Person:358130

Available identifiers

zbMath Open veraart.almut-e-dMaRDI QIDQ358130

List of research outcomes

Publication	Date of Publication	Type
Simulation methods and error analysis for trawl processes and ambit fields	2023-11-13	Paper
Inference and forecasting for continuous-time integer-valued trawl processes	2023-09-28	Paper
Asymptotic theory for the inference of the latent trawl model for extreme values	2023-04-13	Paper
Periodic trawl processes: Simulation, statistical inference and applications in energy markets	2023-03-07	Paper
Scoring predictions at extreme quantiles	2022-12-19	Paper
High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process	2022-10-18	Paper
Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein–Uhlenbeck processes	2022-07-05	Paper
Likelihood theory for the graph Ornstein-Uhlenbeck process	2022-06-01	Paper
A weak law of large numbers for realised covariation in a Hilbert space setting	2022-02-11	Paper
Limit theorems for trawl processes	2021-11-11	Paper
Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes	2021-11-03	Paper
Hybrid simulation scheme for volatility modulated moving average fields	2021-03-02	Paper
High-frequency Estimation of the L\'evy-driven Graph Ornstein-Uhlenbeck process	2020-08-25	Paper
Likelihood theory for the Graph Ornstein-Uhlenbeck process	2020-05-26	Paper
Limit theorems for multivariate Brownian semistationary processes and feasible results	2019-12-09	Paper
Mixing properties of multivariate infinitely divisible random fields	2019-10-22	Paper
A central limit theorem for the realised covariation of a bivariate Brownian semistationary process	2019-06-14	Paper
Modeling, simulation and inference for multivariate time series of counts using trawl processes	2019-01-04	Paper
Modeling, simulation and inference for multivariate time series of counts using trawl processes	2019-01-01	Paper
A Lévy-driven rainfall model with applications to futures pricing	2018-11-12	Paper
Ambit Stochastics	2018-10-02	Paper
Hybrid simulation scheme for volatility modulated moving average fields	2017-09-05	Paper
A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes	2017-07-26	Paper
Spatio‐temporal Ornstein–Uhlenbeck Processes: Theory, Simulation and Statistical Inference	2017-03-03	Paper
On the class of distributions of subordinated Lévy processes and bases	2016-12-27	Paper
Modeling the Variance Risk Premium of Equity Indices: The Role of Dependence and Contagion	2016-06-15	Paper
Stationary and multi-self-similar random fields with stochastic volatility	2016-04-27	Paper
Modelling the Impact of Wind Power Production on Electricity Prices by Regime-Switching Lévy Semistationary Processes	2016-04-22	Paper
Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency	2015-04-08	Paper
Approximating Lévy Semistationary Processes via Fourier Methods in the Context of Power Markets	2015-01-20	Paper
Integer-valued Trawl Processes: A Class of Stationary Infinitely Divisible Processes	2014-10-09	Paper
Modelling Electricity Futures by Ambit Fields	2014-09-25	Paper
Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes	2013-08-16	Paper
How precise is the finite sample approximation of the asymptotic distribution of realised variation measures in the presence of jumps?	2011-08-25	Paper
Ambit Processes and Stochastic Partial Differential Equations	2011-08-08	Paper
Likelihood estimation of Lévy‐driven stochastic volatility models through realized variance measures	2011-07-27	Paper
INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES	2010-04-23	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Almut E. D. Veraart