Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

Publication year:
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51 - 60 out of 103Page size: 10
  1. 2009
  2. Published

    Prediction of outstanding payments in a Poisson cluster model

    Mikosch, Thomas Valentin, Jessen, A. H. & Samorodnitsky, G., 2009, 24 p.

    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

    The extremogram: a correlogram for extreme events.

    Davis, R. A. & Mikosch, Thomas Valentin, 2009, In: Bernoulli. 195, 4, p. 977-1009

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

  5. 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

  6. 2010
  7. Published

    Prediction in a Poisson cluster model

    Mikosch, Thomas Valentin & Matsui, M., 2010, In: Journal of Applied Probability. 47, p. 350-366

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

  8. Published

    Prediction of outstanding payments in a Poisson cluster model

    Mikosch, Thomas Valentin, Samorodnitsky, G. & Jessen, A. H., 2010, In: Scandinavian Actuarial Journal. 2010, p. 1651-2030

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

  9. 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

  10. 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

  11. 2011
  12. Published

    A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation

    Mikosch, Thomas Valentin, Pawlas, Z. & Samorodnitsky, G., 2011, In: Journal of Applied Probability. 48A, p. 133-144

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

  13. Published

    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. 70-78

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

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