Publications and Preprints

Citations:

You can find my Google Scholar profile here.

Books:

Preprints:

1. Leonte, D, Veraart AED, 2023, Likelihood-based inference and forecasting for trawl processes: a stochastic optimization approach (publication)

2. Lucchese L, Pakkanen M, Veraart AED, 2023, Estimation and Inference for Multivariate Continuous-time Autoregressive Processes (publication)

3. Sauri O, Veraart AED, 2022, Nonparametric estimation of trawl processes: Theory and Applications (publication) (code)

4. Courgeau V, Veraart AED, 2021, Extreme event propagation using counterfactual theory and vine copulas (publication)

5. Murray P., Passeggeri R., Veraart A. E. D, Pakkanen M., 2021, Feasible Inference for Stochastic Volatility in Brownian Semistationary Processes. (publication) 

Articles and Book Chapters:

2024

[48] Lucchese L, Pakkanen M, Veraart AED, 2024, The short-term predictability of returns in order book markets: a deep learning perspective, International Journal of Forecasting, accepted for publication (publication)

[47] Veraart AED, 2023, Periodic trawl processes: Simulation, statistical inference and applications in energy markets (publication) (code)  In: Quantitative Energy Finance, 2024, Editors: F. E. Benth and A. E. D. Veraart, Springer, accepted for publication

[46] Benth, FE, Schroers D, Veraart AED, 2024, A feasible central limit theorem for realised covariation of SPDEs in the context of functional data, Annals of Applied Probability, accepted for publication (publication)

2023

[45] Nguyen M, Veraart AED, Taisne B, Ting TC and Lallemant D, 2023, A dynamic extreme value model with applications to volcanic eruption forecasting, Mathematical Geosciences, https://doi.org/10.1007/s11004-023-10109-2 

[44] Leonte, D, Veraart AED, 2024, Simulation methods and error analysis for trawl processes and ambit fields, Mathematics and Computers in Simulation, Volume 215, Pages 518-542, https://doi.org/10.1016/j.matcom.2023.07.018.

[43] Bennedsen M, Lunde A, Shephard N, Veraart AED, 2023, Inference and forecasting for continuous-time integer-valued trawl processes and their use in financial economics, Journal of Econometrics, Volume 236, Issue 2, https://doi.org/10.1016/j.jeconom.2023.105476. 

[42] Li Y, Pakkanen M, Veraart AED, 2023, Limit theorems for the realised semicovariances of multivariate Brownian semistationary processes, Stochastic Processes and their Applications, Vol 155, 202-231, https://doi.org/10.1016/j.spa.2022.10.001

2022

[41] Courgeau V, Veraart AED, 2022, High-frequency estimation of the Levy-driven Graph Ornstein-Uhlenbeck process, Electronic Journal of Statistics,  Vol. 16, No. 2, 4863-4925, https://doi.org/10.1214/22-EJS2052 

[40] Benth FE, Schroers D, Veraart, AED, A weak law of large numbers for realised covariation in a Hilbert space setting, Stochastic Processes and their Applications, 2022, 145, 241-268, https://doi.org/10.1016/j.spa.2021.12.011

[39] Courgeau V, Veraart AED, Asymptotic theory for the inference of the latent trawl model for extreme values, Scandinavian Journal of Statistics, 2022, 1-48, https://doi.org/10.1111/sjos.12563 (code and R package maintained by Valentin Courgeau)

[38] Gandy, A, Jana, K, Veraart AED, Scoring Predictions at Extreme Quantiles, AStA Advances in Statistical Analysis, 2022 https://doi.org/10.1007/s10182-021-00421-9

[37] Courgeau V, Veraart AED, Likelihood theory for the Graph Ornstein-Uhlenbeck process, Statistical Inference for Stochastic Processes, 2022, 25, 227-260, https://doi.org/10.1007/s11203-021-09257-1

2021

[36] Rowinska P, Veraart AED, Gruet P, A multifactor approach to modelling the impact of wind energy on electricity spot prices, Energy Economics, 2021, 104, https://doi.org/10.1016/j.eneco.2021.105640

[35] Pierluigi M, Moriarty J, Philpott A, Veraart A, Zachary S, Zwart B, 2021, Introduction: the mathematics of energy systems, Philosophical Transactions of the Royal Society A, 379(2202), 20190425, http://doi.org/10.1098/rsta.2019.0425

[34] Pakkanen MS, Passeggeri R, Sauri O, Veraart AEV, Limit theorems for trawl processes, Electronic Journal of Probability, 2021, 26, 1-36. https://doi.org/10.1214/21-EJP652

2019

[33] Heinrich C, Pakkanen MS, Veraart AED, Hybrid simulation scheme for volatility modulated moving average fields, Mathematics and Computers in Simulation, 2019, 166, 224-244. https://doi.org/10.1016/j.matcom.2019.04.006

[32] Passeggeri R, Veraart AED, Limit theorems for multivariate Brownian semistationary processes and feasible results, Advances of Applied Probability, 2019, 51(3), 667-716.  https://doi.org/10.1017/apr.2019.30

[31] Granelli A, Veraart AED, A central limit theorem for the realised covariation of a bivariate Brownian semistationary process, Bernoulli, 2019, 25(3), 2245-2278.  https://doi.org/10.3150/18-BEJ1052 

[30] Veraart AED, Modelling, simulation and inference for multivariate time series of counts using trawl processes, Journal of Multivariate Analysis, 2019, Volume 169, 110-129. https://doi.org/10.1016/j.jmva.2018.08.012 R package trawl

2018

[29] Passeggeri R, Veraart AED, Mixing properties of multivariate infinitely divisible random fields, Journal of Theoretical Probability, 2018, 32, 1845-1879. https://doi.org/10.1007/s10959-018-0864-7

[28] Nguyen M, Veraart AED, Bridging between short-range and long-range dependence with mixed spatio-temporal Ornstein-Uhlenbeck processes, Stochastics, 2018, Volume 90(7), 1023-1052 (preprint) https://doi.org/10.1080/17442508.2018.1466886

[27] Noven RC, Veraart AED, Gandy A, A latent trawl process model for extreme values, Journal of Energy Marktes, 2018, Volume 11 (3), 1-24 (preprint) https://doi.org/10.21314/JEM.2018.179

[26] Deschatre T, Veraart AED, A joint model for electricity spot prices and wind penetration with dependence in the extremes, In: Forecasting and risk management for renewable energy, 2018, Editors: Philippe Drobinski, Mathilde Mougeot, Dominique Picard, Riwal Plougonven, Peter Tankov, Springer Proceedings in Mathematics & Statistics, vol. 254. https://doi.org/10.1007/978-3-319-99052-1_10

2017

[25] Veraart AED, Book review of "Introduction to Times Series and Forecasting, Third Edition" by Peter J. Brockwell and Richard A. Davis, Journal of the American Statistical Association (Book reviews), Vol: 112(520), 1778. https://doi.org/10.1080/01621459.2017.1411709

[24] Nguyen M, Veraart AED, Modelling spatial heteroskedasticity by volatility modulated moving averages, Spatial Statistics, 2017, Vol: 20, 148-190. (preprint) https://doi.org/10.1016/j.spasta.2017.03.006

[23] Veraart AED, Book review of "Essentials of Probability Theory for Statisticians" by Michael A. Proschan and Pamela A. Shaw, Journal of the American Statistical Association (Book reviews), 2017, Vol: 112(518), 879. https://doi.org/10.1080/01621459.2017.1325629

[22] Sauri O, Veraart AED, On the class of distributions of subordinated Levy processes, Stochastic Processes and their Applications, 2017, Vol: 127(2), 475–496 (preprint) https://doi.org/10.1016/j.spa.2016.06.015

[21] Nguyen M, Veraart AED, Spatio-temporal Ornstein-Uhlenbeck processes: theory, simulation and statistical inference, Scandinavian Journal of Statistics, 2017, Vol:44, 46-80, (preprint) https://doi.org/10.1111/sjos.12241

2016

[20] Granelli A, Veraart AED, Modelling the variance risk premium: the role of dependence and contagion, SIAM Journal on Financial Mathematics, 2016, Vol:7: 382-417 (preprint) https://doi.org/10.1137/15M1011822

2015

[19] Veraart AED, Modelling the impact of wind power production on electricity prices by regime-switching Levy semistationary processes, In: Stochastics of Environmental and Financial Economics, 2015, Editor(s): Benth, Di Nunno; Springer: 321-340 (preprint) https://doi.org/10.1007/978-3-319-23425-0_13

[18] Noven RC, Veraart AED, Gandy A, A Levy-driven rainfall model with applications to futures pricing, AStA: Advances in Statistical Analysis, 2015, Vol: 99 (4): 403-432 (preprint) https://doi.org/10.1007/s10182-015-0246-8

[17] Veraart AED, Stationary and multi-self-similar random fields with stochastic volatility, Stochastics, 2015, Vol: 87: 848-860 (preprint) https://doi.org/10.1080/17442508.2015.1012081

[16] Barndorff-Nielsen OE, Benth FE, Veraart AED, Cross-commodity modelling by multivariate ambit fields, In: Commodities, Energy and Environmental Finance, Editor(s): Aid, Ludkovski, Sircar; Springer: Fields Institute Communications, 2015, Vol: 74 of the series Fields Institute Communications: 109-148 (preprint) https://doi.org/10.1007/978-1-4939-2733-3_5

[15] Barndorff-Nielsen OE, Benth FE, Veraart AED, Recent advances in ambit stochastics with a view towards tempo-spatial stochastic volatility/intermittency, Banach Center Publications, 2015, Vol: 104: 25-60 (preprint) https://doi.org/10.4064/bc104-0-2

2014

[14] Benth FE, Eyjolfsson H, Veraart AED, Approximating Levy semistationary processes via Fourier methods in the context of power markets, SIAM Journal on Financial Mathematics, 2014, Vol: 5(1): 71-98 (doi)

[13] Barndorff-Nielsen OE, Benth FE, Pedersen J, Veraart AED, On stochastic integration for volatility modulated Levy-driven Volterra processes, Stochastic Processes and their Applications, 2014, Vol: 124(1): 812-847 (doi)      

[12] Barndorff-Nielsen OE, Benth FE, Veraart AED, Modelling electricity futures by ambit fields, Advances in Applied Probability, 2014, Vol: 46(3), September 2014. 719-745. (doi)

[11] Barndorff-Nielsen OE, Lunde A, Shephard N, Veraart AED, Integer-valued trawl processes: A class of stationary infinitely divisible processes, Scandinavian Journal of Statistics, 2014, Vol: 41: 693-724 (doi)

[10] Veraart AED, Veraart LAM, Modelling electricity day-ahead prices by multivariate Levy semistationary processes, ln: Quantitative Energy Finance, Editor(s): Benth, Kholodnyi, Laurence, Springer, 2014, Pages: 157-188. (Preprint) https://doi.org/10.1007/978-1-4614-7248-3_6

 2013

[9] Veraart AED, Veraart LAM, Risk premiums in energy markets, Journal of Energy Markets, 2013., Vol: 6(4), 91-132 (Preprint) https://doi.org/10.21314/JEM.2013.102

[8] Barndorff-Nielsen OE, Benth FE, Veraart AED, Modelling energy spot prices by volatility modulated Levy-driven Volterra processes, Bernoulli, 2013, Vol: 19(3), 803–845(doi)

[7] Barndorff-Nielsen OE, Veraart AED, Stochastic Volatility of Volatility and Variance Risk Premia, Journal of Financial Econometrics, 2013, Vol:11: 1-46.(doi)

2012

[6] Veraart AED, Veraart LAM, Stochastic volatility and stochastic leverage, Annals of Finance, 2012, Vol:8, Pages:205-233(doi)

2011

[5] Veraart AED, Likelihood estimation of Levy-driven stochastic volatility models through realised variance measures, Econometrics Journal, 2011, Vol:14, Pages:204-240(doi)

[4] Veraart AED, 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, 2011, Vol:95, Pages:253-291(doi)

[3] Barndorff-Nielsen OE, Benth FE, Veraart AED, Ambit Processes and Stochastic Partial Differential Equations, ln: Advanced Mathematical Methods for Finance, Editor(s): Nunno, Oksendal, Springer Verlag, 2011, Pages: 35-74, ISBN:9783642184116(doi)

2010

[2] Veraart AED, Winkel M, Time change, ln: Encyclopedia of Quantitative Finance, Editor(s): Cont, Wiley, 2010, Pages: 1812-1816, ISBN:9780470057568(doi)

[1] Veraart AED, Inference for the jump part of quadratic variation of Ito semimartingales, Econometric Theory, 2010, Vol:26, Pages:331-368(doi)

Other preprints:

• Granelli A, Veraart AED, 2017, A weak law of large numbers for estimating the correlation in bivariate Brownian semistationary processes (publication)

• Veraart AED, Zdanowicz H, 2015, Modelling and predicting photovoltaic power generation in the EEX market (publication)

Theses and reports:

• Veraart AED, Volatility estimation and inference in the presence of jumps, DPhil thesis, University of Oxford, UK, 2007.

• Veraart AED, Modelling dependent defaults with copulas, Diploma thesis, University of Ulm, Germany, 2004.

• Veraart AED, Estimating stochastic volatility semimartingale models, Diploma thesis, University of Ulm, Germany, 2004.

• Veraart AED, Credit Risk models, Report, HypoVereinsbank, Munich, Germany, 2003.

• Veraart AED, Estimating volatility in high frequency financial data, MSc thesis, University of Oxford, UK, 2003.