Thomas Valentin Mikosch

Thomas Valentin Mikosch

Professor

ORCID: 0000-0003-3091-6661

Publication year:
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1 - 7 out of 7Page size: 10
  1. 2004
  2. Published

    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

  3. Published

    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

  4. 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

  5. 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

  6. Published

    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

  7. 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

  8. 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

ID: 3696