Thomas Valentin Mikosch
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
ORCID: 0000-0003-3091-6661
1 - 5 out of 5Page size: 100
- 2016
- 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. 233-269Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 767–799Research output: Contribution to journal › Journal article › Research › peer-review
- 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. 517-547Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 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 - 233Research output: Contribution to journal › Journal article › Research › peer-review
ID: 3696
Most downloads
-
596
downloads
General inverse problems for regular variation
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
571
downloads
Aggregation of log-linear risks
Research output: Contribution to journal › Journal article › Research › peer-review
Published -
208
downloads
A Fourier analysis of extreme events
Research output: Contribution to journal › Journal article › Research › peer-review
Published