Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- Published
A characterization of multivariate regular variation
Basrak, B., Davis, R. A. & Mikosch, Thomas Valentin, 2002, In: Annals of Applied Probability. 12, 3, p. 908-920Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Empirical Process Techniques for Dependent Data
Dehling, H. G. (ed.), Mikosch, Thomas Valentin (ed.) & Sørensen, Michael (ed.), 2002, Boston: Birkhäuser Verlag. 545 p.Research output: Book/Report › Anthology › Research › peer-review
- 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. 23-68Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- Published
Poisson limits for U-statistics
Dabrowski, A. R., Dehling, H. G., Mikosch, Thomas Valentin & Sharipov, O., 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 137-157Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Regular variation of GARCH processes
Basrak, B., Davis, R. A. & Mikosch, Thomas Valentin, 2002, In: Stochastic Processes and Their Applications. 99, 1, p. 95-115Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Tail probabilities of subadditive functionals of Lévy processes
Braverman, M., Mikosch, Thomas Valentin & Samorodnitsky, G., 2002, In: Annals of Applied Probability. 12, 1, p. 69-100Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 187-222Research 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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