Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 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
- Published
Rates in approximations to ruin probabilities for heavy-tailed distributions
Mikosch, Thomas Valentin & Nagaev, A. V., 2001, In: Extremes. 4, p. 67-78Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 213-236Research 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
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
- Published
Heavy tails for an alternative stochastic perpetuity model
Mikosch, Thomas Valentin, Rezapour, M. & Wintenberger, O., 2019, In: Stochastic Processes and Their Applications. 129, 11, p. 4638-4662 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 439-460Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Precise large deviations for dependent regularly varying sequences
Mikosch, Thomas Valentin & Wintenberger, O., Aug 2013, In: Probability Theory and Related Fields. 156, 3-4, p. 851-887Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Precise large deviations for dependent subexponential variables
Mikosch, Thomas Valentin & Rodionov, I., 2021, In: Bernoulli. 27, 2, p. 1319-1347 29 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
Matsui, M. & Mikosch, Thomas Valentin, 2016, In: Advances in Applied Probability. 48 , A, p. 217 - 233Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3696
Most downloads
-
598
downloads
General inverse problems for regular variation
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
573
downloads
Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
209
downloads
A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Published