Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

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  1. Published

    Change of structure in financial time series and the GARCH model

    Mikosch, Thomas Valentin & Starica, C., 2004, In: Revstat Statistical Journal. 2, p. 16-41

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

  2. 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

  3. Published

    Quasi-MLE in heteroscedastic times series: a stochastic recurrence equations approach

    Mikosch, Thomas Valentin & Straumann, D., 2006, In: Annals of Statistics. 34, p. 2449--2495 46 p.

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

  4. Published

    Scaling limits for cumulative input processes

    Mikosch, Thomas Valentin & Samorodnitsky, G., 2007, In: Mathematics of Operations Research. p. 890-919 30 p.

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

  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

    Modeling dependence and tails of financial time series

    Mikosch, Thomas Valentin, 2002, Københavns Universitet: H.C.Ø.-Tryk, p. 1-75.

    Research output: Working paper › Research

  7. 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

  8. Published

    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

  9. Published

    Modelling dependence and tails of financial time series

    Mikosch, Thomas Valentin, 2003, Extreme Values in Finance, Telecommunications and the Environment. Chapman, p. 185-286

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

  10. 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

  11. 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. 247-274

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

  12. Published

    Stock Market Risk-Return Inference. An Unconditional non-Parametric Approach

    Mikosch, Thomas Valentin & Starica, C., 2005, Københavns Universitet: <Forlag uden navn>, p. 1-40.

    Research output: Working paper › Research

  13. 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

  14. 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

  15. Published

    Tail Probabilities for Regression Estimators

    Mikosch, Thomas Valentin & Vries, C. G. D., 2006, Laboratory of Actuarial Mathematics / Copenhagen University: <Forlag uden navn>, p. 32.

    Research output: Working paper › Research

  16. Published

    Extreme value theory for space-time processes withheavy-tailed distributions

    Mikosch, Thomas Valentin & Davis, R. A., 2008, In: Stochastic Processes and Their Applications. 118, p. 560-584 25 p.

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

  17. Published

    Stable limits of martingale transforms with application to the estimation of GARCH parameters

    Mikosch, Thomas Valentin & Straumann, D. Y., 2006, In: Annals of Statistics. 34, 1, p. 493-522

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

  18. 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

  19. Published

    Prediction of outstanding payments in a Poisson cluster model

    Mikosch, Thomas Valentin, Jessen, A. H. & Samorodnitsky, G., 2009, 24 p.

    Research output: Working paper › Research

  20. Published

    Point process convergence of stochastic volatility processeswith application to sample autocorrelations

    Mikosch, Thomas Valentin & Davis, R. A., 2001, In: Journal of Applied Probability. 38A, p. 93--104

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

  21. 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

  22. Published

    Stable limits of martingale transforms with application to the estimation of Garch parameters

    Mikosch, Thomas Valentin & Straumann, D. Y., 2003, Københavns Universitet: H.C.Ø.-Tryk, p. 1-24.

    Research output: Working paper › Research

  23. Published

    Whittle estimation in a heavy-tailed GARCH(1,1) model

    Mikosch, Thomas Valentin & Straumann, D. Y., 2002, In: Stochastic Processes and Their Applications. 100, 1-2, p. 187-222

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

  24. 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

  25. Published

    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

  26. Published

    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

  27. Published

    Tail behavior of random products and stochastic exponentials.

    Mikosch, Thomas Valentin & Cohen, S., 2008, In: Stochastic Processes and Their Applications. 118, p. 333--345 13 p.

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

  28. Published

    Copulas: Tales and Facts

    Mikosch, Thomas Valentin, 2005, Laboratory of Actuarial Mathematics: H.C.Ø.-Tryk, p. 1-13.

    Research output: Working paper › Research

  29. 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

  30. Published

    Non-Life Insurance Mathematics: An Introduction with the Poisson Process, Second Edition

    Mikosch, Thomas Valentin, 2009, Springer. 432 p.

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

  31. Published

    Regularly varying functions.

    Mikosch, Thomas Valentin & Jessen, A. H., 2006, In: Publications de l'Institut Mathématique (Beograd). 80(94), p. 171-192 22 p.

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

  32. Published

    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

  33. 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

  34. Published

    Rates in approximations to ruin probabilities for heavy-tailed distributions

    Mikosch, Thomas Valentin & Nagaev, A. V., 2001, In: Extremes. 4, p. 67-78

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

  35. 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

  36. Published

    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. 23-68

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

  37. Published

    Non-stationarities in financial time series, the long-rangedependence and the IGARCH effects

    Mikosch, Thomas Valentin & Starica, C., 2004, In: Review of Economics and Statistics. 86, p. 378--390

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

  38. Published

    Probabilistic properties 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. 255-268

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

  39. Published

    Activity rates with very heavy tails

    Mikosch, Thomas Valentin & Resnik, S., 2006, In: Stochastic Processes and Their Applications. 116, 2, p. 131-155

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

  40. Published

    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., 2008, 25 p.

    Research output: Working paper › Research

  41. Published

    Weak convergence of the function-indexed integrated periodogram for infinite variance processes

    Mikosch, Thomas Valentin, Can, S. U. & Samorodnitsky, G., 2009, 21 p.

    Research output: Working paper › Research

  42. Published

    How to model multivariate extremes if one must?

    Mikosch, Thomas Valentin, 2005, In: Statistica Neerlandica. 59, p. 324-338

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

  43. Published

    Activity Rates with Very Heavy Tails

    Mikosch, Thomas Valentin & Resnick, S., 2004, Afdeling for Anvendt Matematik og Statistik / Københavns Universitet: H.C.Ø.-Tryk, p. 1-23.

    Research output: Working paper › Research

  44. 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

  45. Published

    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. 355-364

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

  46. 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

  47. Published

    Non-Life Insurance Mathematics. An Introduction with Stochastic Processes

    Mikosch, Thomas Valentin, 2003, Berlin: Springer. 235 p.

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

  48. Published

    Copulas: tales and facts. Discussion paper with a rejoinder.

    Mikosch, Thomas Valentin, 2006, In: Extremes. 9, p. 3-20,55-62 25 p.

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

  49. 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

  50. 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

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