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Likelihood estimation of Lévy-driven stochastic volatility models through realized variance measures
Veraart, Almut E. D. - In: The econometrics journal 14 (2011) 2, pp. 204-240
Persistent link: https://www.econbiz.de/10009381879
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - 2009
Persistent link: https://www.econbiz.de/10003849550
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Stochastic volatility of volatility in continuous time
Barndorff-Nielsen, Ole E.; Veraart, Almut E. D. - 2009
Persistent link: https://www.econbiz.de/10003849562
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Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10003959801
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Modelling energy spot prices by Lévy semistationary processes
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10003959807
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Modelling electricity forward markets by ambit fields
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - 2010
Persistent link: https://www.econbiz.de/10008651704
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Ambit processes and stochastic partial differential equations
Barndorff-Nielsen, Ole E.; Benth, Fred Espen; Veraart, … - In: Advanced mathematical methods for finance, (pp. 35-74). 2011
Persistent link: https://www.econbiz.de/10008991339
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Stochastic volatility and stochastic leverage
Veraart, Almut E. D.; Veraart, Luitgard - In: Annals of finance 8 (2012) 2/3, pp. 205-233
Persistent link: https://www.econbiz.de/10009548093
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Modelling electricity day-ahead prices by multivariate Lévy
Veraart, Almut E. D.; Veraart, A. M. - 2012
Persistent link: https://www.econbiz.de/10009524068