Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. Published

    Whittle estimation in a heavy-tailed GARCH(1,1) model

    Mikosch, Thomas Valentin & Straumann, D. Y., 2002, In: Stochastic Processes and Their Applications. 100, 1-2, p. 187-222

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

  2. Published

    Whittle estimation based on the extremal spectral density of a heavy-tailed random field

    Damek, E., Mikosch, Thomas Valentin, Zhao, Y. & Zienkiewicz, J., 2023, In: Stochastic Processes and Their Applications. 155, p. 232-267

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

  3. 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

  4. 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

  5. Published

    Towards estimating extremal serial dependence via the bootstrapped extremogram.

    Mikosch, Thomas Valentin, 2012, In: Journal of Econometrics. 170, p. 142-152

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

  6. Published

    The sample autocorrelations of financial time series models

    Mikosch, Thomas Valentin & Davis, R. A., 2001, Nonlinear and Nonstationary Signal Processing. Cambridge University Press, p. 247-274

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

  7. 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

  8. Published

    The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes

    Mikosch, Thomas Valentin & Moser, M., 2013, In: Probability Theory and Related Fields. 156, p. 249-272

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

  9. 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

  10. Published

    The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process

    Matsui, M. & Mikosch, Thomas Valentin, 2016, In: Advances in Applied Probability. 48 , A, p. 217 - 233

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

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