Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

Publication year:
All
51 - 100 out of 103Page size: 50
  1. 2009
  2. 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. 187-200

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  3. 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. 355-364

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  4. 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

  5. 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

  6. 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

  7. 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

  8. 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. 255-268

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  9. 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

  10. 2008
  11. 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

  12. 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., 2008, 25 p.

    Research output: Working paper › Research

  13. 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

  14. 2007
  15. 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

  16. 2006
  17. 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

  18. 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. 121-140

    Research output: Contribution to journal › Journal article › Research › peer-review

  19. 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

  20. 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

  21. Published

    Activity rates with very heavy tails

    Mikosch, Thomas Valentin & Resnik, S., 2006, In: Stochastic Processes and Their Applications. 116, 2, p. 131-155

    Research output: Contribution to journal › Journal article › Research › peer-review

  22. 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

  23. 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

  24. 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

  25. 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. 493-522

    Research output: Contribution to journal › Journal article › Research › peer-review

  26. 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

  27. 2005
  28. 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

  29. 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. 2651-2680

    Research output: Contribution to journal › Journal article › Research › peer-review

  30. 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. 1992-2035

    Research output: Contribution to journal › Journal article › Research › peer-review

  31. Published

    Copulas: Tales and Facts

    Mikosch, Thomas Valentin, 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-13.

    Research output: Working paper › Research

  32. Published

    How to model multivariate extremes if one must?

    Mikosch, Thomas Valentin, 2005, In: Statistica Neerlandica. 59, p. 324-338

    Research output: Contribution to journal › Journal article › Research › peer-review

  33. Published

    Stock Market Risk-Return Inference. An Unconditional non-Parametric Approach

    Mikosch, Thomas Valentin & Starica, C., 2005, Københavns Universitet: <Forlag uden navn>, p. 1-40.

    Research output: Working paper › Research

  34. 2004
  35. Published

    Functional Large Deviations for Multivariate Regularly Varying Random Walks

    Hult, H., Lindskog, F., Mikosch, Thomas Valentin & Samorodnitsky, G., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-25.

    Research output: Working paper › Research

  36. Published

    Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations

    Konstantinides, D. G. & Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.

    Research output: Working paper › Research

  37. Published

    Activity Rates with Very Heavy Tails

    Mikosch, Thomas Valentin & Resnick, S., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-23.

    Research output: Working paper › Research

  38. Published

    Change of structure in financial time series and the GARCH model

    Mikosch, Thomas Valentin & Starica, C., 2004, In: Revstat Statistical Journal. 2, p. 16-41

    Research output: Contribution to journal › Journal article › Research › peer-review

  39. Published

    How to Model Multivariate Extremes if One Must?

    Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.

    Research output: Working paper › Research

  40. Published

    Mathematical models in finance

    Mikosch, Thomas Valentin & Embrechts, P., 2004, Encyclopedia of Life Support Systems (EOLSS): Developed under the Auspices of the UNESCO, EOLSS Publishers, Oxford, UK [www.eolss.net]. EOLSS Publishers, Oxford, UK, 16 p.

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  41. 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--390

    Research output: Contribution to journal › Journal article › Research › peer-review

  42. 2003
  43. Published

    Regular variation in the mean and stable limits for Poisson shot noise

    Klüppelberg, C., Mikosch, Thomas Valentin & Schärf, A., 2003, In: Bernoulli. 9, 3, p. 467-496

    Research output: Contribution to journal › Journal article › Research › peer-review

  44. Published

    Long range dependence effects and ARCH modeling

    Mikosch, Thomas Valentin & Starica, C., 2003, Theory and Applications of Long-Range Dependence. Boston: Birkhäuser Verlag, p. 439-460

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  45. Published

    Modelling dependence and tails of financial time series

    Mikosch, Thomas Valentin, 2003, Extreme Values in Finance, Telecommunications and the Environment. Chapman, p. 185-286

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research

  46. Published

    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

  47. Published

    Stable limits of martingale transforms with application to the estimation of Garch parameters

    Mikosch, Thomas Valentin & Straumann, D. Y., 2003, Københavns Universitet: H.C.Ø.-Tryk, p. 1-24.

    Research output: Working paper › Research

  48. Published

    Quasi-MLE in heteroscedastic times series: a stochastic recurrence equations approach

    Straumann, D. Y. & Mikosch, Thomas Valentin, 2003, Københavns Universitet: H.C.Ø.-Tryk, p. 1-36.

    Research output: Working paper › Research

  49. 2002
  50. Published

    A characterization of multivariate regular variation

    Basrak, B., Davis, R. A. & Mikosch, Thomas Valentin, 2002, In: Annals of Applied Probability. 12, 3, p. 908-920

    Research output: Contribution to journal › Journal article › Research › peer-review

  51. Published

    Regular variation of GARCH processes

    Basrak, B., Davis, R. A. & Mikosch, Thomas Valentin, 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 95-115

    Research output: Contribution to journal › Journal article › Research › peer-review

  52. Published

    Tail probabilities of subadditive functionals of Lévy processes

    Braverman, M., Mikosch, Thomas Valentin & Samorodnitsky, G., 2002, In: Annals of Applied Probability. 12, 1, p. 69-100

    Research output: Contribution to journal › Journal article › Research › peer-review

  53. 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. 137-157

    Research output: Contribution to journal › Journal article › Research › peer-review

  54. Published

    Empirical Process Techniques for Dependent Data

    Dehling, H. G. (ed.), Mikosch, Thomas Valentin (ed.) & Sørensen, Michael (ed.), 2002, Boston: Birkhäuser Verlag. 545 p.

    Research output: Book/Report › Anthology › Research › peer-review

  55. Published

    Is network traffic approximated by stable Lévy motion or fractional Brownian Motion?

    Mikosch, Thomas Valentin, Resnick, S., Rootzén, H. & Stegeman, A., 2002, In: Annals of Applied Probability. 12, 1, p. 23-68

    Research output: Contribution to journal › Journal article › Research › peer-review

  56. Published

    Modeling dependence and tails of financial time series

    Mikosch, Thomas Valentin, 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-75.

    Research output: Working paper › Research

  57. Published

    Whittle estimation in a heavy-tailed GARCH(1,1) model

    Mikosch, Thomas Valentin & Straumann, D. Y., 2002, In: Stochastic Processes and Their Applications. 100, 1-2, p. 187-222

    Research output: Contribution to journal › Journal article › Research › peer-review

  58. 2001
  59. Published

    Levy Processes - Theory and Applications

    Mikosch, Thomas Valentin, Barndorff-Nielsen, O. & Resnick, S. E., 2001, Boston: Birkhauser Boston. 415 p.

    Research output: Book/Report › Anthology › Research › peer-review

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