1 citations · 1 across the 3 of their papers we have counts for
3 papers
stat.ME2016★ 1 cited
Modelling, simulation and inference for multivariate time series of counts
Almut E. D. Veraart
This article presents a new continuous-time modelling framework for multivariate time series of counts which have an infinitely divisible marginal distribution. The model is based…
stat.ME2014
A Lévy-driven rainfall model with applications to futures pricing
Ragnhild C. Noven, Almut E. D. Veraart, Axel Gandy
We propose a parsimonious stochastic model for characterising the distributional and temporal properties of rainfall. The model is based on an integrated Ornstein-Uhlenbeck process…
math.PR2012
On stochastic integration for volatility modulated Lévy-driven Volterra processes
Ole E. Barndorff-Nielsen, Fred Espen Benth, Jan Pedersen +1
This papers develops a stochastic integration theory with respect to volatility modulated Lévy-driven Volterra (VMLV) processes. It extends recent results in the literature to allo…