Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. 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

  2. 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

  3. 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

  4. 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

  5. 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

  6. Published

    The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution

    Mikosch, Thomas Valentin & Rackauskas, A., 2010, In: Bernoulli. 16, 4, p. 1016-1038 23 p.

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

  7. Published

    Rates in approximations to ruin probabilities for heavy-tailed distributions

    Mikosch, Thomas Valentin & Nagaev, A. V., 2001, In: Extremes. 4, p. 67-78

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

  8. Published

    Gumbel and Frechet convergence of the maxima of independent random walks

    Mikosch, Thomas Valentin & Yslas Altamirano, J., 2020, In: Advances in Applied Probability. 52, 1, p. 213-236

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

  9. 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

  10. 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

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