Research output per year
Research output per year
Personal profile
Keywords
- Faculty of Science
- Insurance mathemaics
- Applied probability theory
- Stochastic processes
- Time series analysis
- Extreme value theory
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Dive into the research topics where Thomas Valentin Mikosch is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 6 Similar Profiles
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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, In: Bernoulli. 25, 4A, p. 2949-2981Research output: Contribution to journal › Journal article › Research › peer-review
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The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
Heiny, J. & Mikosch, T., 2019, In: Bernoulli. 25, 4 B, p. 3590-3622 33 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
Heiny, J. & Mikosch, T. V., Aug 2018, In: Stochastic Processes and Their Applications. 128, 8, p. 2779-2815 37 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Applications of distance correlation to time series
Davis, R., Matsui, M., Mikosch, T. V. & Wan, P., Nov 2018, In: Bernoulli. 24, 4A, p. 3087-3116Research output: Contribution to journal › Journal article › Research › peer-review
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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., May 2018, In: Bernoulli. 24, 2, p. 1351-1393Research output: Contribution to journal › Journal article › Research › peer-review
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Distance correlation for stochastic processes
Matsui, M., Mikosch, T. V. & Samorodnitsky, G., 2017, In: Probability and Mathematical Statistics. 37, 12, p. 355-372Research output: Contribution to journal › Journal article › Research › peer-review
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Distance covariance for stochastic processes
Matsui, M., Mikosch, T. V. & Samorodnitsky, G., 2017, In: Probability and Mathematical Statistics. 37, 2, p. 355-372 18 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case.
Heiny, J. & Mikosch, T. V., Jul 2017, In: Stochastic Processes and Their Applications. 127, 7, p. 2179-2242Research output: Contribution to journal › Journal article › Research › peer-review
Activities
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Bernoulli (Journal)
Mikosch, T. V. (Editor)
1 Jan 2012 → 31 Dec 2015Activity: Publication peer-review and editorial work types › Editor of Series › Research
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Habilitation Committee for Christian-Yann Robert, Universite Paris Dauphine (External organisation)
Mikosch, T. V. (Member)
1 Nov 2009 → 30 Nov 2009Activity: Membership types › Membership in review committee
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PhD Committee for Jens Svensson, KTH Stockholm (External organisation)
Mikosch, T. V. (Member)
1 Oct 2009 → 30 Oct 2009Activity: Membership types › Membership in review committee
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Stochastic Processes and Their Applications (Journal)
Mikosch, T. V. (Editor)
1 Apr 2009 → 31 Mar 2012Activity: Publication peer-review and editorial work types › Editor of Research journal › Research
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Institute of Mathematical Statistics (External organisation)
Mikosch, T. V. (Member)
31 Jan 2005 → …Activity: Membership types › Membership in committee, council, board
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Royal Danish Academy for Sciences and Letters (External organisation)
Mikosch, T. V. (Member)
31 Jan 2004 → …Activity: Membership types › Membership in committee, council, board
Press/Media
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Die Rolle der Finanzmathematik bei der Finanzkrse(IQ)
12/01/2010
1 Media contribution
Press/Media: Press / Media