Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-3091-6661
1 - 3 out of 3Page size: 100
- 2019
- Published
Heavy tails for an alternative stochastic perpetuity model
Mikosch, Thomas Valentin, Rezapour, M. & Wintenberger, O., 2019, In: Stochastic Processes and Their Applications. 129, 11, p. 4638-4662 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
Liu, Z., Blanchet, J. H., Dieker, A. B. & Mikosch, Thomas Valentin, 2019, In: Bernoulli. 25, 4A, p. 2949-2981Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Heiny, J. & Mikosch, Thomas Valentin, 2019, In: Bernoulli. 25, 4 B, p. 3590-3622 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3696
Most downloads
-
599
downloads
General inverse problems for regular variation
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
573
downloads
Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
210
downloads
A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Published