Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 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
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How to model multivariate extremes if one must?
Mikosch, Thomas Valentin, 2005, In: Statistica Neerlandica. 59, p. 324-338Research output: Contribution to journal › Journal article › Research › peer-review
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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
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Prediction in a Poisson cluster model
Mikosch, Thomas Valentin & Matsui, M., 2010, In: Journal of Applied Probability. 47, p. 350-366Research output: Contribution to journal › Journal article › Research › peer-review
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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
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Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets
Mikosch, Thomas Valentin, Pawlas, Z. & Samorodnitsky, G., 2011, In: Vestnik St Petersburg University - Mathematics. 2011, 2, p. 70-78Research 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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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
The Integrated periodogram of a dependent extremal event sequence
Mikosch, Thomas Valentin & Zhao, Y., 2015, In: Stochastic Processes and Their Applications. 125, 8, p. 3126-3169Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Stochastic volatility models with possible extremal clustering
Mikosch, Thomas Valentin & Rezapur, M., 2013, In: Bernoulli. 19, 5A, p. 1688-1713Research 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
Research output: Contribution to journal › Journal article › Research › peer-review
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