Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

Publication year:
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26 - 50 out of 103Page size: 25
  1. 2015
  2. Published

    Exact simulation of Brown-Resnick random fields at a finite number of locations

    Dieker, T. & Mikosch, Thomas Valentin, 2015, In: Extremes. 18, p. 301-314

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

  3. Published

    The Integrated periodogram of a dependent extremal event sequence

    Mikosch, Thomas Valentin & Zhao, Y., 2015, In: Stochastic Processes and Their Applications. 125, 8, p. 3126-3169

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

  4. 2014
  5. Published

    A Fourier analysis of extreme events

    Mikosch, Thomas Valentin & Zhao, Y., 2014, In: Bernoulli. 20, 2, p. 803-845

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

  6. Published

    Aggregation of log-linear risks

    Embrechts, P., Hashorva, E. & Mikosch, Thomas Valentin, 2014, In: Journal of Applied Probability. 51A, p. 203-212

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

  7. Published

    General inverse problems for regular variation

    Damek, E., Mikosch, Thomas Valentin, Rosinski, J. & Samorodnitsky, G., 2014, In: Journal of Applied Probability. 51A, p. 229-248

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

  8. 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. 157-196

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

  9. 2013
  10. Published

    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. 851-887

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

  11. Published

    Estimation of the tail index for lattice-valued sequences

    Matsui, M., Mikosch, Thomas Valentin & Tafakori, L., 2013, In: Extremes. 16, p. 429-455

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

  12. Published

    Fractional moments of solutions to stochastic recurrence equations

    Mikosch, Thomas Valentin, Matsui, M. & Tafakori, L., 2013, In: Journal of Applied Probability. 50, p. 969-982

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

  13. Published

    Heavy tails of OLS

    Mikosch, Thomas Valentin & de Vries, C., 2013, In: Journal of Econometrics. 172, 2, p. 205-221

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

  14. 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

  15. 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

  16. Published

    Precise large deviations for dependent regularly varying sequences.

    Mikosch, Thomas Valentin & Wintenberger, O., 2013, In: Probability Theory and Related Fields. 156, p. 851-887

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

  17. Published

    Stochastic volatility models with possible extremal clustering

    Mikosch, Thomas Valentin & Rezapur, M., 2013, In: Bernoulli. 19, 5A, p. 1688-1713

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

  18. 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. 249-272

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

  19. 2012
  20. Published

    Towards estimating extremal serial dependence via the bootstrapped extremogram.

    Mikosch, Thomas Valentin, 2012, In: Journal of Econometrics. 170, p. 142-152

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

  21. 2011
  22. Published

    New Frontiers in Applied Probability: A Festschrift for Soeren Asmussen

    Mikosch, Thomas Valentin, Glynn, P. & Rolski, T., Aug 2011, Sheffield, U.K.: Applied Probability Trust. 390 p. (Journal of Applied Probability, Vol. Special Volume 48A).

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

  23. Published

    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. 133-144

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

  24. Published

    Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets

    Mikosch, Thomas Valentin, Pawlas, Z. & Samorodnitsky, G., 2011, In: Vestnik St Petersburg University - Mathematics. 2011, 2, p. 70-78

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

  25. Published

    Stable limits for sums of dependent infinite variance random variables

    Bartkiewicz, K., Jakubowski, A., Mikosch, Thomas Valentin & Wintenberger, O., 2011, In: Probability Theory and Related Fields. 150, 3-4, p. 337-372

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

  26. 2010
  27. Published

    Prediction in a Poisson cluster model

    Mikosch, Thomas Valentin & Matsui, M., 2010, In: Journal of Applied Probability. 47, p. 350-366

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

  28. Published

    Prediction of outstanding payments in a Poisson cluster model

    Mikosch, Thomas Valentin, Samorodnitsky, G. & Jessen, A. H., 2010, In: Scandinavian Actuarial Journal. 2010, p. 1651-2030

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

  29. 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

  30. 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

  31. 2009
  32. Published

    Extreme value theory for GARCH processes

    Mikosch, Thomas Valentin, 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin, Heidelberg: Springer, p. 187-200

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

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