Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. Published

    Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series

    Davis, R. A., Mikosch, Thomas Valentin & Pfaffel, O., 2016, In: Stochastic Processes and Their Applications. 126, 3, p. 767–799

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

  2. Published

    Change of structure in financial time series and the GARCH model

    Mikosch, Thomas Valentin & Starica, C., 2004, In: Revstat Statistical Journal. 2, p. 16-41

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

  3. Published

    Copulas: Tales and Facts

    Mikosch, Thomas Valentin, 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-13.

    Research output: Working paper › Research

  4. 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

  5. Published

    Distance correlation for stochastic processes

    Matsui, M., Mikosch, Thomas Valentin & Samorodnitsky, G., 2017, In: Probability and Mathematical Statistics. 37, 2, p. 355-372 18 p.

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

  6. Published

    Distance covariance for discretized stochastic processes

    Dehling, H. G., Matsui, M., Mikosch, Thomas Valentin, Samorodnitsky, G. & Tafakori, L., 2020, In: Bernoulli. 26, p. 2758-2789

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

  7. Published

    Distance covariance for random fields

    Matsui, M., Mikosch, Thomas Valentin, Roozegar, R. & Tafakori, L., 2022, In: Stochastic Processes and Their Applications. 150, p. 280-322 43 p.

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

  8. Published

    Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case.

    Heiny, J. & Mikosch, Thomas Valentin, 2017, In: Stochastic Processes and Their Applications. 127, 7, p. 2179-2242

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

  9. Published

    Empirical Process Techniques for Dependent Data

    Dehling, H. G. (ed.), Mikosch, Thomas Valentin (ed.) & Sørensen, Michael (ed.), 2002, Boston: Birkhäuser Verlag. 545 p.

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

  10. Published

    Estimation of the tail index for lattice-valued sequences

    Matsui, M., Mikosch, Thomas Valentin & Tafakori, L., 2013, In: Extremes. 16, p. 429-455

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

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