Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. Published

    Modeling teletraffic arrivals by a Poisson cluster process

    Faÿ, G., González-Arévalo2, B., Mikosch, Thomas Valentin & Samorodnitsky, G., 2006, In: Queueing Systems. 54, 2, p. 121-140

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

  2. Published

    Modeling dependence and tails of financial time series

    Mikosch, Thomas Valentin, 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-75.

    Research output: Working paper › Research

  3. Published

    Modeling Telefraffic Arrivals by a Poisson Cluster Process

    Fäy, G., González-Arávalo, B., Mikosch, Thomas Valentin & Samorodnitsky, G., 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-27.

    Research output: Working paper › Research

  4. Published

    Measures of serial extremal dependence and their estimation

    Davis, R. A., Mikosch, Thomas Valentin & Zhao, Y., 2013, In: Stochastic Processes and Their Applications. 123, 7, p. 2575-2602

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

  5. Published

    Mathematical models in finance

    Mikosch, Thomas Valentin & Embrechts, P., 2004, Encyclopedia of Life Support Systems (EOLSS): Developed under the Auspices of the UNESCO, EOLSS Publishers, Oxford, UK [www.eolss.net]. EOLSS Publishers, Oxford, UK, 16 p.

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

  6. Published

    Long range dependence effects and ARCH modeling

    Mikosch, Thomas Valentin & Starica, C., 2003, Theory and Applications of Long-Range Dependence. Boston: Birkhäuser Verlag, p. 439-460

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

  7. Published

    Levy Processes - Theory and Applications

    Mikosch, Thomas Valentin, Barndorff-Nielsen, O. & Resnick, S. E., 2001, Boston: Birkhauser Boston. 415 p.

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

  8. Published

    Large sample autocovariance matrices of linear processes with heavy tails

    Heiny, J. & Mikosch, Thomas Valentin, 2021, In: Stochastic Processes and Their Applications. 141, p. 344-375

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

  9. Published

    Large deviations of ℓp-blocks of regularly varying time series and applications to cluster inference

    Buriticá, G., Mikosch, Thomas Valentin & Wintenberger, O., 2023, In: Stochastic Processes and Their Applications. 161, p. 68-101

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

  10. Published

    Large deviations for solutions to stochastic recurrence equations under Kesten's condition

    Buraczewski, D., Damek, E., Mikosch, Thomas Valentin & Zienkiewicz, J., 2013, In: Annals of Probability. 41, 4, p. 2755-2790

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

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