Thomas Valentin Mikosch

Phone+4535330414
Emailmikoschmath.kudk
Websitehttp://www.math.ku.dk/~mikosch/, https://www.math.ku.dk/~mikosch/

Universitetsparken 5
2100 København Ø

Keywords

Faculty of Science
Insurance mathemaics
Applied probability theory
Stochastic processes
Time series analysis
Extreme value theory

72 Journal article
17 Working paper
4 Anthology
4 Book
More
- 4 Book chapter
- 4 Encyclopedia chapter

A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”
Cavaliere, G., Mikosch, T. V., Rahbek, A. & Rasmussen, F. V., Mar 2025, In: Econometrica. 93, 2, p. 719-729
Research output: Contribution to journal › Journal article › Research › peer-review

Open Access
File

8 Downloads (Pure)
Extreme Value Theory for Time Series: Models with Power-Law Tails
Mikosch, T. & Wintenberger, O., 2024, Springer Nature. 743 p. (Springer Series in Operations Research and Financial Engineering, Vol. Part F3273).
Research output: Book/Report › Book › Research

3 Citations (Scopus)
Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation
Cavaliere, G., Mikosch, T. V., Rahbek, A. & Rasmussen, F. V., 2024, In: Journal of Econometrics. 238, 2, 14 p., 105613.
Research output: Contribution to journal › Journal article › Research › peer-review

Open Access
File

2 Citations (Scopus)

39 Downloads (Pure)
Large deviations of ℓ^p-blocks of regularly varying time series and applications to cluster inference
Buriticá, G., Mikosch, T. & Wintenberger, O., 2023, In: Stochastic Processes and Their Applications. 161, p. 68-101
Research output: Contribution to journal › Journal article › Research › peer-review

File

2 Citations (Scopus)

15 Downloads (Pure)
Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series
Embrechts, P., Klüppelberg, C. & Mikosch, T., 2023, Mathematics Going Forward: Collected Mathematical Brushstrokes. Springer, p. 115-139 25 p. (Lecture Notes in Mathematics, Vol. 2313).
Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review

1 Citation (Scopus)
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
Damek, E., Mikosch, T., Zhao, Y. & Zienkiewicz, J., 2023, In: Stochastic Processes and Their Applications. 155, p. 232-267
Research output: Contribution to journal › Journal article › Research › peer-review

File

1 Citation (Scopus)

22 Downloads (Pure)
Distance covariance for random fields
Matsui, M., Mikosch, T., Roozegar, R. & Tafakori, L., 2022, In: Stochastic Processes and Their Applications. 150, p. 280-322 43 p.
Research output: Contribution to journal › Journal article › Research › peer-review

File

10 Downloads (Pure)
Some variations on the extremal index
Buriticá, G., Meyer, N. B., Mikosch, T. V. & Wintenberger, O., 2022, In: Zapiski Nauchnykh Seminarov POMI. 501, p. 52–77
Research output: Contribution to journal › Journal article › Research › peer-review

Open Access
File

33 Downloads (Pure)

2 Membership in committee, council, board
2 Membership in review committee
1 Editor of Research journal
1 Editor of Series

Bernoulli (Journal)
Mikosch, T. V. (Editor)
1 Jan 2012 → 31 Dec 2015
Activity: Peer-review and editorial work types › Editor of Series › Research
University Paris-Dauphine (External organisation)
Mikosch, T. V. (Member)
1 Nov 2009 → 30 Nov 2009
Activity: Membership types › Membership in review committee
PhD Assessment Committee (External organisation)
Mikosch, T. V. (Member)
1 Oct 2009 → 30 Oct 2009
Activity: Membership types › Membership in review committee
Stochastic Processes and Their Applications (Journal)
Mikosch, T. V. (Editor)
1 Apr 2009 → 31 Mar 2012
Activity: Peer-review and editorial work types › Editor of Research journal › Research
Institute of Mathematical Statistics (External organisation)
Mikosch, T. V. (Member)
31 Jan 2005 → …
Activity: Membership types › Membership in committee, council, board
Royal Danish Academy for Sciences and Letters (External organisation)
Mikosch, T. V. (Member)
31 Jan 2004 → …
Activity: Membership types › Membership in committee, council, board

Die Rolle der Finanzmathematik bei der Finanzkrse(IQ)
Mikosch, T. V.
12/01/2010
1 Media contribution
Press/Media: Press / Media

Thomas Valentin Mikosch

Personal profile

Keywords

Collaborations and top research areas from the last five years

Dive into details

A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”

Extreme Value Theory for Time Series: Models with Power-Law Tails

Tail Behavior of ACD Models and Consequences for Likelihood-Based Estimation

Large deviations of ℓ^p-blocks of regularly varying time series and applications to cluster inference

Modern Extreme Value Theory at the Interface of Risk Management, Bayesian Networks and Heavy-Tailed Time Series

Whittle estimation based on the extremal spectral density of a heavy-tailed random field

Distance covariance for random fields

Some variations on the extremal index

Bernoulli (Journal)

University Paris-Dauphine (External organisation)

PhD Assessment Committee (External organisation)

Stochastic Processes and Their Applications (Journal)

Institute of Mathematical Statistics (External organisation)

Royal Danish Academy for Sciences and Letters (External organisation)

Die Rolle der Finanzmathematik bei der Finanzkrse(IQ)

Thomas Valentin Mikosch

Personal profile

Keywords

Collaborations and top research areas from the last five years

Research output

Activities

Press/Media