Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
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Copulas: Tales and Facts
Mikosch, Thomas Valentin, 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-13.Research output: Working paper › Research
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Change of structure in financial time series and the GARCH model
Mikosch, Thomas Valentin & Starica, C., 2004, In: Revstat Statistical Journal. 2, p. 16-41Research output: Contribution to journal › Journal article › Research › peer-review
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Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
Davis, R. A., Mikosch, Thomas Valentin & Pfaffel, O., 2016, In: Stochastic Processes and Their Applications. 126, 3, p. 767–799Research output: Contribution to journal › Journal article › Research › peer-review
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Applications of distance correlation to time series
Davis, R., Matsui, M., Mikosch, Thomas Valentin & Wan, P., 2018, In: Bernoulli. 24, 4A, p. 3087-3116Research output: Contribution to journal › Journal article › Research › peer-review
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Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
Heiny, J. & Mikosch, Thomas Valentin, 2018, In: Stochastic Processes and Their Applications. 128, 8, p. 2779-2815 37 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Aggregation of log-linear risks
Embrechts, P., Hashorva, E. & Mikosch, Thomas Valentin, 2014, In: Journal of Applied Probability. 51A, p. 203-212Research output: Contribution to journal › Journal article › Research › peer-review
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Activity rates with very heavy tails
Mikosch, Thomas Valentin & Resnik, S., 2006, In: Stochastic Processes and Their Applications. 116, 2, p. 131-155Research output: Contribution to journal › Journal article › Research › peer-review
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Activity Rates with Very Heavy Tails
Mikosch, Thomas Valentin & Resnick, S., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-23.Research output: Working paper › Research
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A large deviations approach to limit theory for heavy-tailed time series
Mikosch, Thomas Valentin & Wintenberger, O., 2016, In: Probability Theory and Related Fields. 166, p. 233-269Research output: Contribution to journal › Journal article › Research › peer-review
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A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation
Mikosch, Thomas Valentin, Pawlas, Z. & Samorodnitsky, G., 2011, In: Journal of Applied Probability. 48A, p. 133-144Research 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
Research output: Contribution to journal › Journal article › Research › peer-review
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571
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Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
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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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