Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2009
- Published
Extreme value theory for GARCH processes
Mikosch, Thomas Valentin, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin, Heidelberg: Springer, p. 187-200Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
- Published
Extremes of stochastic volatility models
Mikosch, Thomas Valentin & Davis, R. A., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin, Heidelberg: Springer, p. 355-364Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
- Published
Handbook of Financial Time Series
Mikosch, Thomas Valentin (ed.), Andersen, T. G. (ed.), Davis, R. A. (ed.) & Kreiss, J. (ed.), 2009, Berlin, Heidelberg: Springer. 1050 p.Research output: Book/Report › Anthology › Research › peer-review
- Published
Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures, and identification of stable laws.
Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2009, In: Annals of Applied Probability. 19, 1, p. 210-242 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
Prediction of outstanding payments in a Poisson cluster model
Mikosch, Thomas Valentin, Jessen, A. H. & Samorodnitsky, G., 2009, 24 p.Research output: Working paper › Research
- Published
Probabilistic properties of stochastic volatility models
Mikosch, Thomas Valentin & Davis, R. A., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin, Heidelberg: Springer, p. 255-268Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
- Published
Weak convergence of the function-indexed integrated periodogram for infinite variance processes
Mikosch, Thomas Valentin, Can, S. U. & Samorodnitsky, G., 2009, 21 p.Research output: Working paper › Research
- 2008
- Published
Extreme value theory for space-time processes withheavy-tailed distributions
Mikosch, Thomas Valentin & Davis, R. A., 2008, In: Stochastic Processes and Their Applications. 118, p. 560-584 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
- Published
Tail behavior of random products and stochastic exponentials.
Mikosch, Thomas Valentin & Cohen, S., 2008, In: Stochastic Processes and Their Applications. 118, p. 333--345 13 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2007
- Published
Scaling limits for cumulative input processes
Mikosch, Thomas Valentin & Samorodnitsky, G., 2007, In: Mathematics of Operations Research. p. 890-919 30 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 2006
- Published
Extreme Value Theory for Space-Time Processes with Heavy-Tailed Distributions
Davis, R. A. & Mikosch, Thomas Valentin, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-22.Research output: Working paper › Research
- Published
Modeling teletraffic arrivals by a Poisson cluster process
Faÿ, G., González-Arévalo2, B., Mikosch, Thomas Valentin & Samorodnitsky, G., 2006, In: Queueing Systems. 54, 2, p. 121-140Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Regularly varying functions
Hedegaard Jessen, A. & Mikosch, Thomas Valentin, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-23.Research output: Working paper › Research
- Published
Quasi-MLE in heteroscedastic times series: a stochastic recurrence equations approach
Mikosch, Thomas Valentin & Straumann, D., 2006, In: Annals of Statistics. 34, p. 2449--2495 46 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Activity rates with very heavy tails
Mikosch, Thomas Valentin & Resnik, S., 2006, In: Stochastic Processes and Their Applications. 116, 2, p. 131-155Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Copulas: tales and facts. Discussion paper with a rejoinder.
Mikosch, Thomas Valentin, 2006, In: Extremes. 9, p. 3-20,55-62 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Regularly varying functions.
Mikosch, Thomas Valentin & Jessen, A. H., 2006, In: Publications de l'Institut Mathématique (Beograd). 80(94), p. 171-192 22 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Scaling Limits for Workload Process
Mikosch, Thomas Valentin & Samorodnitsky, G., 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-31.Research output: Working paper › Research
- Published
Stable limits of martingale transforms with application to the estimation of GARCH parameters
Mikosch, Thomas Valentin & Straumann, D. Y., 2006, In: Annals of Statistics. 34, 1, p. 493-522Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Tail Probabilities for Regression Estimators
Mikosch, Thomas Valentin & Vries, C. G. D., 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 32.Research output: Working paper › Research
- 2005
- Published
Modeling Telefraffic Arrivals by a Poisson Cluster Process
Fäy, G., González-Arávalo, B., Mikosch, Thomas Valentin & Samorodnitsky, G., 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-27.Research output: Working paper › Research
- Published
Functional large deviations for multivariate regularly varying random walks
Hult, H., Lindskog, F., Mikosch, Thomas Valentin & Samorodnitsky, G., 2005, In: Annals of Applied Probability. 15, 4, p. 2651-2680Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed
Konstantinides, D. & Mikosch, Thomas Valentin, 2005, In: Annals of Probability. 33, p. 1992-2035Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3696
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General inverse problems for regular variation
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Aggregation of log-linear risks
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A Fourier analysis of extreme events
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