Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
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Extremes of stochastic volatility models
Mikosch, Thomas Valentin & Davis, R. A., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Berlin, Heidelberg: Springer, p. 355-364Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
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Fractional moments of solutions to stochastic recurrence equations
Mikosch, Thomas Valentin, Matsui, M. & Tafakori, L., 2013, In: Journal of Applied Probability. 50, p. 969-982Research output: Contribution to journal › Journal article › Research › peer-review
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Functional Large Deviations for Multivariate Regularly Varying Random Walks
Hult, H., Lindskog, F., Mikosch, Thomas Valentin & Samorodnitsky, G., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-25.Research output: Working paper › Research
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Functional large deviations for multivariate regularly varying random walks
Hult, H., Lindskog, F., Mikosch, Thomas Valentin & Samorodnitsky, G., 2005, In: Annals of Applied Probability. 15, 4, p. 2651-2680Research output: Contribution to journal › Journal article › Research › peer-review
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General inverse problems for regular variation
Damek, E., Mikosch, Thomas Valentin, Rosinski, J. & Samorodnitsky, G., 2014, In: Journal of Applied Probability. 51A, p. 229-248Research output: Contribution to journal › Journal article › Research › peer-review
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Gumbel and Frechet convergence of the maxima of independent random walks
Mikosch, Thomas Valentin & Yslas Altamirano, J., 2020, In: Advances in Applied Probability. 52, 1, p. 213-236Research output: Contribution to journal › Journal article › Research › peer-review
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Handbook of Financial Time Series
Mikosch, Thomas Valentin (ed.), Andersen, T. G. (ed.), Davis, R. A. (ed.) & Kreiss, J. (ed.), 2009, Berlin, Heidelberg: Springer. 1050 p.Research output: Book/Report › Anthology › 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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Heavy tails of OLS
Mikosch, Thomas Valentin & de Vries, C., 2013, In: Journal of Econometrics. 172, 2, p. 205-221Research output: Contribution to journal › Journal article › Research › peer-review
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Homogeneous mappings of regularly varying vectors
Dyszewski, P. & Mikosch, Thomas Valentin, 2020, In: Annals of Applied Probability. 30, 6, p. 2999-3026Research output: Contribution to journal › Journal article › Research › peer-review
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How to Model Multivariate Extremes if One Must?
Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-18.Research output: Working paper › Research
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How to model multivariate extremes if one must?
Mikosch, Thomas Valentin, 2005, In: Statistica Neerlandica. 59, p. 324-338Research output: Contribution to journal › Journal article › Research › peer-review
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Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures, and identification of stable laws.
Mikosch, Thomas Valentin, Jacobsen, Martin, Rosinski, J. & Samorodnitsky, G., 2009, In: Annals of Applied Probability. 19, 1, p. 210-242 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Is network traffic approximated by stable Lévy motion or fractional Brownian Motion?
Mikosch, Thomas Valentin, Resnick, S., Rootzén, H. & Stegeman, A., 2002, In: Annals of Applied Probability. 12, 1, p. 23-68Research output: Contribution to journal › Journal article › Research › peer-review
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Large Deviations and Ruin Probabilities for Solutions to Stochastic Recurrence Equations with Heavy-Tailed Innovations
Konstantinides, D. G. & Mikosch, Thomas Valentin, 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-32.Research output: Working paper › Research
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Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed
Konstantinides, D. & Mikosch, Thomas Valentin, 2005, In: Annals of Probability. 33, p. 1992-2035Research output: Contribution to journal › Journal article › Research › peer-review
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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. 70-78Research output: Contribution to journal › Journal article › Research › peer-review
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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. 2755-2790Research output: Contribution to journal › Journal article › Research › peer-review
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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. 68-101Research output: Contribution to journal › Journal article › Research › peer-review
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Large sample autocovariance matrices of linear processes with heavy tails
Heiny, J. & Mikosch, Thomas Valentin, 2021, In: Stochastic Processes and Their Applications. 141, p. 344-375Research output: Contribution to journal › Journal article › Research › peer-review
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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
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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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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
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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. 2575-2602Research 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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