Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Poisson limits for U-statistics
Dabrowski, A. R., Dehling, H. G., Mikosch, Thomas Valentin & Sharipov, O., 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 137-157Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Point process convergence of stochastic volatility processeswith application to sample autocorrelations
Mikosch, Thomas Valentin & Davis, R. A., 2001, In: Journal of Applied Probability. 38A, p. 93--104Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Point process convergence for the off-diagonal entries of sample covariance matrices
Heiny, J., Mikosch, Thomas Valentin & Yslas, J., 2021, In: Annals of Applied Probability. 31, 2, p. 538-560Research 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
Non-stationarities in financial time series, the long-rangedependence and the IGARCH effects
Mikosch, Thomas Valentin & Starica, C., 2004, In: Review of Economics and Statistics. 86, p. 378--390Research output: Contribution to journal › Journal article › Research › peer-review
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Non-Life Insurance Mathematics. An Introduction with Stochastic Processes
Mikosch, Thomas Valentin, 2003, Berlin: Springer. 235 p.Research output: Book/Report › Book › Research › peer-review
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Non-Life Insurance Mathematics: An Introduction with the Poisson Process, Second Edition
Mikosch, Thomas Valentin, 2009, Springer. 432 p.Research output: Book/Report › Book › Research › peer-review
- Published
New Frontiers in Applied Probability: A Festschrift for Soeren Asmussen
Mikosch, Thomas Valentin, Glynn, P. & Rolski, T., Aug 2011, Sheffield, U.K.: Applied Probability Trust. 390 p. (Journal of Applied Probability, Vol. Special Volume 48A).Research output: Book/Report › Anthology › Research › peer-review
- Published
Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
Embrechts, P., Klüppelberg, C. & Mikosch, Thomas Valentin, 2023, Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer, p. 115-139 25 p. (Lecture Notes in Mathematics, Vol. 2313).Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
- Published
Modelling dependence and tails of financial time series
Mikosch, Thomas Valentin, 2003, Extreme Values in Finance, Telecommunications and the Environment. Chapman, p. 185-286Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
ID: 3696
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596
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General inverse problems for regular variation
Research output: Contribution to journal › Journal article › Research › peer-review
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571
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Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
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208
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A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Published