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Affiliation: University of Copenhagen
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Handbook of Financial Time Series 2009
Andersen, Torben G.
Mikosch, Thomas
Kreiss, Jens-Peter
Davis, Richard A.
This handbook presents a collection of survey articles from a statistical as well as an econometric point of view on the broad and still rapidly devel...
Copulas: Tales and Facts - Rejoinder 2006
Mikosch, Thomas
This discussion is only the beginning of an honest analysis of thepros and cons of the use of multivariate distributions with non-symmetric marginals....
Copulas: Tales and Facts 2006
Mikosch, Thomas
The main purpose of this paper is to ask some nave questions about the fast ascent of copulatechnology that has become so fashionable. My main conce...
Modeling Dependence and Tails of Financial Time Series 2002
Mikosch, Thomas
The aim of this paper is to dicuss the interplay between the tail behavior and the dependence structure of financial data. We start by discovering so...
How to Model Multivariate Extremes if One Must? 2004
Mikosch, Thomas
In this paper we discuss some approaches to modeling extremely largevalues in multivariate time series. In particular, we discuss the notionof multiva...
Modelling Extremal Events for Insurance and Finance 2000
Embrechts, Paul
Kluppelberg, Claudia
Mikosch, Thomas
Both in insurance and finance applications, questions involving extremal events (such as large insurance claims, large fluctuations in financial data,...
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