Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Gumbel and Frechet convergence of the maxima of independent random walks
Mikosch, Thomas Valentin & Yslas Altamirano, J., 2020, In: Advances in Applied Probability. 52, 1, p. 213-236Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Handbook of Financial Time Series
Mikosch, Thomas Valentin (ed.), Andersen, T. G. (ed.), Davis, R. A. (ed.) & Kreiss, J. (ed.), 2009, Berlin, Heidelberg: Springer. 1050 p.Research output: Book/Report › Anthology › Research › peer-review
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Heavy tails for an alternative stochastic perpetuity model
Mikosch, Thomas Valentin, Rezapour, M. & Wintenberger, O., 2019, In: Stochastic Processes and Their Applications. 129, 11, p. 4638-4662 25 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Heavy tails of OLS
Mikosch, Thomas Valentin & de Vries, C., 2013, In: Journal of Econometrics. 172, 2, p. 205-221Research output: Contribution to journal › Journal article › Research › peer-review
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Homogeneous mappings of regularly varying vectors
Dyszewski, P. & Mikosch, Thomas Valentin, 2020, In: Annals of Applied Probability. 30, 6, p. 2999-3026Research output: Contribution to journal › Journal article › Research › peer-review
- Published
How to Model Multivariate Extremes if One Must?
Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.Research output: Working paper › Research
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How to model multivariate extremes if one must?
Mikosch, Thomas Valentin, 2005, In: Statistica Neerlandica. 59, p. 324-338Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures, and identification of stable laws.
Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2009, In: Annals of Applied Probability. 19, 1, p. 210-242 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
- Published
Is network traffic approximated by stable Lévy motion or fractional Brownian Motion?
Mikosch, Thomas Valentin, Resnick, S., Rootzén, H. & Stegeman, A., 2002, In: Annals of Applied Probability. 12, 1, p. 23-68Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3696
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595
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General inverse problems for regular variation
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Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
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207
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A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
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