Almut E. D. Veraart

Finance · 2009–2013

A researcher in the Science corpus: 4 papers; trusts 40 researchers and is trusted by 2 researchers here, as inferred from the citation graph.

Subfields

• Finance — 87 citations into it; #7,697 of 10,518 by trust here, #7,575 by citations
• Economics and Econometrics — 51 citations into it
• Management Science and Operations Research — 11 citations into it
• Statistics and Probability — 10 citations into it
• Demography — 7 citations into it; #2,958 of 4,236 by trust here, #3,993 by citations
• Electrical and Electronic Engineering — 7 citations into it

Whom Almut E. D. Veraart trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Ole E. Barndorff-Nielsen
2. N. Shephard
3. Suzanne S. Lee
4. Jean Jacod
5. Tim Bollerslev
6. Fred Espen Benth
7. Torben G. Andersen
8. Per Aslak Mykland
9. Holger Dette
10. V. Todorov

Who trusts Almut E. D. Veraart overall

1. Ole E. Barndorff-Nielsen
2. Yang Zu
3. Fred Espen Benth

Papers from Almut E. D. Veraart's perspective

Ordered by how strongly the researchers Almut E. D. Veraart trusts endorse each paper. Same corpus, a different order for every researcher.

1. Power and bipower variation with stochastic volatility and jumps
2. Econometric analysis of realized volatility and its use in estimating stochastic volatility models
3. Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation
4. Separating Microstructure Noise from Volatility
5. Generalized autoregressive conditional heteroskedasticity
6. Expected stock returns and variance risk premia
7. ANOVA for diffusions and Itô processes
8. A Central Limit Theorem for Realised Power and Bipower Variations of Continuous Semimartingales
9. The jump-risk premia implicit in options: evidence from an integrated time-series study $
10. Non‐Gaussian Ornstein–Uhlenbeck‐based models and some of their uses in financial economics

Their papers

• Ambit Processes and Stochastic Partial Differential Equations (2010) — 57 citations
• Modelling energy spot prices by volatility modulated Levy-driven Volterra processes (2013) — 123 citations
• Stochastic Volatility of Volatility and Variance Risk Premia (2013) — 58 citations
• INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (2009) — 50 citations