Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

Publication year:
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1 - 50 out of 103Page size: 50
  1. 2024
  2. Published

    Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation

    Cavaliere, G., Mikosch, Thomas Valentin, Rahbek, Anders & Rasmussen, Frederik Vilandt, 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.

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

  3. 2023
  4. Published

    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. 68-101

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

  5. Published

    Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series

    Embrechts, P., Klüppelberg, C. & Mikosch, Thomas Valentin, 2023, Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer, p. 115-139 25 p. (Lecture Notes in Mathematics, Vol. 2313).

    Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

  6. Published

    Whittle estimation based on the extremal spectral density of a heavy-tailed random field

    Damek, E., Mikosch, Thomas Valentin, Zhao, Y. & Zienkiewicz, J., 2023, In: Stochastic Processes and Their Applications. 155, p. 232-267

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

  7. 2022
  8. 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

  9. Published

    Some variations on the extremal index

    Buriticá, G., Meyer, N. B., Mikosch, Thomas Valentin & Wintenberger, O., 2022, In: Zapiski Nauchnykh Seminarov POMI. 501, p. 52–77

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

  10. 2021
  11. Published

    Large sample autocovariance matrices of linear processes with heavy tails

    Heiny, J. & Mikosch, Thomas Valentin, 2021, In: Stochastic Processes and Their Applications. 141, p. 344-375

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

  12. Published

    Point process convergence for the off-diagonal entries of sample covariance matrices

    Heiny, J., Mikosch, Thomas Valentin & Yslas, J., 2021, In: Annals of Applied Probability. 31, 2, p. 538-560

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

  13. Published

    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

  14. 2020
  15. Published

    Distance covariance for discretized stochastic processes

    Dehling, H. G., Matsui, M., Mikosch, Thomas Valentin, Samorodnitsky, G. & Tafakori, L., 2020, In: Bernoulli. 26, p. 2758-2789

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

  16. Published

    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. 213-236

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

  17. Published

    Homogeneous mappings of regularly varying vectors

    Dyszewski, P. & Mikosch, Thomas Valentin, 2020, In: Annals of Applied Probability. 30, 6, p. 2999-3026

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

  18. 2019
  19. Published

    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

  20. Published

    On logarithmically optimal exact simulation of max-stable and related random fields on a compact set

    Liu, Z., Blanchet, J. H., Dieker, A. B. & Mikosch, Thomas Valentin, 2019, In: Bernoulli. 25, 4A, p. 2949-2981

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

  21. 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

  22. 2018
  23. Published

    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

  24. Published

    Applications of distance correlation to time series

    Davis, R., Matsui, M., Mikosch, Thomas Valentin & Wan, P., 2018, In: Bernoulli. 24, 4A, p. 3087-3116

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

  25. 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. 1351-1393

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

  26. 2017
  27. Published

    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

  28. Published

    Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case.

    Heiny, J. & Mikosch, Thomas Valentin, 2017, In: Stochastic Processes and Their Applications. 127, 7, p. 2179-2242

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

  29. 2016
  30. Published

    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. 233-269

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

  31. Published

    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. 767–799

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

  32. Published

    Extreme value analysis for the sample covariance matrices of heavy-tailed multivariate time series

    Davis, R., Heiny, J., Mikosch, Thomas Valentin & Xie, X., 2016, In: Extremes. 19, 3, p. 517-547

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

  33. Published

    Stochastic Models with Power-Laws Tails: The Equation X=AX+B

    Buraczewski, D., Damek, E. & Mikosch, Thomas Valentin, 2016, New York: Springer. 320 p. (Operations Research and Financial Engineering). (Springer Series in Operations Research and Financial Engineering).

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

  34. 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 - 233

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

  35. 2015
  36. 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

  37. 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

  38. 2014
  39. 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

  40. 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

  41. 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

  42. 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

  43. 2013
  44. 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

  45. 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

  46. 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

  47. 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

  48. 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

  49. 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

  50. 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

  51. 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

  52. 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

  53. 2012
  54. 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

  55. 2011
  56. 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

  57. 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

  58. 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

  59. 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

  60. 2010
  61. 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

  62. 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

  63. 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

  64. 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

  65. 2009
  66. 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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