Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
Distance covariance for random fields
Matsui, M., Mikosch, Thomas Valentin, Roozegar, R. & Tafakori, L., 2022, In: Stochastic Processes and Their Applications. 150, p. 280-322 43 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Distance correlation for stochastic processes
Matsui, M., Mikosch, Thomas Valentin & Samorodnitsky, G., 2017, In: Probability and Mathematical Statistics. 37, 2, p. 355-372 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Estimation of the tail index for lattice-valued sequences
Matsui, M., Mikosch, Thomas Valentin & Tafakori, L., 2013, In: Extremes. 16, p. 429-455Research output: Contribution to journal › Journal article › Research › peer-review
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The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
Matsui, M. & Mikosch, Thomas Valentin, 2016, In: Advances in Applied Probability. 48 , A, p. 217 - 233Research output: Contribution to journal › Journal article › 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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Long range dependence effects and ARCH modeling
Mikosch, Thomas Valentin & Starica, C., 2003, Theory and Applications of Long-Range Dependence. Boston: Birkhäuser Verlag, p. 439-460Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Precise large deviations for dependent regularly varying sequences
Mikosch, Thomas Valentin & Wintenberger, O., Aug 2013, In: Probability Theory and Related Fields. 156, 3-4, p. 851-887Research output: Contribution to journal › Journal article › Research › peer-review
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Precise large deviations for dependent subexponential variables
Mikosch, Thomas Valentin & Rodionov, I., 2021, In: Bernoulli. 27, 2, p. 1319-1347 29 p.Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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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General inverse problems for regular variation
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Aggregation of log-linear risks
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A Fourier analysis of extreme events
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