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Author ID: mikosch.thomas Recent zbMATH articles by "Mikosch, Thomas"
Published as: Mikosch, Thomas; Mikosch, T.; Mikosch, Thhomas
External Links: MGP · Wikidata · IdRef
all top 5

Co-Authors

29 single-authored
22 Davis, Richard A.
15 Samorodnitsky, Gennady Pinkhosovich
11 Klüppelberg, Claudia
9 Embrechts, Paul
7 Matsui, Muneya
6 Heiny, Johannes
5 Norvaiša, Rimas
5 Resnick, Sidney Ira
5 Wintenberger, Olivier
4 Dehling, Herold G.
4 Tafakori, Laleh
3 Basrak, Bojan
3 Damek, Ewa
3 Rezapour, Mohsen
3 Rootzén, Holger
3 Stărică, Cătălin
3 Straumann, Daniel
3 Zhao, Yuwei
2 Aebi, Markus
2 Buraczewski, Dariusz
2 Dieker, A. B.
2 Jessen, Anders Hedegaard
2 Kokoszka, Piotr S.
2 Nagaev, Alexander Viktorovich
2 Rosiński, Jan
2 Xie, Xiaolei
2 Yslas, Jorge
1 Adler, Robert Joseph
1 Amosova, N. N.
1 Andersen, Torben G.
1 Barndorff-Nielsen, Ole Eiler
1 Bartkiewicz, Katarzyna
1 Blanchet, Jose H.
1 Braverman, Michael Sh.
1 Can, Sami Umut
1 Christoph, Gerd
1 Cohen, Serge
1 Coles, Stuart G.
1 Cribben, Ivor
1 Dabrowski, André Robert
1 de Vries, Casper George
1 Dyszewski, Piotr
1 Faÿ, Gilles
1 Finkenstädt, Bärbel F.
1 Fougères, Anne-Laure
1 Gadrich, Tamar
1 Glynn, Peter W.
1 González-Arévalo, Bárbara
1 Hashorva, Enkelejd
1 Heinrich, Lothar
1 Hult, Henrik
1 Hüsler, Jürg
1 Jacobsen, Martin
1 Jakubowski, Adam
1 Janßen, Anja
1 Konstantinides, Dimitrios G.
1 Kreiß, Jens-Peter
1 Lindskog, Filip
1 Liu, Zhipeng
1 Macht, Wolfgang
1 Moser, Martin
1 Paditz, Ludwig
1 Patton, Andrew J.
1 Pawlas, Zbyněk
1 Pfaffel, Oliver
1 Račkauskas, Alfredas Yurgevich
1 Richter, Wolf-Dieter
1 Rolski, Tomasz
1 Roozegar, Rasool
1 Sasvári, Zoltán
1 Sazonov, Vyacheslav Vasil’evich
1 Schärf, Anette
1 Sharipov, Olimjon Shukurovich
1 Siegel, Gerhard
1 Skovoroda, Boris
1 Smith, Richard L.
1 Sorensen, Michael
1 Stegeman, Alwin
1 Ul’yanov, Vladimir Vasil’evich
1 Vares, Maria Eulalia
1 Wan, Phyllis
1 Wang, Qiang
1 Wolf, Werner
1 Yor, Marc
1 Zienkiewicz, Jacek
all top 5

Serials

24 Stochastic Processes and their Applications
14 Bernoulli
9 The Annals of Applied Probability
7 Journal of Applied Probability
6 The Annals of Statistics
6 Probability Theory and Related Fields
6 Extremes
5 The Annals of Probability
3 Advances in Applied Probability
3 Teoriya Veroyatnosteĭ i eë Primeneniya
3 Oberwolfach Reports
2 Analysis Mathematica
2 Lithuanian Mathematical Journal
2 Theory of Probability and its Applications
2 Journal of Econometrics
2 Journal of Multivariate Analysis
2 Mathematische Nachrichten
2 Monatshefte für Mathematik
2 Probability and Mathematical Statistics
2 Universitext
1 Journal of Statistical Physics
1 Scandinavian Journal of Statistics
1 Vestnik Leningradskogo Universiteta. Matematika, Mekhanika, Astronomiya
1 Journal of Statistical Planning and Inference
1 Mathematics of Operations Research
1 Publications de l’Institut Mathématique. Nouvelle Série
1 Scandinavian Actuarial Journal
1 Statistica Neerlandica
1 Zeitschrift für Analysis und ihre Anwendungen
1 Insurance Mathematics & Economics
1 Statistics & Probability Letters
1 Communications in Statistics. Stochastic Models
1 Statistics
1 Journal of Theoretical Probability
1 Queueing Systems
1 Mitteilungen. Schweizerische Vereinigung der Versicherungsmathematiker (SVVM)
1 Litovskiĭ Matematicheskiĭ Sbornik
1 Wissenschaftliche Zeitschrift der Technischen Universität Dresden
1 Scandinavian Actuarial Journal
1 REVSTAT
1 Monographs on Statistics and Applied Probability
1 Advanced Series on Statistical Science & Applied Probability
1 European Actuarial Journal
1 Applications of Mathematics
1 Springer Series in Operations Research and Financial Engineering

Publications by Year

Citations contained in zbMATH Open

120 Publications have been cited 3,777 times in 2,657 Documents Cited by Year
Modelling extremal events for insurance and finance. Zbl 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
Regular variation of GARCH processes. Zbl 1060.60033
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
158
2002
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
118
2006
Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Zbl 1105.62374
Mikosch, Thomas; Stărică, Cătălin
113
2000
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
99
2002
The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092
Davis, Richard A.; Mikosch, Thomas
93
1998
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
88
1997
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
81
1998
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
76
2002
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
Mikosch, Thomas; Samorodnitsky, Gennady
69
2000
Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
69
2016
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
67
2006
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J.
65
1995
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
59
1995
Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002
Mikosch, Thomas
55
2009
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
53
2009
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
50
2005
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
46
2015
Non-life insurance mathematics. An introduction with stochastic processes. Zbl 1033.91019
Mikosch, Thomas
42
2004
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
41
2006
Lévy processes. Theory and applications. Zbl 0961.00012
40
2001
Random quadratic forms and the bootstrap for \(U\)-statistics. Zbl 0815.62028
Dehling, Herold; Mikosch, Thomas
31
1994
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
30
2005
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
28
1998
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
27
2011
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
26
2006
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
26
2008
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
Mikosch, Thomas; Samorodnitsky, Gennady
25
2000
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
25
2003
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
23
1995
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
22
2009
Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038
Davis, Richard A.; Mikosch, Thomas
21
2001
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, Richard A.; Mikosch, Thomas
21
2009
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
20
1996
Functional limit theorems for random quadratic forms. Zbl 0726.60030
Mikosch, T.
19
1991
Empirical process techniques for dependent data. Zbl 1005.00016
17
2002
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
17
2012
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
16
2013
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Zbl 1304.60034
Mikosch, Thomas; Wintenberger, Olivier
16
2014
The sample ACF of a simple bilinear process. Zbl 0997.60012
Basrak, B.; Davis, R. A.; Mikosch, T.
16
1999
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
16
2013
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
15
1997
Spectral estimates and stable processes. Zbl 0779.60023
Klüppelberg, Claudia; Mikosch, Thomas
15
1993
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
15
2011
Applications of distance correlation to time series. Zbl 1414.62357
Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis
15
2018
Long-range dependence effects and ARCH modeling. Zbl 1026.62113
Mikosch, Thomas; Stărică, Cătălin
14
2003
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023
Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei
14
2016
Changes of structure in financial time series and the GARCH model. Zbl 1132.62352
Mikosch, Thomas; Stărică, Cătălin
13
2004
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
13
2002
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
13
2004
Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws. Zbl 1171.60309
Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
13
2009
Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072
Mikosch, Thomas; Straumann, Daniel
13
2002
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
13
2016
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Zbl 1215.60018
Mikosch, Thomas; Račkauskas, Alfredas
12
2010
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
12
2009
Scaling limits for cumulative input processes. Zbl 1279.90033
Mikosch, Thomas; Samorodnitsky, Gennady
12
2007
The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556
Davis, Richard A.; Mikosch, Thomas
11
1999
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
11
2000
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
11
2013
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
11
2013
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017
Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver
11
2016
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
10
1994
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
10
2009
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
10
2017
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
10
2006
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
9
1991
Almost sure convergence of bootstrapped means and \(U\)-statistics. Zbl 0805.62049
Mikosch, T.
9
1994
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
9
2001
Strong laws of large numbers for fields of Banach space valued random variables. Zbl 0586.60007
Mikosch, T.; Norvaisa, R.
8
1987
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
7
2000
Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032
Mikosch, T.; Norvaiša, R.
7
1997
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
7
2010
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
6
2014
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
6
1996
Heavy-tailed modelling in insurance. Zbl 0916.62073
Mikosch, T.
6
1997
How to model multivariate extremes if one must? Zbl 1069.62042
Mikosch, Thomas
6
2005
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Zbl 1414.62368
Janssen, Anja; Mikosch, Thomas; Rezapour, Mohsen; Xie, Xiaolei
6
2018
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
6
2013
A Fourier analysis of extreme events. Zbl 1321.60110
Mikosch, Thomas; Zhao, Yuwei
5
2014
Poisson limits for \(U\)-statistics. Zbl 1059.60063
Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon
5
2002
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
5
2016
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set. Zbl 1428.62426
Liu, Zhipeng; Blanchet, Jose H.; Dieker, A. B.; Mikosch, Thomas
5
2019
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
4
1992
Periodogram estimates from heavy-tailed data. Zbl 0922.62090
Mikosch, T.
4
1998
A weak invariance principle for weighted \(U\)-statistics with varying kernels. Zbl 0788.60045
Mikosch, Thomas
4
1993
Distance covariance for discretized stochastic processes. Zbl 1462.62356
Dehling, Herold; Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
4
2020
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027
Heiny, Johannes; Mikosch, Thomas
4
2018
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195
Heiny, Johannes; Mikosch, Thomas
4
2019
General inverse problems for regular variation. Zbl 1314.60049
Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
3
2014
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
3
2000
Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078
Davis, Richard A.; Mikosch, Thomas
3
1998
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
3
2010
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
3
2017
The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081
Mikosch, Thomas; Zhao, Yuwei
2
2015
Estimates for tail probabilities of quadratic and bilinear forms in subgaussian random variables with applications to the law of the iterated logarithm. Zbl 0748.60022
Mikosch, T.
2
1991
A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation. Zbl 1235.60012
Mikosch, Thomas; Pawlas, Zbyněk; Samorodnitsky, Gennady
2
2011
A Monte Carlo method for estimating the correlation exponent. Zbl 1102.82319
Mikosch, T.; Wang, Qiang
2
1995
Heavy tails of OLS. Zbl 1443.62494
Mikosch, Thomas; de Vries, Casper G.
2
2013
On the law of the iterated logarithm for quadratic forms in independent Gaussian variables. Zbl 0635.60028
Mikosch, T.
2
1988
Large sample autocovariance matrices of linear processes with heavy tails. Zbl 1476.60014
Heiny, Johannes; Mikosch, Thomas
1
2021
Distance covariance for discretized stochastic processes. Zbl 1462.62356
Dehling, Herold; Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
4
2020
Homogeneous mappings of regularly varying vectors. Zbl 1477.60032
Dyszewski, Piotr; Mikosch, Thomas
1
2020
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set. Zbl 1428.62426
Liu, Zhipeng; Blanchet, Jose H.; Dieker, A. B.; Mikosch, Thomas
5
2019
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195
Heiny, Johannes; Mikosch, Thomas
4
2019
Heavy tails for an alternative stochastic perpetuity model. Zbl 1448.60115
Mikosch, Thomas; Rezapour, Mohsen; Wintenberger, Olivier
1
2019
Applications of distance correlation to time series. Zbl 1414.62357
Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis
15
2018
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Zbl 1414.62368
Janssen, Anja; Mikosch, Thomas; Rezapour, Mohsen; Xie, Xiaolei
6
2018
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027
Heiny, Johannes; Mikosch, Thomas
4
2018
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
10
2017
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
3
2017
Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
69
2016
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023
Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei
14
2016
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
13
2016
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017
Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver
11
2016
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
5
2016
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
46
2015
The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081
Mikosch, Thomas; Zhao, Yuwei
2
2015
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Zbl 1304.60034
Mikosch, Thomas; Wintenberger, Olivier
16
2014
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
6
2014
A Fourier analysis of extreme events. Zbl 1321.60110
Mikosch, Thomas; Zhao, Yuwei
5
2014
General inverse problems for regular variation. Zbl 1314.60049
Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
3
2014
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
16
2013
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
16
2013
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
11
2013
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
11
2013
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
6
2013
Heavy tails of OLS. Zbl 1443.62494
Mikosch, Thomas; de Vries, Casper G.
2
2013
The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes. Zbl 1282.60053
Mikosch, Thomas; Moser, Martin
2
2013
Estimation of the tail index for lattice-valued sequences. Zbl 1286.62049
Matsui, Muneya; Mikosch, Thomas; Tafakori, Laleh
1
2013
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
17
2012
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
27
2011
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
15
2011
A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation. Zbl 1235.60012
Mikosch, Thomas; Pawlas, Zbyněk; Samorodnitsky, Gennady
2
2011
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Zbl 1215.60018
Mikosch, Thomas; Račkauskas, Alfredas
12
2010
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
7
2010
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
3
2010
A tribute to Professor Kiyosi Itô. Zbl 1178.01066
Yor, M.; Vares, M. E.; Mikosch, T.
1
2010
Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002
Mikosch, Thomas
55
2009
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
53
2009
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
22
2009
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, Richard A.; Mikosch, Thomas
21
2009
Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws. Zbl 1171.60309
Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
13
2009
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
12
2009
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
10
2009
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
26
2008
Scaling limits for cumulative input processes. Zbl 1279.90033
Mikosch, Thomas; Samorodnitsky, Gennady
12
2007
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
118
2006
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
67
2006
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
41
2006
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
26
2006
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
10
2006
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
50
2005
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
30
2005
How to model multivariate extremes if one must? Zbl 1069.62042
Mikosch, Thomas
6
2005
Non-life insurance mathematics. An introduction with stochastic processes. Zbl 1033.91019
Mikosch, Thomas
42
2004
Changes of structure in financial time series and the GARCH model. Zbl 1132.62352
Mikosch, Thomas; Stărică, Cătălin
13
2004
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
13
2004
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
25
2003
Long-range dependence effects and ARCH modeling. Zbl 1026.62113
Mikosch, Thomas; Stărică, Cătălin
14
2003
Regular variation of GARCH processes. Zbl 1060.60033
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
158
2002
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
99
2002
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
76
2002
Empirical process techniques for dependent data. Zbl 1005.00016
17
2002
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
13
2002
Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072
Mikosch, Thomas; Straumann, Daniel
13
2002
Poisson limits for \(U\)-statistics. Zbl 1059.60063
Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon
5
2002
Lévy processes. Theory and applications. Zbl 0961.00012
40
2001
Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038
Davis, Richard A.; Mikosch, Thomas
21
2001
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
9
2001
The sample autocorrelations of financial time series models. Zbl 1053.62565
Davis, Richard A.; Mikosch, Thomas
1
2001
Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Zbl 1105.62374
Mikosch, Thomas; Stărică, Cătălin
113
2000
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
Mikosch, Thomas; Samorodnitsky, Gennady
69
2000
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
Mikosch, Thomas; Samorodnitsky, Gennady
25
2000
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
11
2000
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
7
2000
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
3
2000
The sample ACF of a simple bilinear process. Zbl 0997.60012
Basrak, B.; Davis, R. A.; Mikosch, T.
16
1999
The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556
Davis, Richard A.; Mikosch, Thomas
11
1999
The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092
Davis, Richard A.; Mikosch, Thomas
93
1998
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
81
1998
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
28
1998
Periodogram estimates from heavy-tailed data. Zbl 0922.62090
Mikosch, T.
4
1998
Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078
Davis, Richard A.; Mikosch, Thomas
3
1998
Modelling extremal events for insurance and finance. Zbl 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
88
1997
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
15
1997
Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032
Mikosch, T.; Norvaiša, R.
7
1997
Heavy-tailed modelling in insurance. Zbl 0916.62073
Mikosch, T.
6
1997
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
20
1996
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
6
1996
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J.
65
1995
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
59
1995
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
23
1995
A Monte Carlo method for estimating the correlation exponent. Zbl 1102.82319
Mikosch, T.; Wang, Qiang
2
1995
Random quadratic forms and the bootstrap for \(U\)-statistics. Zbl 0815.62028
Dehling, Herold; Mikosch, Thomas
31
1994
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
10
1994
Almost sure convergence of bootstrapped means and \(U\)-statistics. Zbl 0805.62049
Mikosch, T.
9
1994
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Weak invariance principles for weighted \(U\)-statistics. Zbl 0790.60036
Mikosch, Thomas
1
1994
...and 20 more Documents
all top 5

Cited by 2,772 Authors

71 Mikosch, Thomas
60 Hashorva, Enkelejd
47 Samorodnitsky, Gennady Pinkhosovich
46 Tang, Qihe
44 Klüppelberg, Claudia
35 Yang, Yang
31 Resnick, Sidney Ira
30 Šiaulys, Jonas
28 Dębicki, Krzysztof
28 Wang, Yuebao
26 Surgailis, Donatas
22 Kokoszka, Piotr S.
22 Wang, Kaiyong
21 Davis, Richard A.
21 Girard, Stéphane
20 Embrechts, Paul
20 Gao, Qingwu
20 Leipus, Remigijus
19 Asmussen, Søren
19 Lee, Sangyeol
19 Soulier, Philippe
18 Kulik, Rafał
18 Peng, Liang
17 Chen, Yiqing
16 Blanchet, Jose H.
16 Wintenberger, Olivier
16 Zwart, Bert P.
15 Li, Jinzhu
15 Macci, Claudio
15 Matsui, Muneya
14 Albrecher, Hansjörg
14 Basrak, Bojan
14 Damek, Ewa
14 Wang, Dingcheng
14 Yuen, Kam Chuen
13 Dombry, Clément
13 Eliazar, Iddo I.
13 Hill, Jonathan B.
13 Iksanov, Aleksander M.
13 Ji, Lanpeng
13 Ling, Shiqing
13 Mao, Tiantian
13 Shen, Xinmei
13 Zhang, Rongmao
12 Buraczewski, Dariusz
12 Cheng, Dongya
12 Drees, Holger
12 Fasen, Vicky
12 Hu, Taizhong
12 Ng, Kai Wang
12 Su, Chun
11 Dembińska, Anna
11 Gardes, Laurent
11 Heiny, Johannes
11 Horváth, Lajos
11 Segers, Johan
11 Stupfler, Gilles
11 Torrisi, Giovanni Luca
11 Wang, Shijie
11 Wüthrich, Mario Valentin
10 Asimit, Alexandru V.
10 Chen, Yu
10 Das, Bikramjit
10 Foss, Sergey G.
10 Linton, Oliver Bruce
10 Liu, Xijun
10 Lu, Dawei
10 Maller, Ross Arthur
10 McCormick, William P.
10 Pap, Gyula
10 Robert, Christian Yann
10 Song, Lixin
10 Stoev, Stilian A.
10 Taqqu, Murad S.
9 Berkes, István
9 Blasques, Francisco
9 Francq, Christian
9 Guillou, Armelle
9 Hult, Henrik
9 Jiménez-Gamero, María Dolores
9 Koopman, Siem Jan
9 Lindskog, Filip
9 Rosalsky, Andrew
9 Tawn, Jonathan A.
9 Yang, Hailiang
9 Yuan, Zhongyi
8 Bai, Long
8 Barbe, Philippe
8 Barczy, Mátyás
8 Cheng, Fengyang
8 Davison, Anthony C.
8 Fu, Ke’ang
8 Glynn, Peter W.
8 Konstantinides, Dimitrios G.
8 Kortschak, Dominik
8 Lin, Zhengyan
8 Lindner, Alexander M.
8 Mandjes, Michel Robertus Hendrikus
8 McElroy, Tucker S.
8 Naveau, Philippe
...and 2,672 more Authors
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Cited in 272 Serials

154 Statistics & Probability Letters
146 Stochastic Processes and their Applications
135 Extremes
134 Insurance Mathematics & Economics
83 Advances in Applied Probability
82 Bernoulli
81 Journal of Applied Probability
79 Journal of Econometrics
73 Communications in Statistics. Theory and Methods
60 Journal of Statistical Planning and Inference
58 Journal of Multivariate Analysis
53 The Annals of Applied Probability
50 The Annals of Statistics
49 Econometric Theory
44 Scandinavian Actuarial Journal
40 Computational Statistics and Data Analysis
38 Lithuanian Mathematical Journal
36 Stochastic Models
33 Journal of Time Series Analysis
33 Journal of Theoretical Probability
33 Methodology and Computing in Applied Probability
31 Journal of Mathematical Analysis and Applications
29 Electronic Journal of Statistics
27 Queueing Systems
26 The Annals of Probability
24 Journal of the Korean Statistical Society
23 ASTIN Bulletin
22 Annals of the Institute of Statistical Mathematics
20 Journal of Statistical Computation and Simulation
19 Test
18 Statistics
17 Metrika
17 Physica A
17 Probability Theory and Related Fields
17 Statistical Papers
16 Acta Mathematicae Applicatae Sinica. English Series
16 Econometric Reviews
16 North American Actuarial Journal
16 Stochastics
15 Communications in Statistics. Simulation and Computation
15 Electronic Journal of Probability
13 Journal of Inequalities and Applications
13 Applied Stochastic Models in Business and Industry
13 Quantitative Finance
12 Scandinavian Journal of Statistics
12 European Journal of Operational Research
12 Journal of Nonparametric Statistics
12 Journal of Applied Statistics
12 Statistical Inference for Stochastic Processes
12 European Actuarial Journal
12 Modern Stochastics. Theory and Applications
11 Applied Mathematics and Computation
11 Journal of Computational and Applied Mathematics
11 Stochastic Analysis and Applications
11 Probability in the Engineering and Informational Sciences
11 Science China. Mathematics
10 Mathematics and Computers in Simulation
10 Annals of Operations Research
10 Economics Letters
10 Journal of Mathematical Sciences (New York)
10 Dependence Modeling
9 Journal of Statistical Physics
9 Journal of Economic Dynamics & Control
9 Brazilian Journal of Probability and Statistics
9 Journal of Industrial and Management Optimization
9 Journal of Statistical Theory and Practice
9 Statistics and Computing
8 Statistical Science
8 ALEA. Latin American Journal of Probability and Mathematical Statistics
8 Frontiers of Mathematics in China
7 Science in China. Series A
7 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
7 Applied Mathematics. Series B (English Edition)
7 Finance and Stochastics
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7 Statistical Methods and Applications
7 The Annals of Applied Statistics
6 Chaos, Solitons and Fractals
6 Kybernetika
6 Probability and Mathematical Statistics
6 Japan Journal of Industrial and Applied Mathematics
6 Australian & New Zealand Journal of Statistics
6 The Econometrics Journal
6 Journal of Statistical Mechanics: Theory and Experiment
6 Statistical Methodology
5 Theory of Probability and its Applications
5 Mathematical Problems in Engineering
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Acta Mathematica Sinica. English Series
5 Nonlinear Analysis. Modelling and Control
5 Journal of Probability and Statistics
5 Annals of Finance
5 Stochastic Systems
5 Journal of Time Series Econometrics
4 Computers & Mathematics with Applications
4 Journal of the American Statistical Association
4 Scandinavian Actuarial Journal
4 Annals of Physics
4 Theory of Probability and Mathematical Statistics
4 Journal of Difference Equations and Applications
...and 172 more Serials
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Cited in 46 Fields

1,594 Probability theory and stochastic processes (60-XX)
1,543 Statistics (62-XX)
754 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
151 Numerical analysis (65-XX)
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33 Computer science (68-XX)
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19 Combinatorics (05-XX)
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9 Linear and multilinear algebra; matrix theory (15-XX)
9 Ordinary differential equations (34-XX)
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4 General and overarching topics; collections (00-XX)
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