Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains
Mikosch, Thomas Valentin & Wintenberger, O., 2014, In: Probability Theory and Related Fields. 159, p. 157-196Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Heiny, J. & Mikosch, Thomas Valentin, 2019, In: Bernoulli. 25, 4 B, p. 3590-3622 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
Janßen, A., Mikosch, Thomas Valentin, Rezapour Toughari, M. & Xie, X., 2018, In: Bernoulli. 24, 2, p. 1351-1393Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
The extremogram: a correlogram for extreme events.
Davis, R. A. & Mikosch, Thomas Valentin, 2009, In: Bernoulli. 195, 4, p. 977-1009Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes
Mikosch, Thomas Valentin & Moser, M., 2013, In: Probability Theory and Related Fields. 156, p. 249-272Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution
Mikosch, Thomas Valentin & Rackauskas, A., 2010, In: Bernoulli. 16, 4, p. 1016-1038 23 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
The sample autocorrelations of financial time series models
Mikosch, Thomas Valentin & Davis, R. A., 2001, Nonlinear and Nonstationary Signal Processing. Cambridge University Press, p. 247-274Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
Towards estimating extremal serial dependence via the bootstrapped extremogram.
Mikosch, Thomas Valentin, 2012, In: Journal of Econometrics. 170, p. 142-152Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Weak convergence of the function-indexed integrated periodogram for infinite variance processes
Can, U., Mikosch, Thomas Valentin & Samorodnitsky, G., 2010, In: Bernoulli. 16, 4, p. 995-1015 21 p.Research 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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207
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A Fourier analysis of extreme events
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