Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Stable limits for sums of dependent infinite variance random variables
Bartkiewicz, K., Jakubowski, A., Mikosch, Thomas Valentin & Wintenberger, O., 2011, In: Probability Theory and Related Fields. 150, 3-4, p. 337-372Research output: Contribution to journal › Journal article › Research › peer-review
- Published
A characterization of multivariate regular variation
Basrak, B., Davis, R. A. & Mikosch, Thomas Valentin, 2002, In: Annals of Applied Probability. 12, 3, p. 908-920Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Regular variation of GARCH processes
Basrak, B., Davis, R. A. & Mikosch, Thomas Valentin, 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 95-115Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 69-100Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Large deviations for solutions to stochastic recurrence equations under Kesten's condition
Buraczewski, D., Damek, E., Mikosch, Thomas Valentin & Zienkiewicz, J., 2013, In: Annals of Probability. 41, 4, p. 2755-2790Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Stochastic Models with Power-Laws Tails: The Equation X=AX+B
Buraczewski, D., Damek, E. & Mikosch, Thomas Valentin, 2016, New York: Springer. 320 p. (Operations Research and Financial Engineering). (Springer Series in Operations Research and Financial Engineering).Research output: Book/Report › Book › Research › peer-review
- Published
Some variations on the extremal index
Buriticá, G., Meyer, N. B., Mikosch, Thomas Valentin & Wintenberger, O., 2022, In: Zapiski Nauchnykh Seminarov POMI. 501, p. 52–77Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference
Buriticá, G., Mikosch, Thomas Valentin & Wintenberger, O., 2023, In: Stochastic Processes and Their Applications. 161, p. 68-101Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Weak convergence of the function-indexed integrated periodogram for infinite variance processes
Can, U., Mikosch, Thomas Valentin & Samorodnitsky, G., 2010, In: Bernoulli. 16, 4, p. 995-1015 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation
Cavaliere, G., Mikosch, Thomas Valentin, Rahbek, Anders & Rasmussen, Frederik Vilandt, 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.Research 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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