mikosch
Københavns Universitet
H-index: 55
Europe-Denmark
Top articles of mikosch
Title | Journal | Author(s) | Publication Date |
|---|---|---|---|
Multitask ECODEP Conference IHP February 12-14, 2024 | Félix Cheysson Imma Curato Herold Dehling Konstantinos Fokianos Guillaume Franchi | 2024/2/12 | |
Tail behavior of ACD models and consequences for likelihood-based estimation | Journal of Econometrics | Giuseppe Cavaliere Thomas Mikosch Anders Rahbek Frederik Vilandt | 2024/1/1 |
Self-normalized partial sums of heavy-tailed time series | arXiv preprint arXiv:2303.17221 | Muneya Matsui Thomas Mikosch Olivier Wintenberger | 2023/3/30 |
Whittle estimation based on the extremal spectral density of a heavy-tailed random field | Stochastic Processes and their Applications | Ewa Damek Thomas Mikosch Yuwei Zhao Jacek Zienkiewicz | 2023/1/1 |
Asymptotics for the Generalized Autoregressive Conditional Duration Model | arXiv preprint arXiv:2307.01779 | Giuseppe Cavaliere Thomas Mikosch Anders Rahbek Frederik Vilandt | 2023/7/4 |
Some Variations on the Extremal Index | Journal of Mathematical Sciences | G Buriticá N Meyer T Mikosch O Wintenberger | 2023/7 |
Large deviations of lp-blocks of regularly varying time series and applications to cluster inference | Á Gloria Buritic Thomas Mikosch Olivier Wintenberger | 2022/7/20 | |
The Econometrics of Financial Duration Modeling | arXiv preprint arXiv:2208.02098 | Giuseppe Cavaliere Thomas Mikosch Anders Rahbek Frederik Vilandt | 2022/8/3 |
Modern extreme value theory at the interface of risk management, Bayesian networks and heavy-tailed time series | Paul Embrechts Claudia Klüppelberg Thomas Mikosch | 2022/8/3 | |
Distance covariance for random fields | Stochastic Processes and their Applications | Muneya Matsui Thomas Mikosch Rasool Roozegar Laleh Tafakori | 2022/4/28 |
ЗАПИСКИ НАУЧНЫХ СЕМИНАРОВ САНКТ-ПЕТЕРБУРГСКОГО ОТДЕЛЕНИЯ МАТЕМАТИЧЕСКОГО ИНСТИТУТА ИМ. ВА СТЕКЛОВА РАН | ЗАПИСКИ НАУЧНЫХ СЕМИНАРОВ САНКТ-ПЕТЕРБУРГСКОГО ОТДЕЛЕНИЯ МАТЕМАТИЧЕСКОГО ИНСТИТУТА ИМ. ВА СТЕКЛОВА РАН Учредители: Санкт-Петербургское отделение Математического института им. ВА Стеклова | AG GUSAKOVA E SPODAREV D ZAPOROZHETS | 2022 |
Large sample autocovariance matrices of linear processes with heavy tails | Stochastic Processes and their Applications | Johannes Heiny Thomas Mikosch | 2021/11/1 |
Threshold selection for cluster inference based on large deviation principles | arXiv preprint arXiv:2106.12822 | Gloria Buriticá Thomas Mikosch Olivier Wintenberger | 2021/6/23 |
Precise large deviations for dependent subexponential variables | Thomas Mikosch Igor Rodionov | 2021/5 | |
THE ANNALS | The Annals of Probability | PETER K FRIZ PAVEL ZORIN-KRANICH XIN CHEN XUEMEI LI BO WU | 2023/3 |
Point process convergence for the off-diagonal entries of sample covariance matrices | Johannes Heiny Thomas Mikosch Jorge Yslas | 2021/4 | |
Homogeneous mappings of regularly varying vectors | The Annals of Applied Probability | Piotr Dyszewski Thomas Mikosch | 2020/12/1 |
Distance covariance for discretized stochastic processes | Herold Dehling Muneya Matsui Thomas Mikosch Gennady Samorodnitsky Laleh Tafakori | 2020/11/1 | |
Gumbel and Fréchet convergence of the maxima of independent random walks | Advances in Applied Probability | Thomas Mikosch Jorge Yslas | 2020/3 |
Supplement to “Distance covariance for discretized stochastic processes.” | HEROLD Dehling MUNEYA Matsui THOMAS Mikosch GENNADY Samorodnitsky LALEH Tafakori | 2020 |
