery problem forgeneral L´evy bases as well as for moving average processes which are driven bysubordinated L´evy processes.
Veraart A, Book review of "Essentials of Probability Theory for Statisticians" by Michael A. Proschan and Pamela A. Shaw, Journal of the American Statistical Association, ISSN: 1537-274X
Granelli A, Veraart A, 2017, A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes
Granelli A, Veraart A, 2017, A central limit theorem for the realised covariation of a bivariate Brownian semistationary process
Michele N, Veraart AED, 2017, Modelling spatial heteroskedasticity by volatility modulated moving averages, SPATIAL STATISTICS, Vol: 20, Pages: 148-190, ISSN: 2211-6753
Nguyen M, Veraart AED, 2017, Spatio-temporal Ornstein-Uhlenbeck Processes: Theory, Simulation and Statistical Inference, SCANDINAVIAN JOURNAL OF STATISTICS, Vol: 44, Pages: 46-80, ISSN: 0303-6898
Passeggeri R, Veraart A, 2017, Mixing properties of multivariate infinitely divisible random fields
Granelli A, Veraart AED, 2016, Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion, SIAM Journal on Financial Mathematics, Vol: 7, Pages: 382-417
Barndorff-Nielsen OE, Benth FE, Veraart AED, 2015, Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency, Banach Center Publications, Vol: 104, Pages: 25-60, ISSN: 0137-6934
Barndorff-Nielsen OE, Benth FE, Veraart AED, 2015, Cross-commodity modelling by multivariate ambit fields, Commodities, Energy and Environmental Finance, Editors: Aid, Ludkovski, Sircar, Publisher: Springer, Pages: 109-148
Nguyen M, Veraart A, 2015, Tempo-spatial Ornstein-Uhlenbeck processes: theory, simulation and statistical inference
Noven RC, Veraart AED, Gandy A, 2015, A Levy-driven rainfall model with applications to futures pricing, ASTA-ADVANCES IN STATISTICAL ANALYSIS, Vol: 99, Pages: 403-432, ISSN: 1863-8171
Veraart A, Zdanowicz H, 2015, Modelling and predicting photovoltaic power generation in the EEX market, SSRN
Veraart AED, 2015, Stationary and multi-self-similar random fields with stochastic volatility, STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC REPORTS, Vol: 87, Pages: 848-870, ISSN: 1744-2508
Veraart AED, 2015, Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes, Stochastics of Environmental and Financial Economics, Editors: Benth, Di Nunno, Publisher: Springer, Pages: 321-340
This paper studies the impact of wind power production on electricity prices in the European energy market.We propose a new modelling framework based on so-called regime-switching Levy semistationary processes to account for forward-looking information consisting of predicted wind power generation. We show that our new regime-switching model, where the regime switch depends on the so-called wind penetration index, can describe recent electricity price data very well.
Barndorff-Nielsen OE, Benth FE, Pedersen J, et al., 2014, On stochastic integration for volatility modulated Levy-driven Volterra processes, STOCHASTIC PROCESSES AND THEIR APPLICATIONS, Vol: 124, Pages: 812-847, ISSN: 0304-4149
Barndorff-Nielsen OE, Benth FE, Veraart AED, 2014, MODELLING ELECTRICITY FUTURES BY AMBIT FIELDS, ADVANCES IN APPLIED PROBABILITY, Vol: 46, Pages: 719-745, ISSN: 0001-8678
Barndorff-Nielsen OE, Lunde A, Shephard N, et al., 2014, Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes, SCANDINAVIAN JOURNAL OF STATISTICS, Vol: 41, Pages: 693-724, ISSN: 0303-6898
Benth FE, Eyjolfsson H, Veraart AED, 2014, Approximating Levy Semistationary Processes via Fourier Methods in the Context of Power Markets, SIAM JOURNAL ON FINANCIAL MATHEMATICS, Vol: 5, Pages: 71-98, ISSN: 1945-497X
Barndorff-Nielsen OE, Benth FE, Veraart AED, 2013, Modelling energy spot prices by volatility modulated Levy-driven Volterra processes, BERNOULLI, Vol: 19, Pages: 803-845, ISSN: 1350-7265
Barndorff-Nielsen OE, Veraart AED, 2013, Stochastic Volatility of Volatility and Variance Risk Premia, JOURNAL OF FINANCIAL ECONOMETRICS, Vol: 11, Pages: 1-46, ISSN: 1479-8409
Veraart AED, Veraart LAM, 2013, Risk premiums in energy markets, Journal of Energy Markets, Pages: 91-132
Veraart A, 2012, Impact of time–inhomogeneous jumps and leverage type effects on returns and realised variances
This paper studies the effect of time–inhomogeneous jumps and leverage type effects on realisedvariance calculations when the logarithmic asset price is given by a Lévy–driven stochasticvolatility model. In such a model, the realised variance is an inconsistent estimator of the integratedvariance. Nevertheless it can be used within a quasi–maximumlikelihood setup to drawinference on the model parameters. In order to do that, this paper introduces a new methodologyfor deriving all cumulants of the returns and realised variance in explicit form by solving a recursivesystem of inhomogeneous ordinary differential equations.
Veraart AED, Veraart LAM, 2012, Stochastic volatility and stochastic leverage, Annals of Finance, Vol: 8, Pages: 205-233, ISSN: 1614-2446
Veraart AED, Veraart LAM, 2012, Modelling electricity day-ahead prices by multivariate Levy semistationary processes, Quantitative Energy Finance, Editors: Benth, Kholodnyi, Laurence, Publisher: Springer
Barndorff-Nielsen OE, Benth FE, Veraart AED, 2011, Ambit Processes and Stochastic Partial Differential Equations, Advanced Mathematical Methods for Finance, Editors: Nunno, Oksendal, Publisher: Springer Verlag, Pages: 35-74, ISBN: 9783642184116
Veraart AED, 2011, Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures, The Econometrics Journal, Vol: 14, Pages: 204-240, ISSN: 1368-4221
Veraart AED, 2011, How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?, AStA Advances in Statistical Analysis, Vol: 95, Pages: 253-291, ISSN: 1863-8171
Veraart AED, 2010, INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITO SEMIMARTINGALES, ECONOMETRIC THEORY, Vol: 26, Pages: 331-368, ISSN: 0266-4666
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