Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. Published

    Stochastic Models with Power-Laws Tails: The Equation X=AX+B

    Buraczewski, D., Damek, E. & Mikosch, Thomas Valentin, 2016, New York: Springer. 320 p. (Operations Research and Financial Engineering). (Springer Series in Operations Research and Financial Engineering).

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

  2. Published

    Stable limits of martingale transforms with application to the estimation of Garch parameters

    Mikosch, Thomas Valentin & Straumann, D. Y., 2003, Københavns Universitet: H.C.Ø.-Tryk, p. 1-24.

    Research output: Working paper › Research

  3. Published

    Stable limits of martingale transforms with application to the estimation of GARCH parameters

    Mikosch, Thomas Valentin & Straumann, D. Y., 2006, In: Annals of Statistics. 34, 1, p. 493-522

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

  4. Published

    Stable limits for sums of dependent infinite variance random variables

    Bartkiewicz, K., Jakubowski, A., Mikosch, Thomas Valentin & Wintenberger, O., 2011, In: Probability Theory and Related Fields. 150, 3-4, p. 337-372

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

  5. Published

    Some variations on the extremal index

    Buriticá, G., Meyer, N. B., Mikosch, Thomas Valentin & Wintenberger, O., 2022, In: Zapiski Nauchnykh Seminarov POMI. 501, p. 52–77

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

  6. 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

  7. Published

    Scaling Limits for Workload Process

    Mikosch, Thomas Valentin & Samorodnitsky, G., 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-31.

    Research output: Working paper › Research

  8. Published

    Regularly varying functions.

    Mikosch, Thomas Valentin & Jessen, A. H., 2006, In: Publications de l'Institut Mathématique (Beograd). 80(94), p. 171-192 22 p.

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

  9. Published

    Regularly varying functions

    Hedegaard Jessen, A. & Mikosch, Thomas Valentin, 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 1-23.

    Research output: Working paper › Research

  10. Published

    Regular variation of GARCH processes

    Basrak, B., Davis, R. A. & Mikosch, Thomas Valentin, 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 95-115

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

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