Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. Published

    Point process convergence for the off-diagonal entries of sample covariance matrices

    Heiny, J., Mikosch, Thomas Valentin & Yslas, J., 2021, In: Annals of Applied Probability. 31, 2, p. 538-560

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

  2. Published

    Point process convergence of stochastic volatility processeswith application to sample autocorrelations

    Mikosch, Thomas Valentin & Davis, R. A., 2001, In: Journal of Applied Probability. 38A, p. 93--104

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

  3. Published

    Poisson limits for U-statistics

    Dabrowski, A. R., Dehling, H. G., Mikosch, Thomas Valentin & Sharipov, O., 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 137-157

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

  4. 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. 851-887

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

  5. Published

    Precise large deviations for dependent regularly varying sequences.

    Mikosch, Thomas Valentin & Wintenberger, O., 2013, In: Probability Theory and Related Fields. 156, p. 851-887

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

  6. 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

  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

    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

  10. 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

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