Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

Publication year:
All
41 - 50 out of 103Page size: 10
  1. 2006
  2. Published

    Tail Probabilities for Regression Estimators

    Mikosch, Thomas Valentin & Vries, C. G. D., 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 32.

    Research output: Working paper › Research

  3. 2007
  4. Published

    Scaling limits for cumulative input processes

    Mikosch, Thomas Valentin & Samorodnitsky, G., 2007, In: Mathematics of Operations Research. p. 890-919 30 p.

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

  5. 2008
  6. Published

    Extreme value theory for space-time processes withheavy-tailed distributions

    Mikosch, Thomas Valentin & Davis, R. A., 2008, In: Stochastic Processes and Their Applications. 118, p. 560-584 25 p.

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

  7. Published

    Inverse problems for regular variation of linear filters, a cancellation property for sigma-finite measures, and identification of stable laws.

    Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2008, 25 p.

    Research output: Working paper › Research

  8. Published

    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

  9. 2009
  10. Published

    Extreme value theory for GARCH processes

    Mikosch, Thomas Valentin, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin, Heidelberg: Springer, p. 187-200

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  11. Published

    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. 355-364

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  12. Published

    Handbook of Financial Time Series

    Mikosch, Thomas Valentin (ed.), Andersen, T. G. (ed.), Davis, R. A. (ed.) & Kreiss, J. (ed.), 2009, Berlin, Heidelberg: Springer. 1050 p.

    Research output: Book/Report › Anthology › Research › peer-review

  13. Published

    Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures, and identification of stable laws.

    Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2009, In: Annals of Applied Probability. 19, 1, p. 210-242 33 p.

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

  14. Published

    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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