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Mathematics
Denmark
2026

D-Index & Metrics

Mathematics

D-Index
57
Citations
36103
World Ranking
660
National Ranking
4

Research.com Recognitions

  • 2026 - Research.com Mathematics in Denmark Leader Award
  • 2025 - Research.com Mathematics in Denmark Leader Award

Overview

Thomas Mikosch is affiliated with the University of Copenhagen in Denmark. Their research primarily spans the fields of Economics, Econometrics and Finance, as well as Mathematics. The scientist focuses on the subfields of Finance, Mathematical Physics, Statistics and Probability, Economics and Econometrics, and Management Science and Operations Research.

The main research topics covered by Thomas Mikosch include:

  • Financial Risk and Volatility Modeling
  • Stochastic processes and financial applications
  • Stochastic processes and statistical mechanics
  • Probability and Risk Models
  • Complex Systems and Time Series Analysis
  • Bayesian Methods and Mixture Models
  • Statistical Methods and Inference

The recent publications of Thomas Mikosch feature the following works:

  • Changes of structure in financial time series and the Garch model, 2022, Revstat-statistical Journal
  • Some variations on the extremal index, 2021, arXiv (Cornell University)
  • Some Variations on the Extremal Index, 2023, Journal of Mathematical Sciences
  • Tail behavior of ACD models and consequences for likelihood-based estimation, 2023, Journal of Econometrics
  • Distance covariance for discretized stochastic processes, 2020, Bernoulli

Thomas Mikosch has frequently collaborated with several co-authors, including:

  • Olivier Wintenberger
  • Muneya Matsui
  • Gloria Buriticá
  • Giuseppe Cavaliere
  • Anders Rahbek

The scientist's work has appeared regularly in publication venues such as:

  • arXiv (Cornell University)
  • Stochastic Processes and their Applications
  • Bernoulli
  • The Annals of Applied Probability
  • HAL (Le Centre pour la Communication Scientifique Directe)

In addition to articles, Thomas Mikosch has contributed to book publications, including a work published by Springer International Publishing:

  • Extreme Value Theory for Time Series, 2024

Best Publications

  • Modelling Extremal Events: for Insurance and Finance

    Paul Embrechts;Thomas Mikosch;Claudia Klüppelberg

  • Weak Convergence and Empirical Processes

    Thomas Mikosch;Aad W. Van der Vaart;Jon A. Wellner

  • Modelling Extremal Events

    Paul Embrechts;Claudia Klüppelberg;Thomas Mikosch

  • Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

    Thomas Mikosch;Cătălin Stărică

  • Elementary stochastic calculus with finance in view

    Thomas Mikosch

  • Lévy processes : theory and applications

    O. E. Barndorff-Nielsen;Thomas Mikosch;Sidney Resnick

  • Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process

    Thomas Mikosch;Catalin Starica

  • Regular variation of GARCH processes

    Bojan Basrak;Richard A. Davis;Thomas Mikosch

  • Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach

    Daniel Straumann;Thomas Mikosch

  • Handbook of Financial Time Series

    Torben G Andersen;Richard A Davis;Jens-Peter Kreiss;Thomas Mikosch

  • Is network traffic approximated by stable Levy motion or fractional Brownian motion

    Thomas Mikosch;Sidney Resnick;Holger Rootzén;Alwin Stegeman

  • Copulas: Tales and facts

    Thomas Mikosch

  • Regularly varying functions

    Anders Hedegaard Jessen;Thomas Mikosch

  • The extremogram: a correlogram for extreme events

    Richard A. Davis;Thomas Valentin Mikosch

  • Changes of structure in financial time series and the GARCH model

    Thomas Mikosch;Catalin Starica

  • The sample autocorrelations of heavy-tailed processes with applications to ARCH

    Richard A. Davis;Thomas Mikosch

  • LARGE DEVIATIONS OF HEAVY-TAILED RANDOM SUMS WITH APPLICATIONS IN INSURANCE AND FINANCE

    C Kluppelberg;T Mikosch

  • PARAMETER-ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE INNOVATIONS

    Thomas Mikosch;Tamar Gadrich;Claudia Kluppelberg;Robert J. Adler

  • Non-Life Insurance Mathematics

    Thomas Mikosch

  • Large Deviations of Heavy-Tailed Sums with Applications in Insurance

    T. Mikosch;A.V. Nagaev

Frequent Co-Authors

Richard A. Davis
Richard A. Davis Columbia University
Gennady Samorodnitsky
Gennady Samorodnitsky Cornell University
Claudia Klüppelberg
Claudia Klüppelberg Technical University of Munich
Paul Embrechts
Paul Embrechts ETH Zurich
Sidney I. Resnick
Sidney I. Resnick Cornell University
Holger Rootzén
Holger Rootzén Chalmers University of Technology
Robert J. Adler
Robert J. Adler Technion – Israel Institute of Technology
Piotr Kokoszka
Piotr Kokoszka Colorado State University
Casper G. de Vries
Casper G. de Vries Erasmus University Rotterdam
Peter W. Glynn
Peter W. Glynn Stanford University

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