Edit Profile Mikosch, Thomas Compute Distance To: Compute Author ID: mikosch.thomas Published as: Mikosch, T.; Mikosch, Thhomas; Mikosch, Thomas External Links: MGP · Wikidata Documents Indexed: 134 Publications since 1982, including 10 Books Reviewing Activity: 29 Reviews all top 5 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 Wolf, Werner 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 G. 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 all top 5 Serials 22 Stochastic Processes and their Applications 13 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 all top 5 Fields 112 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) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH 112 Publications have been cited 3,343 times in 2,369 Documents Cited by ▼ Year ▼ Modelling extremal events for insurance and finance. Zbl 0873.62116Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas 1,281 1997 Regular variation of GARCH processes. Zbl 1060.60033Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 139 2002 Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Zbl 1105.62374Mikosch, Thomas; Stărică, Cătălin 108 2000 Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094Straumann, Daniel; Mikosch, Thomas 94 2006 Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin 93 2002 The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092Davis, Richard A.; Mikosch, Thomas 83 1998 Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021Klüppelberg, C.; Mikosch, T. 77 1997 Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037Mikosch, T.; Nagaev, A. V. 70 1998 A characterization of multivariate regular variation. Zbl 1070.60011Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 64 2002 The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506Mikosch, Thomas; Samorodnitsky, Gennady 63 2000 Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J. 57 1995 Regularly varying functions. Zbl 1164.60301Jessen, Anders Hedegaard; Mikosch, Thomas 55 2006 Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030Klüppelberg, Claudia; Mikosch, Thomas 50 1995 Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002Mikosch, Thomas 49 2009 The extremogram: a correlogram for extreme events. Zbl 1200.62104Davis, Richard A.; Mikosch, Thomas 44 2009 Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady 42 2005 Non-life insurance mathematics. An introduction with stochastic processes. Zbl 1033.91019Mikosch, Thomas 42 2004 Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady 39 2006 Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108Dieker, A. B.; Mikosch, T. 38 2015 Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas 37 2016 Lévy processes. Theory and applications. Zbl 0961.00012Barndorff-Nielsen, Ole E. (ed.); Mikosch, Thomas (ed.); Resnick, Sidney I. (ed.) 36 2001 Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017Konstantinides, Dimitrios G.; Mikosch, Thomas 27 2005 Random quadratic forms and the bootstrap for \(U\)-statistics. Zbl 0815.62028Dehling, Herold; Mikosch, Thomas 27 1994 Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082Mikosch, Thomas; Straumann, Daniel 26 2006 Elementary stochastic calculus with finance in view. Zbl 0934.60002Mikosch, Thomas 25 1998 Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040Davis, Richard A.; Mikosch, Thomas 24 2008 Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028Mikosch, Thomas; Samorodnitsky, Gennady 24 2000 Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier 23 2011 Extreme value theory for GARCH processes. Zbl 1178.62094Davis, Richard A.; Mikosch, Thomas 21 2009 Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette 21 2003 Extremes of stochastic volatility models. Zbl 1178.62112Davis, Richard A.; Mikosch, Thomas 20 2009 Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038Davis, Richard A.; Mikosch, Thomas 20 2001 The integrated periodogram for stable processes. Zbl 0898.62116Klüppelberg, Claudia; Mikosch, Thomas 20 1996 Functional limit theorems for random quadratic forms. Zbl 0726.60030Mikosch, T. 19 1991 Delay in claim settlement and ruin probability approximations. Zbl 0836.62086Klüppelberg, C.; Mikosch, T. 18 1995 The sample ACF of a simple bilinear process. Zbl 0997.60012Basrak, B.; Davis, R. A.; Mikosch, T. 16 1999 Empirical process techniques for dependent data. Zbl 1005.00016Dehling, Herold (ed.); Mikosch, Thomas (ed.); Sørensen, Michael (ed.) 15 2002 The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108Kokoszka, P.; Mikosch, T. 15 1997 Spectral estimates and stable processes. Zbl 0779.60023Klüppelberg, Claudia; Mikosch, Thomas 15 1993 Measures of serial extremal dependence and their estimation. Zbl 1294.60076Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei 14 2013 Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor 14 2012 Long-range dependence effects and ARCH modeling. Zbl 1026.62113Mikosch, Thomas; Stărică, Cătălin 14 2003 Changes of structure in financial time series and the GARCH model. Zbl 1132.62352Mikosch, Thomas; Stărică, Cătălin 13 2004 Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady 13 2002 Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029Mikosch, Thomas; Wintenberger, Olivier 12 2013 The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Zbl 1304.60034Mikosch, Thomas; Wintenberger, Olivier 11 2014 Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws. Zbl 1171.60309Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady 11 2009 Scaling limits for cumulative input processes. Zbl 1279.90033Mikosch, Thomas; Samorodnitsky, Gennady 11 2007 The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556Davis, Richard A.; Mikosch, Thomas 11 1999 Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady 10 2011 Probabilistic properties of stochastic volatility models. Zbl 1200.62129Davis, Richard A.; Mikosch, Thomas 10 2009 Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072Mikosch, Thomas; Straumann, Daniel 10 2002 Stochastic integral equations without probability. Zbl 0963.60060Mikosch, Thomas; Norvaiša, Rimas 10 2000 Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081Klüppelberg, Claudia; Mikosch, Thomas 10 1994 The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Zbl 1215.60018Mikosch, Thomas; Račkauskas, Alfredas 9 2010 Activity rates with very heavy tails. Zbl 1090.60075Mikosch, Thomas; Resnick, Sidney 9 2006 Almost sure convergence of bootstrapped means and \(U\)-statistics. Zbl 0805.62049Mikosch, T. 9 1994 A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104Embrechts, Paul; Mikosch, Thomas 9 1991 Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei 8 2016 A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024Mikosch, Thomas; Wintenberger, Olivier 8 2016 Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J. 8 2013 Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050Mikosch, Thomas; Nagaev, Alexander 8 2001 Strong laws of large numbers for fields of Banach space valued random variables. Zbl 0586.60007Mikosch, T.; Norvaisa, R. 8 1987 Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver 7 2016 Stochastic volatility models with possible extremal clustering. Zbl 1286.91144Mikosch, Thomas; Rezapour, Mohsen 7 2013 The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady 7 2000 Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083Aebi, M.; Embrechts, P.; Mikosch, T. 7 1994 Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024Heiny, Johannes; Mikosch, Thomas 6 2017 Aggregation of log-linear risks. Zbl 1334.60029Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas 6 2014 Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004Andersen, Torben G. (ed.); Davis, Richard A. (ed.); Kreiß, Jens-Peter (ed.); Mikosch, Thhomas (ed.) 6 2009 How to model multivariate extremes if one must? Zbl 1069.62042Mikosch, Thomas 6 2005 Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032Mikosch, T.; Norvaiša, R. 6 1997 Heavy-tailed modelling in insurance. Zbl 0916.62073Mikosch, T. 6 1997 Gaussian limit fields for the integrated periodogram. Zbl 0866.60030Klüppelberg, Claudia; Mikosch, Thomas 6 1996 Applications of distance correlation to time series. Zbl 1414.62357Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis 5 2018 The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Zbl 1414.62368Janssen, Anja; Mikosch, Thomas; Rezapour, Mohsen; Xie, Xiaolei 5 2018 A Fourier analysis of extreme events. Zbl 1321.60110Mikosch, Thomas; Zhao, Yuwei 5 2014 Prediction in a Poisson cluster model. Zbl 1200.60033Matsui, Muneya; Mikosch, Thomas 5 2010 Poisson limits for \(U\)-statistics. Zbl 1059.60063Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon 5 2002 Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh 4 2013 Periodogram estimates from heavy-tailed data. Zbl 0922.62090Mikosch, T. 4 1998 A weak invariance principle for weighted \(U\)-statistics with varying kernels. Zbl 0788.60045Mikosch, Thomas 4 1993 A large claim index. Zbl 0766.62061Aebi, Markus; Embrechts, Paul; Mikosch, Thomas 4 1992 Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady 3 2010 The periodogram at the Fourier frequencies. Zbl 1025.62030Kokoszka, P.; Mikosch, T. 3 2000 On logarithmically optimal exact simulation of max-stable and related random fields on a compact set. Zbl 1428.62426Liu, Zhipeng; Blanchet, Jose H.; Dieker, A. B.; Mikosch, Thomas 2 2019 Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027Heiny, Johannes; Mikosch, Thomas 2 2018 The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059Matsui, Muneya; Mikosch, Thomas 2 2016 The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081Mikosch, Thomas; Zhao, Yuwei 2 2015 General inverse problems for regular variation. Zbl 1314.60049Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady 2 2014 A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation. Zbl 1235.60012Mikosch, Thomas; Pawlas, Zbyněk; Samorodnitsky, Gennady 2 2011 Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078Davis, Richard A.; Mikosch, Thomas 2 1998 A Monte Carlo method for estimating the correlation exponent. Zbl 1102.82319Mikosch, T.; Wang, Qiang 2 1995 Estimates for tail probabilities of quadratic and bilinear forms in subgaussian random variables with applications to the law of the iterated logarithm. Zbl 0748.60022Mikosch, T. 2 1991 Almost sure behavior of tail series in functional spaces. Zbl 0706.60028Mikosch, T. 2 1990 Bounded laws of the iterated logarithm for quadratic forms in Gaussian random variables. Zbl 0652.60039Mikosch, T. 2 1988 On the law of the iterated logarithm for quadratic forms in independent Gaussian variables. Zbl 0635.60028Mikosch, T. 2 1988 The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195Heiny, Johannes; Mikosch, Thomas 1 2019 Distance covariance for stochastic processes. Zbl 1396.62115Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady 1 2017 Estimation of the tail index for lattice-valued sequences. Zbl 1286.62049Matsui, Muneya; Mikosch, Thomas; Tafakori, Laleh 1 2013 On logarithmically optimal exact simulation of max-stable and related random fields on a compact set. Zbl 1428.62426Liu, Zhipeng; Blanchet, Jose H.; Dieker, A. B.; Mikosch, Thomas 2 2019 The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195Heiny, Johannes; Mikosch, Thomas 1 2019 Applications of distance correlation to time series. Zbl 1414.62357Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis 5 2018 The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Zbl 1414.62368Janssen, Anja; Mikosch, Thomas; Rezapour, Mohsen; Xie, Xiaolei 5 2018 Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027Heiny, Johannes; Mikosch, Thomas 2 2018 Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024Heiny, Johannes; Mikosch, Thomas 6 2017 Distance covariance for stochastic processes. Zbl 1396.62115Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady 1 2017 Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas 37 2016 Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series. Zbl 1384.60023Davis, Richard A.; Heiny, Johannes; Mikosch, Thomas; Xie, Xiaolei 8 2016 A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024Mikosch, Thomas; Wintenberger, Olivier 8 2016 Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver 7 2016 The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059Matsui, Muneya; Mikosch, Thomas 2 2016 Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108Dieker, A. B.; Mikosch, T. 38 2015 The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081Mikosch, Thomas; Zhao, Yuwei 2 2015 The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Zbl 1304.60034Mikosch, Thomas; Wintenberger, Olivier 11 2014 Aggregation of log-linear risks. Zbl 1334.60029Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas 6 2014 A Fourier analysis of extreme events. Zbl 1321.60110Mikosch, Thomas; Zhao, Yuwei 5 2014 General inverse problems for regular variation. Zbl 1314.60049Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady 2 2014 Measures of serial extremal dependence and their estimation. Zbl 1294.60076Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei 14 2013 Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029Mikosch, Thomas; Wintenberger, Olivier 12 2013 Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J. 8 2013 Stochastic volatility models with possible extremal clustering. Zbl 1286.91144Mikosch, Thomas; Rezapour, Mohsen 7 2013 Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh 4 2013 Estimation of the tail index for lattice-valued sequences. Zbl 1286.62049Matsui, Muneya; Mikosch, Thomas; Tafakori, Laleh 1 2013 The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes. Zbl 1282.60053Mikosch, Thomas; Moser, Martin 1 2013 Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor 14 2012 Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier 23 2011 Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady 10 2011 A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation. Zbl 1235.60012Mikosch, 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 1215.60018Mikosch, Thomas; Račkauskas, Alfredas 9 2010 Prediction in a Poisson cluster model. Zbl 1200.60033Matsui, Muneya; Mikosch, Thomas 5 2010 Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady 3 2010 A tribute to Professor Kiyosi Itô. Zbl 1178.01066Yor, M.; Vares, M. E.; Mikosch, T. 1 2010 Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002Mikosch, Thomas 49 2009 The extremogram: a correlogram for extreme events. Zbl 1200.62104Davis, Richard A.; Mikosch, Thomas 44 2009 Extreme value theory for GARCH processes. Zbl 1178.62094Davis, Richard A.; Mikosch, Thomas 21 2009 Extremes of stochastic volatility models. Zbl 1178.62112Davis, Richard A.; Mikosch, Thomas 20 2009 Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws. Zbl 1171.60309Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady 11 2009 Probabilistic properties of stochastic volatility models. Zbl 1200.62129Davis, Richard A.; Mikosch, Thomas 10 2009 Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004Andersen, Torben G. (ed.); Davis, Richard A. (ed.); Kreiß, Jens-Peter (ed.); Mikosch, Thhomas (ed.) 6 2009 Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040Davis, Richard A.; Mikosch, Thomas 24 2008 Scaling limits for cumulative input processes. Zbl 1279.90033Mikosch, Thomas; Samorodnitsky, Gennady 11 2007 Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094Straumann, Daniel; Mikosch, Thomas 94 2006 Regularly varying functions. Zbl 1164.60301Jessen, Anders Hedegaard; Mikosch, Thomas 55 2006 Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady 39 2006 Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082Mikosch, Thomas; Straumann, Daniel 26 2006 Activity rates with very heavy tails. Zbl 1090.60075Mikosch, Thomas; Resnick, Sidney 9 2006 Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady 42 2005 Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017Konstantinides, Dimitrios G.; Mikosch, Thomas 27 2005 How to model multivariate extremes if one must? Zbl 1069.62042Mikosch, Thomas 6 2005 Non-life insurance mathematics. An introduction with stochastic processes. Zbl 1033.91019Mikosch, Thomas 42 2004 Changes of structure in financial time series and the GARCH model. Zbl 1132.62352Mikosch, Thomas; Stărică, Cătălin 13 2004 Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette 21 2003 Long-range dependence effects and ARCH modeling. Zbl 1026.62113Mikosch, Thomas; Stărică, Cătălin 14 2003 Regular variation of GARCH processes. Zbl 1060.60033Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 139 2002 Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin 93 2002 A characterization of multivariate regular variation. Zbl 1070.60011Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 64 2002 Empirical process techniques for dependent data. Zbl 1005.00016Dehling, Herold (ed.); Mikosch, Thomas (ed.); Sørensen, Michael (ed.) 15 2002 Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady 13 2002 Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072Mikosch, Thomas; Straumann, Daniel 10 2002 Poisson limits for \(U\)-statistics. Zbl 1059.60063Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon 5 2002 Lévy processes. Theory and applications. Zbl 0961.00012Barndorff-Nielsen, Ole E. (ed.); Mikosch, Thomas (ed.); Resnick, Sidney I. (ed.) 36 2001 Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038Davis, Richard A.; Mikosch, Thomas 20 2001 Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050Mikosch, Thomas; Nagaev, Alexander 8 2001 The sample autocorrelations of financial time series models. Zbl 1053.62565Davis, Richard A.; Mikosch, Thomas 1 2001 Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Zbl 1105.62374Mikosch, Thomas; Stărică, Cătălin 108 2000 The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506Mikosch, Thomas; Samorodnitsky, Gennady 63 2000 Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028Mikosch, Thomas; Samorodnitsky, Gennady 24 2000 Stochastic integral equations without probability. Zbl 0963.60060Mikosch, Thomas; Norvaiša, Rimas 10 2000 The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady 7 2000 The periodogram at the Fourier frequencies. Zbl 1025.62030Kokoszka, P.; Mikosch, T. 3 2000 The sample ACF of a simple bilinear process. Zbl 0997.60012Basrak, B.; Davis, R. A.; Mikosch, T. 16 1999 The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556Davis, Richard A.; Mikosch, Thomas 11 1999 The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092Davis, Richard A.; Mikosch, Thomas 83 1998 Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037Mikosch, T.; Nagaev, A. V. 70 1998 Elementary stochastic calculus with finance in view. Zbl 0934.60002Mikosch, Thomas 25 1998 Periodogram estimates from heavy-tailed data. Zbl 0922.62090Mikosch, T. 4 1998 Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078Davis, Richard A.; Mikosch, Thomas 2 1998 Modelling extremal events for insurance and finance. Zbl 0873.62116Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas 1,281 1997 Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021Klüppelberg, C.; Mikosch, T. 77 1997 The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108Kokoszka, P.; Mikosch, T. 15 1997 Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032Mikosch, T.; Norvaiša, R. 6 1997 Heavy-tailed modelling in insurance. Zbl 0916.62073Mikosch, T. 6 1997 The integrated periodogram for stable processes. Zbl 0898.62116Klüppelberg, Claudia; Mikosch, Thomas 20 1996 Gaussian limit fields for the integrated periodogram. Zbl 0866.60030Klüppelberg, Claudia; Mikosch, Thomas 6 1996 Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J. 57 1995 Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030Klüppelberg, Claudia; Mikosch, Thomas 50 1995 Delay in claim settlement and ruin probability approximations. Zbl 0836.62086Klüppelberg, C.; Mikosch, T. 18 1995 A Monte Carlo method for estimating the correlation exponent. Zbl 1102.82319Mikosch, T.; Wang, Qiang 2 1995 Random quadratic forms and the bootstrap for \(U\)-statistics. Zbl 0815.62028Dehling, Herold; Mikosch, Thomas 27 1994 Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081Klüppelberg, Claudia; Mikosch, Thomas 10 1994 Almost sure convergence of bootstrapped means and \(U\)-statistics. Zbl 0805.62049Mikosch, T. 9 1994 Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083Aebi, M.; Embrechts, P.; Mikosch, T. 7 1994 Weak invariance principles for weighted \(U\)-statistics. Zbl 0790.60036Mikosch, Thomas 1 1994 Spectral estimates and stable processes. Zbl 0779.60023Klüppelberg, Claudia; Mikosch, Thomas 15 1993 A weak invariance principle for weighted \(U\)-statistics with varying kernels. Zbl 0788.60045Mikosch, Thomas 4 1993 A large claim index. Zbl 0766.62061Aebi, Markus; Embrechts, Paul; Mikosch, Thomas 4 1992 Functional limit theorems for random quadratic forms. Zbl 0726.60030Mikosch, T. 19 1991 A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104Embrechts, Paul; Mikosch, Thomas 9 1991 Estimates for tail probabilities of quadratic and bilinear forms in subgaussian random variables with applications to the law of the iterated logarithm. Zbl 0748.60022Mikosch, T. 2 1991 ...and 12 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 2,576 Authors 68 Mikosch, Thomas 61 Hashorva, Enkelejd 44 Klüppelberg, Claudia 44 Samorodnitsky, Gennady Pinkhosovich 44 Tang, Qihe 32 Resnick, Sidney Ira 28 Šiaulys, Jonas 27 Surgailis, Donatas 26 Dębicki, Krzysztof 25 Wang, Yuebao 21 Kokoszka, Piotr S. 20 Leipus, Remigijus 19 Asmussen, Søren 19 Davis, Richard A. 19 Embrechts, Paul 19 Girard, Stéphane 18 Soulier, Philippe 18 Wang, Kaiyong 17 Lee, Sangyeol 16 Blanchet, Jose H. 16 Peng, Liang 15 Gao, Qingwu 15 Zwart, Bert P. 14 Chen, Yiqing 14 Li, Jinzhu 14 Macci, Claudio 14 Wintenberger, Olivier 13 Damek, Ewa 13 Mao, Tiantian 12 Fasen, Vicky 12 Hill, Jonathan B. 12 Hu, Taizhong 12 Iksanov, Aleksander M. 12 Ji, Lanpeng 12 Kulik, Rafał 12 Ng, Kai Wang 12 Shen, Xinmei 12 Su, Chun 12 Yuen, Kam Chuen 11 Albrecher, Hansjörg 11 Basrak, Bojan 11 Dombry, Clément 11 Eliazar, Iddo I. 11 Horváth, Lajos 11 Matsui, Muneya 11 Segers, Johan 11 Stoev, Stilian A. 11 Wüthrich, Mario Valentin 10 Asimit, Alexandru V. 10 Buraczewski, Dariusz 10 Chen, Yu 10 Dembińska, Anna 10 Drees, Holger 10 Gardes, Laurent 10 Ling, Shiqing 10 Linton, Oliver Bruce 10 McCormick, William P. 10 Taqqu, Murad S. 10 Torrisi, Giovanni Luca 10 Wang, Dingcheng 10 Zhang, Yi 9 Berkes, István 9 Das, Bikramjit 9 Foss, Sergey G. 9 Guillou, Armelle 9 Hult, Henrik 9 Kortschak, Dominik 9 Lindskog, Filip 9 Liu, Peng 9 Maller, Ross Arthur 9 Robert, Christian Yann 9 Rosalsky, Andrew 9 Song, Lixin 9 Yang, Hailiang 9 Yuan, Zhongyi 8 Bai, Long 8 Barbe, Philippe 8 Francq, Christian 8 Glynn, Peter W. 8 Konstantinides, Dimitrios G. 8 Lin, Zhengyan 8 Lu, Dawei 8 McElroy, Tucker S. 8 Novak, Serguei Yu. 8 Peng, Zuoxiang 8 Pipiras, Vladas 8 Stupfler, Gilles 8 Tawn, Jonathan A. 8 Zakoïan, Jean-Michel 8 Zhang, Rongmao 8 Zhang, Zhengjun 7 Baek, Changryong 7 Beran, Jan 7 Bingham, Nicholas Hugh 7 Cheng, Dongya 7 Engelke, Sebastian 7 Giraitis, Liudas 7 Hazra, Rajat Subhra 7 Hua, Lei 7 Jakubowski, Adam ...and 2,476 more Authors all top 5 Cited in 244 Serials 158 Statistics & Probability Letters 144 Insurance Mathematics & Economics 142 Stochastic Processes and their Applications 120 Extremes 78 Advances in Applied Probability 75 Bernoulli 74 Journal of Applied Probability 74 Journal of Econometrics 60 Journal of Statistical Planning and Inference 58 Journal of Multivariate Analysis 49 The Annals of Statistics 48 The Annals of Applied Probability 47 Scandinavian Actuarial Journal 45 Communications in Statistics. 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A 3 Rocky Mountain Journal of Mathematics 3 Statistica Neerlandica ...and 144 more Serials all top 5 Cited in 45 Fields 1,417 Probability theory and stochastic processes (60-XX) 1,376 Statistics (62-XX) 722 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 144 Numerical analysis (65-XX) 94 Operations research, mathematical programming (90-XX) 29 Dynamical systems and ergodic theory (37-XX) 29 Computer science (68-XX) 22 Systems theory; control (93-XX) 17 Real functions (26-XX) 16 Statistical mechanics, structure of matter (82-XX) 14 Combinatorics (05-XX) 14 Geophysics (86-XX) 12 Biology and other natural sciences (92-XX) 11 Partial differential equations (35-XX) 11 Information and communication theory, circuits (94-XX) 10 Functional analysis (46-XX) 9 Measure and integration (28-XX) 8 Approximations and expansions (41-XX) 8 Integral transforms, operational calculus (44-XX) 7 Linear and multilinear algebra; matrix theory (15-XX) 7 Ordinary differential equations (34-XX) 6 Integral equations (45-XX) 5 Special functions (33-XX) 5 Harmonic analysis on Euclidean spaces (42-XX) 5 Convex and discrete geometry (52-XX) 4 Difference and functional equations (39-XX) 4 Operator theory (47-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 Category theory; homological algebra (18-XX) 2 Functions of a complex variable (30-XX) 1 Mathematical logic and foundations (03-XX) 1 Number theory (11-XX) 1 Field theory and polynomials (12-XX) 1 Potential theory (31-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) Citations by Year Wikidata Timeline The data are displayed as stored in Wikidata under a Creative Commons CC0 License. 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