Thomas Valentin Mikosch

Publikation

Publikationer pr. år 2001 2002 2003 2004 2005 2006 2009 2011 2013 2016 2019

• 61 Tidsskriftartikel
• 17 Working paper
• 4 Antologi
• 4 Encyclopædiartikel
• 6 Mere
  • 3 Bog
  • 3 Bidrag til bog/antologi

Publikationer pr. år

Publikationer pr. år

Søgeresultater

• 2019

  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, T., 2019, I: Bernoulli. 25, 4A, s. 2949-2981

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Random Field 100%
  • Compact Set 100%
  • Max-stable Random Fields 50%
  • Lp-norm 50%
  • Series Representation 50%
  2 Citationer (Scopus)

  15 Downloads (Pure)

• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails

  Heiny, J. & Mikosch, T., 2019, I: Bernoulli. 25, 4 B, s. 3590-3622 33 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Stochastic Volatility Model 100%
  • Heavy Tail 100%
  • Sample Covariance Matrix 100%
  • Eigenvalue 50%
  • Eigenvector 50%
  1 Citationer (Scopus)
• 2018

  Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices

  Heiny, J. & Mikosch, T. V., aug. 2018, I: Stochastic Processes and Their Applications. 128, 8, s. 2779-2815 37 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Almost Sure Convergence 100%
  • Sample Correlation Matrix 100%
  • Correlation Matrix 100%
  • Self-normalized Sums 20%
  • Extreme Eigenvalues 20%

• Applications of distance correlation to time series

  Davis, R., Matsui, M., Mikosch, T. V. & Wan, P., nov. 2018, I: Bernoulli. 24, 4A, s. 3087-3116

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Distance Correlation 100%
  • Empirical Characteristic Function 100%
  • Strong Mixing 50%
  • Cross-sectional Dependence 33%
  • Cross-Distance 33%
  20 Citationer (Scopus)

• The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model

  Janßen, A., Mikosch, T. V., Rezapour Toughari, M. & Xie, X., maj 2018, I: Bernoulli. 24, 2, s. 1351-1393

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Stochastic Volatility Model 100%
  • Limiting Behavior 100%
  • Volatility 100%
  • Sample Covariance Matrix 100%
  • Eigenvalues 100%
  4 Citationer (Scopus)
• 2017

  Distance correlation for stochastic processes

  Matsui, M., Mikosch, T. V. & Samorodnitsky, G., 2017, I: Probability and Mathematical Statistics. 37, 12, s. 355-372

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Stochastic Processes 100%
  • Distance Correlation 100%
  • Distance Covariance 100%
  • Stochastic Process 100%
  • Covariance 100%

• Distance covariance for stochastic processes

  Matsui, M., Mikosch, T. V. & Samorodnitsky, G., 2017, I: Probability and Mathematical Statistics. 37, 2, s. 355-372 18 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Stochastic Processes 100%
  • Distance Covariance 100%
  • Stochastic Process 100%
  • Covariance 100%
  • Random Vector 50%
  2 Citationer (Scopus)

  14 Downloads (Pure)

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

  Heiny, J. & Mikosch, T. V., jul. 2017, I: Stochastic Processes and Their Applications. 127, 7, s. 2179-2242

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Eigenvalue 100%
  • Sample Covariance Matrix 100%
  • Eigenvector 100%
  • Polynomial Rate 25%
  • Basis Vectors 25%
  5 Citationer (Scopus)
• 2016

  A large deviations approach to limit theory for heavy-tailed time series

  Mikosch, T. V. & Wintenberger, O., 1 okt. 2016, I: Probability Theory and Related Fields. 166, s. 233-269

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Functionals 100%
  • Recurrence Equation 33%
  • Supremum 33%
  • Point Process 33%
  • Stochastic Volatility Model 33%
  12 Citationer (Scopus)

• Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series

  Davis, R. A., Mikosch, T. V. & Pfaffel, O., mar. 2016, I: Stochastic Processes and Their Applications. 126, 3, s. 767–799

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Sample Covariance Matrix 100%
  • Largest Eigenvalue 100%
  • Joint Convergence 50%
  • Input Noise 25%
  • Point Process Convergence 25%
  7 Citationer (Scopus)

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

  Davis, R., Heiny, J., Mikosch, T. V. & Xie, X., 1 sep. 2016, I: Extremes. 19, 3, s. 517-547

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Ordered Eigenvalues 100%
  • Largest Order Statistics 49%
  • Finite-infinite 49%
  • Sample Autocovariance Matrix 49%
  • Stock Index 49%
  11 Citationer (Scopus)

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

  Buraczewski, D., Damek, E. & Mikosch, T. V., 2016, New York: Springer. 320 s. (Operations Research and Financial Engineering). (Springer Series in Operations Research and Financial Engineering).

  Publikation: Bog/antologi/afhandling/rapport › Bog › Forskning › peer review

  6 Citationer (Scopus)

• The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process

  Matsui, M. & Mikosch, T. V., 2016, I: Advances in Applied Probability. 48 , A, s. 217 - 233

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • GARCH (1,1) Model 100%
  • Extremogram 100%
  • Bivariate 100%
  • Generalized Autoregressive Conditional Heteroskedasticity 100%
  • Behavior (Neuroscience) 100%
  5 Citationer (Scopus)
• 2015

  Exact simulation of Brown-Resnick random fields at a finite number of locations

  Dieker, T. & Mikosch, T. V., 1 jun. 2015, I: Extremes. 18, s. 301-314

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Random Field 100%
  • Finite Number 100%
  • Max-stable 50%
  • Field Construction 50%
  55 Citationer (Scopus)

• The Integrated periodogram of a dependent extremal event sequence

  Mikosch, T. V. & Zhao, Y., 1 aug. 2015, I: Stochastic Processes and Their Applications. 125, 8, s. 3126-3169

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Periodogram 100%
  • Extremal 100%
  • Integrated Periodogram 100%
  • Indicator Function 66%
  • Gaussian Process 33%
  6 Citationer (Scopus)
• 2014

  A Fourier analysis of extreme events

  Mikosch, T. V. & Zhao, Y., maj 2014, I: Bernoulli. 20, 2, s. 803-845

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Periodogram 100%
  • Fourier Analysis 100%
  • Correlogram 66%
  • Indicator Function 33%
  • Fourier Frequency 33%
  6 Citationer (Scopus)

  52 Downloads (Pure)

• Aggregation of log-linear risks

  Embrechts, P., Hashorva, E. & Mikosch, T. V., 1 dec. 2014, I: Journal of Applied Probability. 51A, s. 203-212

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Log-linear 100%
  • Dimensional Vector 100%
  • Stochastic Volatility 100%
  • Positive Risk 50%
  • Aggregate Risk 50%
  11 Citationer (Scopus)

  455 Downloads (Pure)

• General inverse problems for regular variation

  Damek, E., Mikosch, T. V., Rosinski, J. & Samorodnitsky, G., 1 dec. 2014, I: Journal of Applied Probability. 51A, s. 229-248

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Regular Variation 100%
  • Inverse Problem 100%
  • Random Structure 33%
  • Linear Transformation 16%
  • Random Item 16%
  6 Citationer (Scopus)

  434 Downloads (Pure)

• The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains

  Mikosch, T. V. & Wintenberger, O., jun. 2014, I: Probability Theory and Related Fields. 159, s. 157-196

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Partial Sum 100%
  • Stationary Sequence 100%
  • Variance 100%
  • Markov Chain 100%
  • Multivariate Markov Chains 100%
  14 Citationer (Scopus)
• 2013

  Estimation of the tail index for lattice-valued sequences

  Matsui, M., Mikosch, T. V. & Tafakori, L., dec. 2013, I: Extremes. 16, s. 429-455

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  2 Citationer (Scopus)

• Fractional moments of solutions to stochastic recurrence equations

  Mikosch, T. V., Matsui, M. & Tafakori, L., dec. 2013, I: Journal of Applied Probability. 50, s. 969-982

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Fractional Moments 100%
  • Numerical Analysis 50%
  • Stationary Solution 50%
  • Erlang Distribution 50%
  8 Citationer (Scopus)

• Heavy tails of OLS

  Mikosch, T. V. & de Vries, C., feb. 2013, I: Journal of Econometrics. 172, 2, s. 205-221

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  5 Citationer (Scopus)

• Large deviations for solutions to stochastic recurrence equations under Kesten's condition

  Buraczewski, D., Damek, E., Mikosch, T. V. & Zienkiewicz, J., 2013, I: Annals of Probability. 41, 4, s. 2755-2790

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Recurrence Equation 100%
  • Partial Sum 100%
  • Stochastics 100%
  • Probability Theory 50%
  • Deviation Result 50%
  10 Citationer (Scopus)

• Measures of serial extremal dependence and their estimation

  Davis, R. A., Mikosch, T. V. & Zhao, Y., 2013, I: Stochastic Processes and Their Applications. 123, 7, s. 2575-2602

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Max-stable Process 100%
  • Regular Variation 38%
  • Extremal Values 33%
  • Strictly Stationary Process 33%
  • Stationary Sequence 19%
  27 Citationer (Scopus)

• Precise large deviations for dependent regularly varying sequences

  Mikosch, T. & Wintenberger, O., aug. 2013, I: Probability Theory and Related Fields. 156, 3-4, s. 851-887

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Recurrence Equation 100%
  • Random Variable 100%
  • Variance 100%
  • Stochastic Volatility Model 100%
  • Real Valued Function 100%
  15 Citationer (Scopus)

• Precise large deviations for dependent regularly varying sequences.

  Mikosch, T. V. & Wintenberger, O., aug. 2013, I: Probability Theory and Related Fields. 156, s. 851-887

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Precise Large Deviations 100%
  • Real Valued Function 100%
  • Large Deviation Principle 100%
  • Real-valued Functions 33%
  • Infinite Variance Stable Limit 33%
  15 Citationer (Scopus)

• Stochastic volatility models with possible extremal clustering

  Mikosch, T. V. & Rezapur, M., 2013, I: Bernoulli. 19, 5A, s. 1688-1713

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Stochastic Volatility Model 100%
  • Extremal 100%
  • Clustering 100%
  • Extremal Clustering 100%
  • Gaussian Distribution 66%
  12 Citationer (Scopus)

• The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes

  Mikosch, T. V. & Moser, M., jun. 2013, I: Probability Theory and Related Fields. 156, s. 249-272

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  1 Citationer (Scopus)
• 2012

  Towards estimating extremal serial dependence via the bootstrapped extremogram.

  Mikosch, T. V., sep. 2012, I: Journal of Econometrics. 170, s. 142-152

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Extremal 100%
  • Serial Dependence 100%
  • Extremogram 100%
  • Confidence Band 50%
  • Statistical Property 50%
  30 Citationer (Scopus)
• 2011

  A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation

  Mikosch, T. V., Pawlas, Z. & Samorodnitsky, G., aug. 2011, I: Journal of Applied Probability. 48A, s. 133-144

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  2 Citationer (Scopus)

• Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets

  Mikosch, T. V., Pawlas, Z. & Samorodnitsky, G., 2011, I: Vestnik St Petersburg University - Mathematics. 2011, 2, s. 70-78

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

• New Frontiers in Applied Probability: A Festschrift for Soeren Asmussen

  Mikosch, T. V., Glynn, P. & Rolski, T., aug. 2011, Sheffield, U.K.: Applied Probability Trust. 390 s. (Journal of Applied Probability, Bind Special Volume 48A).

  Publikation: Bog/antologi/afhandling/rapport › Antologi › Forskning › peer review

• Stable limits for sums of dependent infinite variance random variables

  Bartkiewicz, K., Jakubowski, A., Mikosch, T. & Wintenberger, O., aug. 2011, I: Probability Theory and Related Fields. 150, 3-4, s. 337-372

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Random Variables 100%
  • Infinite Variance 100%
  • Random Variable 100%
  • Variance 100%
  • Strictly Stationary Process 50%
  38 Citationer (Scopus)

• Stable limits for sums of dependent infinite variance random variables.

  Bartkiewicz, K., Jakubowski, A., Mikosch, T. V. & Wintenberger, O., aug. 2011, I: Probability Theory and Related Fields. 150, s. 337-372

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  38 Citationer (Scopus)
• 2010

  Prediction in a Poisson cluster model

  Mikosch, T. V. & Matsui, M., jun. 2010, I: Journal of Applied Probability. 47, s. 350-366

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  • Clustered Process 100%
  • Poisson Cluster Process 100%
  • Compound Poisson Process 100%
  • Finite Interval 100%
  • Arrival Time 100%
  8 Citationer (Scopus)

• Prediction of outstanding payments in a Poisson cluster model

  Mikosch, T. V., Samorodnitsky, G. & Jessen, A. H., 2010, I: Scandinavian Actuarial Journal. 2010, s. 1651-2030

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

• The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution

  Mikosch, T. V. & Rackauskas, A., nov. 2010, I: Bernoulli. 16, 4, s. 1016-1038 23 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  11 Citationer (Scopus)

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

  Can, U., Mikosch, T. V. & Samorodnitsky, G., nov. 2010, I: Bernoulli. 16, 4, s. 995-1015 21 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  3 Citationer (Scopus)
• 2009

  Extremes of stochastic volatility models

  Mikosch, T. V. & Davis, R. A., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J.-P. & Mikosch, T. (red.). Berlin, Heidelberg: Springer, s. 355-364

  Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Forskning

• Extreme value theory for GARCH processes

  Mikosch, T. V., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J.-P. & Mikosch, T. (red.). Berlin, Heidelberg: Springer, s. 187-200

  Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Forskning

• Handbook of Financial Time Series

  Mikosch, T. V. (Redaktør), Andersen, T. G. (Redaktør), Davis, R. A. (Redaktør) & Kreiss, J.-P. (Redaktør), 2009, Berlin, Heidelberg: Springer. 1050 s.

  Publikation: Bog/antologi/afhandling/rapport › Antologi › Forskning › peer review

• Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures, and identification of stable laws.

  Mikosch, T. V., Jacobsen, M., Rosinski, J. & Samorodnitsky, G., 2009, I: Annals of Applied Probability. 19, 1, s. 210-242 33 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  15 Citationer (Scopus)

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

  Mikosch, T. V., 2009, Springer. 432 s.

  Publikation: Bog/antologi/afhandling/rapport › Bog › Forskning › peer review

• Prediction of outstanding payments in a Poisson cluster model

  Mikosch, T. V., Jessen, A. H. & Samorodnitsky, G., 2009, 24 s.

  Publikation: Working paper › Forskning

• Probabilistic properties of stochastic volatility models

  Mikosch, T. V. & Davis, R. A., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J.-P. & Mikosch, T. (red.). Berlin, Heidelberg: Springer, s. 255-268

  Publikation: Bidrag til bog/antologi/rapport › Encyclopædiartikel › Forskning

• The extremogram: a correlogram for extreme events.

  Davis, R. A. & Mikosch, T. V., 2009, I: Bernoulli. 195, 4, s. 977-1009

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  99 Citationer (Scopus)

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

  Mikosch, T. V., Can, S. U. & Samorodnitsky, G., 2009, 21 s.

  Publikation: Working paper › Forskning
• 2008

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

  Mikosch, T. V. & Davis, R. A., 2008, I: Stochastic Processes and Their Applications. 118, s. 560-584 25 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review

  38 Citationer (Scopus)

• Inverse problems for regular variation of linear filters, a cancellation property for sigma-finite measures, and identification of stable laws.

  Mikosch, T. V., Jacobsen, M. S. B., Rosinski, J. & Samorodnitsky, G., 2008, 25 s.

  Publikation: Working paper › Forskning

• Tail behavior of random products and stochastic exponentials.

  Mikosch, T. V. & Cohen, S., 2008, I: Stochastic Processes and Their Applications. 118, s. 333--345 13 s.

  Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › peer review