Imperial College London

DrAlmutVeraart

Faculty of Natural SciencesDepartment of Mathematics

Reader in Statistics
 
 
 
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Contact

 

+44 (0)20 7594 8545a.veraart Website

 
 
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Location

 

551Huxley BuildingSouth Kensington Campus

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Summary

 

Publications

Publication Type
Year
to

35 results found

Granelli A, Veraart A, 2017, A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes

WORKING PAPER

Granelli A, Veraart A, 2017, A central limit theorem for the realised covariation of a bivariate Brownian semistationary process

WORKING PAPER

Michele N, Veraart AED, 2017, Modelling spatial heteroskedasticity by volatility modulated moving averages, SPATIAL STATISTICS, Vol: 20, Pages: 148-190, ISSN: 2211-6753

JOURNAL ARTICLE

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

JOURNAL ARTICLE

Passeggeri R, Veraart A, 2017, Mixing properties of multivariate infinitely divisible random fields

REPORT

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

JOURNAL ARTICLE

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

JOURNAL ARTICLE

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

BOOK CHAPTER

Nguyen M, Veraart A, 2015, Tempo-spatial Ornstein-Uhlenbeck processes: theory, simulation and statistical inference

REPORT

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

JOURNAL ARTICLE

Veraart A, Zdanowicz H, 2015, Modelling and predicting photovoltaic power generation in the EEX market, SSRN

REPORT

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

JOURNAL ARTICLE

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.

BOOK CHAPTER

Barndorff-Nielsen OE, Benth FE, Pedersen J, Veraart AEDet 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

JOURNAL ARTICLE

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

JOURNAL ARTICLE

Barndorff-Nielsen OE, Lunde A, Shephard N, Veraart AEDet 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

JOURNAL ARTICLE

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

JOURNAL ARTICLE

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

JOURNAL ARTICLE

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

JOURNAL ARTICLE

Veraart AED, Veraart LAM, 2013, Risk premiums in energy markets, Journal of Energy Markets, Pages: 91-132

JOURNAL ARTICLE

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.

SCHOLARLY EDITION

Veraart AED, Veraart LAM, 2012, Stochastic volatility and stochastic leverage, Annals of Finance, Vol: 8, Pages: 205-233, ISSN: 1614-2446

JOURNAL ARTICLE

Veraart AED, Veraart LAM, 2012, Modelling electricity day-ahead prices by multivariate Levy semistationary processes, Quantitative Energy Finance, Editors: Benth, Kholodnyi, Laurence, Publisher: Springer

BOOK CHAPTER

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

BOOK CHAPTER

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

JOURNAL ARTICLE

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

JOURNAL ARTICLE

Veraart AED, 2010, INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITO SEMIMARTINGALES, ECONOMETRIC THEORY, Vol: 26, Pages: 331-368, ISSN: 0266-4666

JOURNAL ARTICLE

Veraart AED, Winkel M, 2010, Time change, Encyclopedia of Quantitative Finance, Editors: Cont, Publisher: Wiley, Pages: 1812-1816, ISBN: 9780470057568

BOOK CHAPTER

Veraart AED, 2008, Volatility estimation and inference in the presence of jumps

THESIS DISSERTATION

Veraart AED, 2004, Modelling dependent defaults with copulas

THESIS DISSERTATION

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