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## Mikosch, Thomas

Compute Distance To:
 Author ID: mikosch.thomas Published as: Mikosch, Thomas; Mikosch, T.; Mikosch, Thhomas External Links: MGP · Wikidata
 Documents Indexed: 135 Publications since 1982, including 10 Books Reviewing Activity: 29 Reviews
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#### Co-Authors

 29 single-authored 22 Davis, Richard A. 15 Samorodnitsky, Gennady Pinkhosovich 10 Klüppelberg, Claudia 8 Embrechts, Paul 6 Matsui, Muneya 5 Wintenberger, Olivier 4 Dehling, Herold G. 4 Heiny, Johannes 4 Norvaiša, Rimas 4 Resnick, Sidney Ira 3 Basrak, Bojan 3 Damek, Ewa 3 Rezapour, Mohsen 3 Stărică, Cătălin 3 Straumann, Daniel 3 Tafakori, Laleh 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 Rootzén, Holger 2 Rosiński, Jan 2 Xie, Xiaolei 1 Adler, Robert Joseph 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 Cohen, Serge 1 Cribben, Ivor 1 Dabrowski, André Robert 1 de Vries, Casper George 1 Faÿ, Gilles 1 Gadrich, Tamar 1 Glynn, Peter W. 1 González-Arévalo, Bárbara 1 Hashorva, Enkelejd 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 Moser, Martin 1 Norvajsha, R. 1 Patton, Andrew J. 1 Pawlas, Zbyněk 1 Pfaffel, Oliver 1 Račkauskas, Alfredas Yurgevich 1 Rolski, Tomasz 1 Schärf, Anette 1 Sharipov, Olimjon Sh. 1 Skovoroda, Boris 1 Sorensen, Michael 1 Stegeman, Alwin 1 Vares, Maria Eulalia 1 Wan, Phyllis 1 Wang, Qiang 1 Yor, Marc 1 Yslas, Jorge 1 Zienkiewicz, Jacek
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#### Serials

 22 Stochastic Processes and their Applications 14 Bernoulli 7 Journal of Applied Probability 7 The Annals 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 Wissenschaftliche Zeitschrift der Technischen Universität Dresden 1 Scandinavian Actuarial Journal 1 REVSTAT 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
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#### Fields

 113 Probability theory and stochastic processes (60-XX) 68 Statistics (62-XX) 25 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 9 General and overarching topics; collections (00-XX) 2 History and biography (01-XX) 2 Numerical analysis (65-XX) 2 Computer science (68-XX) 2 Operations research, mathematical programming (90-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Convex and discrete geometry (52-XX) 1 Statistical mechanics, structure of matter (82-XX)

#### Citations contained in zbMATH Open

113 Publications have been cited 3,365 times in 2,381 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
2002
Limit theory for the sample autocorrelations and extremes of a GARCH $$(1,1)$$ process. Zbl 1105.62374
Mikosch, Thomas; Stărică, Cătălin
2000
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
2006
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
2002
The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092
Davis, Richard A.; Mikosch, Thomas
1998
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
1997
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
1998
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
2002
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
2000
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
1995
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
2006
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
1995
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
2009
Stochastic models with power-law tails. The equation $$X=AX+B$$. Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
2016
Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002
Mikosch, Thomas
2009
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
2005
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
2015
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
2006
Non-life insurance mathematics. An introduction with stochastic processes. Zbl 1033.91019
Mikosch, Thomas
2004
Lévy processes. Theory and applications. Zbl 0961.00012
Barndorff-Nielsen, Ole E. (ed.); Mikosch, Thomas (ed.); Resnick, Sidney I. (ed.)
2001
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
2005
Random quadratic forms and the bootstrap for $$U$$-statistics. Zbl 0815.62028
Dehling, Herold; Mikosch, Thomas
1994
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
2006
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
1998
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
2000
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
2011
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
2008
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
2009
Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038
Davis, Richard A.; Mikosch, Thomas
2001
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
2003
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
1995
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
1996
Functional limit theorems for random quadratic forms. Zbl 0726.60030
Mikosch, T.
1991
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, Richard A.; Mikosch, Thomas
2009
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
2012
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
2013
Spectral estimates and stable processes. Zbl 0779.60023
Klüppelberg, Claudia; Mikosch, Thomas
1993
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
1997
The sample ACF of a simple bilinear process. Zbl 0997.60012
Basrak, B.; Davis, R. A.; Mikosch, T.
1999
Empirical process techniques for dependent data. Zbl 1005.00016
Dehling, Herold (ed.); Mikosch, Thomas (ed.); Sørensen, Michael (ed.)
2002
Long-range dependence effects and ARCH modeling. Zbl 1026.62113
Mikosch, Thomas; Stărică, Cătălin
2003
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
2013
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
2002
Changes of structure in financial time series and the GARCH model. Zbl 1132.62352
Mikosch, Thomas; Stărică, Cătălin
2004
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
2014
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
2011
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
2016
The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556
Davis, Richard A.; Mikosch, Thomas
1999
Scaling limits for cumulative input processes. Zbl 1279.90033
2007
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
2009
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
1994
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
2000
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
2013
Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072
Mikosch, Thomas; Straumann, Daniel
2002
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
2009
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
1991
Almost sure convergence of bootstrapped means and $$U$$-statistics. Zbl 0805.62049
Mikosch, T.
1994
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
2006
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Zbl 1215.60018
Mikosch, Thomas; Račkauskas, Alfredas
2010
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
2013
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
2016
Strong laws of large numbers for fields of Banach space valued random variables. Zbl 0586.60007
Mikosch, T.; Norvaisa, R.
1987
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
2001
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
Andersen, Torben G. (ed.); Davis, Richard A. (ed.); Kreiß, Jens-Peter (ed.); Mikosch, Thhomas (ed.)
2009
Applications of distance correlation to time series. Zbl 1414.62357
Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis
2018
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
1994
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
2010
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
2000
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
2014
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017
Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver
2016
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
1996
Heavy-tailed modelling in insurance. Zbl 0916.62073
Mikosch, T.
1997
How to model multivariate extremes if one must? Zbl 1069.62042
Mikosch, Thomas
2005
Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032
Mikosch, T.; Norvaiša, R.
1997
A Fourier analysis of extreme events. Zbl 1321.60110
Mikosch, Thomas; Zhao, Yuwei
2014
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
2017
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
2018
Poisson limits for $$U$$-statistics. Zbl 1059.60063
Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon
2002
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
2013
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
1992
A weak invariance principle for weighted $$U$$-statistics with varying kernels. Zbl 0788.60045
Mikosch, Thomas
1993
Periodogram estimates from heavy-tailed data. Zbl 0922.62090
Mikosch, T.
1998
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
2019
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
2000
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
2010
General inverse problems for regular variation. Zbl 1314.60049
Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
2014
The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081
Mikosch, Thomas; Zhao, Yuwei
2015
On the law of the iterated logarithm for quadratic forms in independent Gaussian variables. Zbl 0635.60028
Mikosch, T.
1988
Bounded laws of the iterated logarithm for quadratic forms in Gaussian random variables. Zbl 0652.60039
Mikosch, T.
1988
The rate of convergence in the functional central limit theorem for random quadratic forms with some applications to the law of the iterated logarithm. Zbl 0685.60034
Mikosch, T.
1989
Almost sure behavior of tail series in functional spaces. Zbl 0706.60028
Mikosch, T.
1990
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.
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
2011
A Monte Carlo method for estimating the correlation exponent. Zbl 1102.82319
Mikosch, T.; Wang, Qiang
1995
Gaussian likelihood-based inference for non-invertible MA(1) processes with S$$\alpha$$S noise. Zbl 0926.62078
Davis, Richard A.; Mikosch, Thomas
1998
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
2016
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195
Heiny, Johannes; Mikosch, Thomas
2019
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027
Heiny, Johannes; Mikosch, Thomas
2018
On the lower estimate in the law of the iterated logarithm for Gaussian quadratic forms. Zbl 0702.60030
Mikosch, T.
1990
Distance covariance for discretized stochastic processes. Zbl 1462.62356
Dehling, Herold; Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
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
2019
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195
Heiny, Johannes; Mikosch, Thomas
2019
Applications of distance correlation to time series. Zbl 1414.62357
Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis
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
2018
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027
Heiny, Johannes; Mikosch, Thomas
2018
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
2017
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
2017
Stochastic models with power-law tails. The equation $$X=AX+B$$. Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
2016
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
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
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
2016
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
2016
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
2015
The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081
Mikosch, Thomas; Zhao, Yuwei
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
2014
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
2014
A Fourier analysis of extreme events. Zbl 1321.60110
Mikosch, Thomas; Zhao, Yuwei
2014
General inverse problems for regular variation. Zbl 1314.60049
Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
2014
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
2013
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
2013
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
2013
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
2013
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
2013
Estimation of the tail index for lattice-valued sequences. Zbl 1286.62049
Matsui, Muneya; Mikosch, Thomas; Tafakori, Laleh
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
2013
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
2012
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
2011
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
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
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
2010
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
2010
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
2010
A tribute to Professor Kiyosi Itô. Zbl 1178.01066
Yor, M.; Vares, M. E.; Mikosch, T.
2010
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
2009
Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002
Mikosch, Thomas
2009
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
2009
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, Richard A.; Mikosch, Thomas
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
2009
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
2009
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
Andersen, Torben G.; Davis, Richard A.; Kreiß, Jens-Peter; Mikosch, Thhomas
2009
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
2008
Scaling limits for cumulative input processes. Zbl 1279.90033
2007
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
2006
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
2006
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
2006
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
2006
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
2006
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
2005
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
2005
How to model multivariate extremes if one must? Zbl 1069.62042
Mikosch, Thomas
2005
Non-life insurance mathematics. An introduction with stochastic processes. Zbl 1033.91019
Mikosch, Thomas
2004
Changes of structure in financial time series and the GARCH model. Zbl 1132.62352
Mikosch, Thomas; Stărică, Cătălin
2004
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
2003
Long-range dependence effects and ARCH modeling. Zbl 1026.62113
Mikosch, Thomas; Stărică, Cătălin
2003
Regular variation of GARCH processes. Zbl 1060.60033
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
2002
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
2002
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
2002
Empirical process techniques for dependent data. Zbl 1005.00016
Dehling, Herold; Mikosch, Thomas; Sørensen, Michael
2002
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
2002
Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072
Mikosch, Thomas; Straumann, Daniel
2002
Poisson limits for $$U$$-statistics. Zbl 1059.60063
Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon
2002
Lévy processes. Theory and applications. Zbl 0961.00012
Barndorff-Nielsen, Ole E.; Mikosch, Thomas; Resnick, Sidney I.
2001
Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038
Davis, Richard A.; Mikosch, Thomas
2001
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
2001
The sample autocorrelations of financial time series models. Zbl 1053.62565
Davis, Richard A.; Mikosch, Thomas
2001
Limit theory for the sample autocorrelations and extremes of a GARCH $$(1,1)$$ process. Zbl 1105.62374
Mikosch, Thomas; Stărică, Cătălin
2000
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
2000
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
2000
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
2000
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
2000
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
2000
The sample ACF of a simple bilinear process. Zbl 0997.60012
Basrak, B.; Davis, R. A.; Mikosch, T.
1999
The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556
Davis, Richard A.; Mikosch, Thomas
1999
The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092
Davis, Richard A.; Mikosch, Thomas
1998
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
1998
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
1998
Periodogram estimates from heavy-tailed data. Zbl 0922.62090
Mikosch, T.
1998
Gaussian likelihood-based inference for non-invertible MA(1) processes with S$$\alpha$$S noise. Zbl 0926.62078
Davis, Richard A.; Mikosch, Thomas
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.
1997
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
1997
Heavy-tailed modelling in insurance. Zbl 0916.62073
Mikosch, T.
1997
Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032
Mikosch, T.; Norvaiša, R.
1997
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
1996
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
1996
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
1995
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
1995
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
1995
A Monte Carlo method for estimating the correlation exponent. Zbl 1102.82319
Mikosch, T.; Wang, Qiang
1995
Random quadratic forms and the bootstrap for $$U$$-statistics. Zbl 0815.62028
Dehling, Herold; Mikosch, Thomas
1994
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
1994
Almost sure convergence of bootstrapped means and $$U$$-statistics. Zbl 0805.62049
Mikosch, T.
1994
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
1994
Weak invariance principles for weighted $$U$$-statistics. Zbl 0790.60036
Mikosch, Thomas
1994
Spectral estimates and stable processes. Zbl 0779.60023
Klüppelberg, Claudia; Mikosch, Thomas
1993
A weak invariance principle for weighted $$U$$-statistics with varying kernels. Zbl 0788.60045
Mikosch, Thomas
1993
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
1992
Functional limit theorems for random quadratic forms. Zbl 0726.60030
Mikosch, T.
1991
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
1991
...and 13 more Documents
all top 5

#### Cited by 2,503 Authors

 67 Mikosch, Thomas 58 Hashorva, Enkelejd 45 Tang, Qihe 44 Klüppelberg, Claudia 44 Samorodnitsky, Gennady Pinkhosovich 30 Resnick, Sidney Ira 28 Šiaulys, Jonas 27 Dębicki, Krzysztof 26 Surgailis, Donatas 26 Wang, Yuebao 21 Kokoszka, Piotr S. 20 Leipus, Remigijus 19 Asmussen, Søren 19 Embrechts, Paul 19 Girard, Stéphane 18 Davis, Richard A. 18 Lee, Sangyeol 18 Soulier, Philippe 18 Wang, Kaiyong 16 Gao, Qingwu 16 Peng, Liang 15 Blanchet, Jose H. 15 Chen, Yiqing 15 Kulik, Rafał 14 Li, Jinzhu 14 Macci, Claudio 14 Wintenberger, Olivier 14 Zwart, Bert P. 13 Damek, Ewa 13 Hill, Jonathan B. 13 Mao, Tiantian 13 Shen, Xinmei 13 Yuen, Kam Chuen 12 Albrecher, Hansjörg 12 Basrak, Bojan 12 Fasen, Vicky 12 Hu, Taizhong 12 Iksanov, Aleksander M. 12 Ji, Lanpeng 12 Ng, Kai Wang 12 Su, Chun 11 Dombry, Clément 11 Drees, Holger 11 Eliazar, Iddo I. 11 Horváth, Lajos 11 Matsui, Muneya 11 Segers, Johan 10 Asimit, Alexandru V. 10 Buraczewski, Dariusz 10 Chen, Yu 10 Dembińska, Anna 10 Gardes, Laurent 10 Ling, Shiqing 10 Linton, Oliver Bruce 10 Maller, Ross Arthur 10 McCormick, William P. 10 Song, Lixin 10 Stoev, Stilian A. 10 Taqqu, Murad S. 10 Torrisi, Giovanni Luca 10 Wang, Dingcheng 10 Wüthrich, Mario Valentin 10 Zhang, Yi 9 Berkes, István 9 Das, Bikramjit 9 Foss, Sergey G. 9 Francq, Christian 9 Guillou, Armelle 9 Hult, Henrik 9 Lindskog, Filip 9 Liu, Peng 9 Lu, Dawei 9 Robert, Christian Yann 9 Rosalsky, Andrew 9 Stupfler, Gilles 9 Yang, Hailiang 9 Yuan, Zhongyi 8 Barbe, Philippe 8 Cheng, Dongya 8 Glynn, Peter W. 8 Jiménez-Gamero, María Dolores 8 Kortschak, Dominik 8 Lin, Zhengyan 8 McElroy, Tucker S. 8 Naveau, Philippe 8 Peng, Zuoxiang 8 Pipiras, Vladas 8 Tawn, Jonathan A. 8 Zakoïan, Jean-Michel 8 Zhang, Rongmao 7 Baek, Changryong 7 Bai, Long 7 Beran, Jan 7 Bingham, Nicholas Hugh 7 Cheng, Fengyang 7 Davison, Anthony C. 7 Fu, Ke’ang 7 Hazra, Rajat Subhra 7 Jakubowski, Adam 7 Kabluchko, Zakhar A. ...and 2,403 more Authors
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#### Cited in 253 Serials

 151 Statistics & Probability Letters 134 Stochastic Processes and their Applications 126 Insurance Mathematics & Economics 124 Extremes 80 Advances in Applied Probability 80 Bernoulli 75 Journal of Applied Probability 74 Journal of Econometrics 56 Journal of Statistical Planning and Inference 55 Journal of Multivariate Analysis 49 The Annals of Statistics 48 The Annals of Applied Probability 46 Communications in Statistics. Theory and Methods 45 Econometric Theory 42 Scandinavian Actuarial Journal 40 Computational Statistics and Data Analysis 37 Lithuanian Mathematical Journal 35 Stochastic Models 33 Journal of Time Series Analysis 31 Journal of Mathematical Analysis and Applications 31 Journal of Theoretical Probability 27 Methodology and Computing in Applied Probability 27 Electronic Journal of Statistics 25 The Annals of Probability 23 Queueing Systems 22 Annals of the Institute of Statistical Mathematics 21 ASTIN Bulletin 20 Journal of the Korean Statistical Society 17 Metrika 16 Acta Mathematicae Applicatae Sinica. English Series 16 Statistics 16 Journal of Statistical Computation and Simulation 16 Test 14 Probability Theory and Related Fields 14 Statistical Papers 13 Applied Stochastic Models in Business and Industry 12 Scandinavian Journal of Statistics 11 Journal of Computational and Applied Mathematics 11 Stochastic Analysis and Applications 11 Journal of Nonparametric Statistics 11 Statistical Inference for Stochastic Processes 11 Probability in the Engineering and Informational Sciences 11 Quantitative Finance 11 Science China. Mathematics 11 Modern Stochastics. Theory and Applications 10 Mathematics and Computers in Simulation 10 Economics Letters 10 European Journal of Operational Research 10 Journal of Applied Statistics 10 North American Actuarial Journal 10 European Actuarial Journal 9 Physica A 9 Journal of Economic Dynamics & Control 9 Annals of Operations Research 9 Journal of Mathematical Sciences (New York) 9 Electronic Journal of Probability 9 Dependence Modeling 8 Journal of Statistical Physics 8 Frontiers of Mathematics in China 7 Applied Mathematics and Computation 7 Science in China. Series A 7 Mathematical Methods of Operations Research 7 Journal of Inequalities and Applications 7 Brazilian Journal of Probability and Statistics 7 Journal of Industrial and Management Optimization 7 Journal of Statistical Theory and Practice 6 Chaos, Solitons and Fractals 6 Kybernetika 6 Probability and Mathematical Statistics 6 Communications in Statistics. Simulation and Computation 6 Applied Mathematics. Series B (English Edition) 6 Finance and Stochastics 6 Australian & New Zealand Journal of Statistics 6 The Econometrics Journal 6 Statistical Methods and Applications 6 Journal of Statistical Mechanics: Theory and Experiment 6 Statistical Methodology 6 ALEA. Latin American Journal of Probability and Mathematical Statistics 6 The Annals of Applied Statistics 6 Statistics and Computing 5 Japan Journal of Industrial and Applied Mathematics 5 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques 5 Mathematical Problems in Engineering 5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics 5 Acta Mathematica Sinica. English Series 5 Stochastics 5 Journal of Probability and Statistics 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 Statistical Science 4 Econometric Reviews 4 Annals of Physics 4 Theory of Probability and Mathematical Statistics 4 Journal of Difference Equations and Applications 4 Journal of Interdisciplinary Mathematics 4 Comptes Rendus. Mathématique. Académie des Sciences, Paris 4 Annals of Finance ...and 153 more Serials
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#### Cited in 47 Fields

 1,441 Probability theory and stochastic processes (60-XX) 1,377 Statistics (62-XX) 688 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 146 Numerical analysis (65-XX) 94 Operations research, mathematical programming (90-XX) 30 Computer science (68-XX) 28 Dynamical systems and ergodic theory (37-XX) 20 Systems theory; control (93-XX) 18 Real functions (26-XX) 17 Statistical mechanics, structure of matter (82-XX) 17 Geophysics (86-XX) 16 Combinatorics (05-XX) 13 Biology and other natural sciences (92-XX) 12 Partial differential equations (35-XX) 12 Information and communication theory, circuits (94-XX) 11 Measure and integration (28-XX) 10 Functional analysis (46-XX) 8 Linear and multilinear algebra; matrix theory (15-XX) 8 Ordinary differential equations (34-XX) 8 Integral equations (45-XX) 7 Approximations and expansions (41-XX) 6 Harmonic analysis on Euclidean spaces (42-XX) 6 Integral transforms, operational calculus (44-XX) 5 Special functions (33-XX) 5 Operator theory (47-XX) 5 Convex and discrete geometry (52-XX) 4 Difference and functional equations (39-XX) 4 Calculus of variations and optimal control; optimization (49-XX) 3 General and overarching topics; collections (00-XX) 3 Group theory and generalizations (20-XX) 3 Sequences, series, summability (40-XX) 3 Algebraic topology (55-XX) 2 History and biography (01-XX) 2 Mathematical logic and foundations (03-XX) 2 Number theory (11-XX) 2 Category theory; homological algebra (18-XX) 2 Functions of a complex variable (30-XX) 1 Field theory and polynomials (12-XX) 1 Potential theory (31-XX) 1 Abstract harmonic analysis (43-XX) 1 Differential geometry (53-XX) 1 General topology (54-XX) 1 Global analysis, analysis on manifolds (58-XX) 1 Mechanics of particles and systems (70-XX) 1 Fluid mechanics (76-XX) 1 Quantum theory (81-XX) 1 Astronomy and astrophysics (85-XX)

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