Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
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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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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
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Copulas: Tales and Facts
Mikosch, Thomas Valentin, 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-13.Research output: Working paper › Research
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Towards estimating extremal serial dependence via the bootstrapped extremogram.
Mikosch, Thomas Valentin, 2012, In: Journal of Econometrics. 170, p. 142-152Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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
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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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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
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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
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
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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. 23-68Research output: Contribution to journal › Journal article › Research › peer-review
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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--390Research output: Contribution to journal › Journal article › Research › peer-review
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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. 255-268Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
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Activity rates with very heavy tails
Mikosch, Thomas Valentin & Resnik, S., 2006, In: Stochastic Processes and Their Applications. 116, 2, p. 131-155Research output: Contribution to journal › Journal article › Research › peer-review
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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
- 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
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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
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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
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