94 citations · 133 across the 33 of their papers we have counts for
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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.PR2014
Stationary and multi-self-similar random fields with stochastic volatility
Almut E. D. Veraart
This paper introduces stationary and multi-self-similar random fields which account for stochastic volatility and have type G marginal law. The stationary random fields are constru…