Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
Janßen, A., Mikosch, Thomas Valentin, Rezapour Toughari, M. & Xie, X., 2018, In: Bernoulli. 24, 2, p. 1351-1393Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Heiny, J. & Mikosch, Thomas Valentin, 2019, In: Bernoulli. 25, 4 B, p. 3590-3622 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
Mikosch, Thomas Valentin & Wintenberger, O., 2014, In: Probability Theory and Related Fields. 159, p. 157-196Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The Integrated periodogram of a dependent extremal event sequence
Mikosch, Thomas Valentin & Zhao, Y., 2015, In: Stochastic Processes and Their Applications. 125, 8, p. 3126-3169Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Tail probabilities of subadditive functionals of Lévy processes
Braverman, M., Mikosch, Thomas Valentin & Samorodnitsky, G., 2002, In: Annals of Applied Probability. 12, 1, p. 69-100Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 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
- Published
Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation
Cavaliere, G., Mikosch, Thomas Valentin, Rahbek, Anders & Rasmussen, Frederik Vilandt, 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Stock Market Risk-Return Inference. An Unconditional non-Parametric Approach
Mikosch, Thomas Valentin & Starica, C., 2005, Københavns Universitet: <Forlag uden navn>, p. 1-40.Research output: Working paper › Research
- Published
Stochastic volatility models with possible extremal clustering
Mikosch, Thomas Valentin & Rezapur, M., 2013, In: Bernoulli. 19, 5A, p. 1688-1713Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3696
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596
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General inverse problems for regular variation
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571
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Aggregation of log-linear risks
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208
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A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
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