Almut Veraart
Almut Veraart is professor at Imperial College London. She has been a postdoctoral fellow at CREATES from October 2007 - September 2010, and later assistant professor at CREATES until June 2011. She got her DPhil in Statistics from the University of Oxford in 2007. Her research interests include stochastic volatility models, Lévy processes, central limit theorems for semimartingales and high frequency financial econometrics.
Bennedsen, M., Lunde, A., Shephard, N. & Veraart, A. E. D. (2023). Inference and forecasting for continuous-time integer-valued trawl processes. Journal of Econometrics, 236(2), Article 105476. https://doi.org/10.1016/j.jeconom.2023.105476
Granelli, A. & Veraart, A. E. D. (2019). A central limit theorem for the realised covariation of a bivariate Brownian semistationary process. Bernoulli, 25(3), 2245-2278. https://doi.org/10.3150/18-BEJ1052
Heinrich, C., Pakkanen, M. & Veraart, A. (2019). Hybrid simulation scheme for volatility modulated moving average fields. Simulation, 166(December), 224-244. https://doi.org/10.1016/j.matcom.2019.04.006
Passeggeri, R. & Veraart, A. E. D. (2019). Limit theorems for multivariate Brownian semistationary processes and feasible results. Advances in Applied Probability, 51(3), 667-716. https://doi.org/10.1017/apr.2019.30
Passeggeri, R. & Veraart, A. E. D. (2019). Mixing Properties of Multivariate Infinitely Divisible Random Fields. Journal of Theoretical Probability, 32(4), 1845-1879. https://doi.org/10.1007/s10959-018-0864-7
Veraart, A. E. D. (2019). Modeling, simulation and inference for multivariate time series of counts using trawl processes. Journal of Multivariate Analysis, 169, 110-129. https://doi.org/10.1016/j.jmva.2018.08.012
Noven, R. C., Veraart, A. E. D. & Gandy, A. (2018). A latent trawl process model for extreme values. Journal of Energy Markets, 11(3), 1-24. https://doi.org/10.21314/JEM.2018.179
Barndorff-Nielsen, O. E., Benth, F. E. & Veraart, A. (2018). Ambit Stochastics. Springer. Probability Theory and Stochastic Modelling Vol. 88 https://doi.org/10.1007/978-3-319-94129-5
Nguyen, M. & Veraart, A. E. D. (2018). Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes. Stochastics, 90(7), 1023-1052. https://doi.org/10.1080/17442508.2018.1466886
Sauri, O. & Veraart, A. (2017). On the class of distributions of subordinated Lévy processes and bases. Stochastic Processes and Their Applications, 127(2), 475-496. Advance online publication. https://doi.org/10.1016/j.spa.2016.06.015
Benth, F. E., Eyjolfsson, H. & Veraart, A. E. D. (2014). Approximating Lévy semistationary processes via Fourier methods in the context of power markets. S I A M Journal on Financial Mathematics, 5(1), 71-98. https://doi.org/10.1137/130905320
Barndorff-Nielsen, O. E., Lunde, A., Shephard, N. & Veraart, A. (2014). Integer-valued trawl processes: A class of stationary infinitely divisible processes. Scandinavian Journal of Statistics, 41, 693-724. https://doi.org/10.1111/sjos.12056
Veraart, A. & Veraart, L. A. M. (2014). Modelling Electricity Day-Ahead Prices by Multivariate Lévy Semistationary Processes. In F. E. Benth, V. A. Kholodnyi & P. Laurence (Eds.), Quantitative Energy Finance (pp. 157-188). Springer. https://doi.org/10.1007/978-1-4614-7248-3_6
Barndorff-Nielsen, O. E., Benth, F. E., Pedersen, J. & Veraart, A. E. D. (2014). On stochastic integration for volatility modulated Lévy-driven Volterra processes. Stochastic Processes and Their Applications, 124(1), 812-847. https://doi.org/10.1016/j.spa.2013.09.007
Veraart, A. & Veraart, L. A. M. (2013). Risk premiums in energy markets. Journal of Energy Markets, 6(4), 91-132. http://search.proquest.com.ez.statsbiblioteket.dk:2048/docview/1496691692?accountid=14468
Barndorff-nielsen, O. E. & Veraart, A. E. D. (2013). Stochastic volatility of volatility and variance risk premia. Journal of Financial Econometrics, 11(1), 1-46. https://doi.org/10.1093/jjfinec/nbs008
Veraart, A. & Veraart, L. (2012). Stochastic volatility and stochastic leverage. Annals of Finance, 8(2-3), 205-233. https://doi.org/10.1007/s10436-010-0157-3
Barndorff-Nielsen, O., Benth, F. E. & Veraart, A. (2011). Ambit processes and stochastic partial differential equations. In G. Di Nunno & B. Øksendal (Eds.), Advanced Mathematical Methods for Finance (pp. 35-74). Springer. https://doi.org/10.1007/978-3-642-18412-3_2
Veraart, A. (2011). How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps? A St A - Advances in Statistical Analysis, 95(3), 253-291. https://doi.org/10.1007/s10182-011-0158-1
Veraart, A. (2011). Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures. Econometrics Journal, 14(2), 204-240. https://doi.org/10.1111/j.1368-423X.2010.00336.x
Veraart, A. (2010). Inference for the jump part of quadratic variation of Itô semimartingales. Econometric Theory, 26(2), 331-368. https://doi.org/10.1017/S0266466609100014
Veraart, A. & Winkel, M. (2010). Time change. In R. Cont (Ed.), Encyclopedia of Quantitative Finance (Vol. 4, pp. 1812-1816). John Wiley & Sons Ltd. https://doi.org/10.1002/9780470061602.eqf19026
