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Mikosch, Thomas

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Author ID: mikosch.thomas Recent zbMATH articles by "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
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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

Publications by Year

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 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
Regular variation of GARCH processes. Zbl 1060.60033
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
139
2002
Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Zbl 1105.62374
Mikosch, Thomas; Stărică, Cătălin
108
2000
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
94
2006
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
93
2002
The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092
Davis, Richard A.; Mikosch, Thomas
83
1998
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
77
1997
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
70
1998
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
64
2002
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
Mikosch, Thomas; Samorodnitsky, Gennady
63
2000
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J.
57
1995
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
55
2006
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
50
1995
Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002
Mikosch, Thomas
49
2009
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
44
2009
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
42
2005
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
39
2006
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
38
2015
Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
37
2016
Lévy processes. Theory and applications. Zbl 0961.00012
Barndorff-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 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
27
2005
Random quadratic forms and the bootstrap for \(U\)-statistics. Zbl 0815.62028
Dehling, Herold; Mikosch, Thomas
27
1994
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
26
2006
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
25
1998
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
24
2008
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
Mikosch, Thomas; Samorodnitsky, Gennady
24
2000
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
23
2011
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
21
2009
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
21
2003
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, Richard A.; Mikosch, Thomas
20
2009
Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038
Davis, Richard A.; Mikosch, Thomas
20
2001
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
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
18
1995
The sample ACF of a simple bilinear process. Zbl 0997.60012
Basrak, B.; Davis, R. A.; Mikosch, T.
16
1999
Empirical process techniques for dependent data. Zbl 1005.00016
Dehling, Herold (ed.); Mikosch, Thomas (ed.); Sørensen, Michael (ed.)
15
2002
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
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
14
2013
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
14
2012
Long-range dependence effects and ARCH modeling. Zbl 1026.62113
Mikosch, Thomas; Stărică, Cătălin
14
2003
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
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
12
2013
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. Zbl 1304.60034
Mikosch, 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 1171.60309
Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
11
2009
Scaling limits for cumulative input processes. Zbl 1279.90033
Mikosch, Thomas; Samorodnitsky, Gennady
11
2007
The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556
Davis, Richard A.; Mikosch, Thomas
11
1999
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
10
2011
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
10
2009
Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072
Mikosch, Thomas; Straumann, Daniel
10
2002
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
10
2000
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
10
1994
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Zbl 1215.60018
Mikosch, Thomas; Račkauskas, Alfredas
9
2010
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
9
2006
Almost sure convergence of bootstrapped means and \(U\)-statistics. Zbl 0805.62049
Mikosch, T.
9
1994
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
9
1991
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
8
2016
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
8
2016
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
8
2013
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
8
2001
Strong laws of large numbers for fields of Banach space valued random variables. Zbl 0586.60007
Mikosch, T.; Norvaisa, R.
8
1987
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017
Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver
7
2016
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
7
2013
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
7
2000
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
6
2017
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
6
2014
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.)
6
2009
How to model multivariate extremes if one must? Zbl 1069.62042
Mikosch, Thomas
6
2005
Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032
Mikosch, T.; Norvaiša, R.
6
1997
Heavy-tailed modelling in insurance. Zbl 0916.62073
Mikosch, T.
6
1997
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
6
1996
Applications of distance correlation to time series. Zbl 1414.62357
Davis, 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 1414.62368
Janssen, Anja; Mikosch, Thomas; Rezapour, Mohsen; Xie, Xiaolei
5
2018
A Fourier analysis of extreme events. Zbl 1321.60110
Mikosch, Thomas; Zhao, Yuwei
5
2014
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
5
2010
Poisson limits for \(U\)-statistics. Zbl 1059.60063
Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon
5
2002
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
4
2013
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
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
4
1992
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
3
2010
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
3
2000
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
2
2019
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027
Heiny, Johannes; Mikosch, Thomas
2
2018
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
2
2016
The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081
Mikosch, Thomas; Zhao, Yuwei
2
2015
General inverse problems for regular variation. Zbl 1314.60049
Damek, 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 1235.60012
Mikosch, Thomas; Pawlas, Zbyněk; Samorodnitsky, Gennady
2
2011
Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078
Davis, Richard A.; Mikosch, Thomas
2
1998
A Monte Carlo method for estimating the correlation exponent. Zbl 1102.82319
Mikosch, 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 0748.60022
Mikosch, T.
2
1991
Almost sure behavior of tail series in functional spaces. Zbl 0706.60028
Mikosch, T.
2
1990
Bounded laws of the iterated logarithm for quadratic forms in Gaussian random variables. Zbl 0652.60039
Mikosch, T.
2
1988
On the law of the iterated logarithm for quadratic forms in independent Gaussian variables. Zbl 0635.60028
Mikosch, T.
2
1988
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195
Heiny, Johannes; Mikosch, Thomas
1
2019
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
1
2017
Estimation of the tail index for lattice-valued sequences. Zbl 1286.62049
Matsui, Muneya; Mikosch, Thomas; Tafakori, Laleh
1
2013
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set. Zbl 1428.62426
Liu, 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 1430.62195
Heiny, Johannes; Mikosch, Thomas
1
2019
Applications of distance correlation to time series. Zbl 1414.62357
Davis, 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 1414.62368
Janssen, 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 1388.60027
Heiny, Johannes; Mikosch, Thomas
2
2018
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
6
2017
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
1
2017
Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
37
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
8
2016
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
8
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
7
2016
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
2
2016
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
38
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
11
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
2
2014
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
14
2013
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
12
2013
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
8
2013
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
7
2013
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
4
2013
Estimation of the tail index for lattice-valued sequences. Zbl 1286.62049
Matsui, 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 1282.60053
Mikosch, Thomas; Moser, Martin
1
2013
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
14
2012
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
23
2011
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, 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 1235.60012
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
9
2010
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
5
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
49
2009
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
44
2009
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
21
2009
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, 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 1171.60309
Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
11
2009
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
10
2009
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.)
6
2009
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
24
2008
Scaling limits for cumulative input processes. Zbl 1279.90033
Mikosch, Thomas; Samorodnitsky, Gennady
11
2007
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
94
2006
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
55
2006
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
39
2006
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
26
2006
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
9
2006
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, 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 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
27
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
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
21
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
139
2002
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
93
2002
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
64
2002
Empirical process techniques for dependent data. Zbl 1005.00016
Dehling, Herold (ed.); Mikosch, Thomas (ed.); Sørensen, Michael (ed.)
15
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
10
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
Barndorff-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 1021.60038
Davis, Richard A.; Mikosch, Thomas
20
2001
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
8
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
108
2000
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
Mikosch, Thomas; Samorodnitsky, Gennady
63
2000
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
Mikosch, Thomas; Samorodnitsky, Gennady
24
2000
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
10
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
83
1998
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
70
1998
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
25
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
2
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.
77
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.
6
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.
57
1995
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
50
1995
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
18
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
27
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
Spectral estimates and stable processes. Zbl 0779.60023
Klüppelberg, Claudia; Mikosch, Thomas
15
1993
A weak invariance principle for weighted \(U\)-statistics with varying kernels. Zbl 0788.60045
Mikosch, Thomas
4
1993
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
4
1992
Functional limit theorems for random quadratic forms. Zbl 0726.60030
Mikosch, T.
19
1991
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, 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 0748.60022
Mikosch, T.
2
1991
...and 12 more Documents
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. Theory and Methods
44 Computational Statistics and Data Analysis
43 Econometric Theory
34 Stochastic Models
33 Lithuanian Mathematical Journal
33 Journal of Time Series Analysis
31 Journal of Theoretical Probability
30 Journal of Mathematical Analysis and Applications
27 Methodology and Computing in Applied Probability
24 The Annals of Probability
23 Queueing Systems
22 Electronic Journal of Statistics
21 Journal of the Korean Statistical Society
20 ASTIN Bulletin
19 Annals of the Institute of Statistical Mathematics
16 Metrika
16 Journal of Statistical Computation and Simulation
16 Test
15 Acta Mathematicae Applicatae Sinica. English Series
14 Statistics
14 Probability Theory and Related Fields
13 European Journal of Operational Research
13 Statistical Papers
13 Applied Stochastic Models in Business and Industry
12 Scandinavian Journal of Statistics
12 Journal of Computational and Applied Mathematics
12 Quantitative Finance
11 Stochastic Analysis and Applications
11 Journal of Nonparametric Statistics
11 Probability in the Engineering and Informational Sciences
11 Science China. Mathematics
11 Modern Stochastics. Theory and Applications
10 Mathematics and Computers in Simulation
10 Journal of Economic Dynamics & Control
10 Journal of Applied Statistics
10 North American Actuarial Journal
10 European Actuarial Journal
9 Physica A
9 Annals of Operations Research
9 Economics Letters
9 Journal of Mathematical Sciences (New York)
9 Statistical Inference for Stochastic Processes
9 Dependence Modeling
8 Journal of Statistical Physics
8 Chaos, Solitons and Fractals
8 Electronic Journal of Probability
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 Journal of Industrial and Management Optimization
7 Journal of Statistical Theory and Practice
6 Kybernetika
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 Brazilian Journal of Probability and Statistics
6 Statistical Methods and Applications
6 Statistical Methodology
6 Statistics and Computing
5 Probability and Mathematical Statistics
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 The Annals of Applied Statistics
5 Journal of Probability and Statistics
5 Stochastic Systems
4 Computers & Mathematics with Applications
4 Journal of the American Statistical Association
4 Scandinavian Actuarial Journal
4 Statistical Science
4 Econometric Reviews
4 Japan Journal of Industrial and Applied Mathematics
4 Annals of Physics
4 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
4 Journal of Interdisciplinary Mathematics
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 ALEA. Latin American Journal of Probability and Mathematical Statistics
4 Annals of Finance
4 Journal of Time Series Econometrics
3 Physics Letters. 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)

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