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Author ID: mikosch.thomas Recent zbMATH articles by "Mikosch, Thomas"
Published as: Mikosch, Thomas; Mikosch, T.; Mikosh, T.; Mikos, T.
Homepage: https://web.math.ku.dk/~mikosch/
External Links: MGP · Wikidata · Math-Net.Ru · GND · IdRef
all top 5

Co-Authors

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

Serials

26 Stochastic Processes and their Applications
14 Bernoulli
9 The Annals of Applied Probability
7 Journal of Applied Probability
7 Extremes
6 The Annals of Statistics
6 Probability Theory and Related Fields
5 The Annals of Probability
3 Advances in Applied Probability
3 Lithuanian Mathematical Journal
3 Teoriya Veroyatnosteĭ i eë Primeneniya
3 Journal of Econometrics
3 Vestnik Leningrad University. Mathematics
3 Oberwolfach Reports
2 Analysis Mathematica
2 Vestnik Leningradskogo Universiteta. Matematika, Mekhanika, Astronomiya
2 Theory of Probability and its Applications
2 Journal of Multivariate Analysis
2 Mathematische Nachrichten
2 Monatshefte für Mathematik
2 Probability and Mathematical Statistics
2 Litovskiĭ Matematicheskiĭ Sbornik
2 Journal of Mathematical Sciences (New York)
2 Universitext
1 Journal of Statistical Physics
1 Scandinavian Journal of Statistics
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 Teoriya Ĭmovirnosteĭ ta Matematychna Statystyka
1 Scandinavian Actuarial Journal
1 REVSTAT
1 Monographs on Statistics and Applied Probability
1 Advanced Series on Statistical Science & Applied Probability
1 European Actuarial Journal
1 Applications of Mathematics
1 Springer Series in Operations Research and Financial Engineering

Publications by Year

Citations contained in zbMATH Open

128 Publications have been cited 4,632 times in 3,280 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
175
2002
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
157
2006
Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Zbl 1105.62374
Mikosch, Thomas; Stărică, Cătălin
127
2000
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
109
2002
Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
107
2016
Lévy processes. Theory and applications. Zbl 0961.00012
99
2001
The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092
Davis, Richard A.; Mikosch, Thomas
98
1998
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
94
1997
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
92
1998
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
86
2006
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
82
1995
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
80
2002
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J.
77
1995
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
Mikosch, Thomas; Samorodnitsky, Gennady
71
2000
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
70
2009
Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002
Mikosch, Thomas
66
2009
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
55
2005
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
47
2015
Non-life insurance mathematics. An introduction with stochastic processes. Zbl 1033.91019
Mikosch, Thomas
45
2004
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
45
2006
Random quadratic forms and the bootstrap for \(U\)-statistics. Zbl 0815.62028
Dehling, Herold; Mikosch, Thomas
40
1994
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
38
1998
Copulas: Tales and facts (with discussion). Zbl 1164.62355
Mikosch, Thomas
37
2006
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
37
2009
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
31
2005
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
31
2011
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
30
2008
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
29
2006
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
28
2003
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
Mikosch, Thomas; Samorodnitsky, Gennady
27
2000
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
27
2004
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
24
1995
Empirical process techniques for dependent data. Zbl 1005.00016
24
2002
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
24
2009
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
24
2012
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
23
2013
Applications of distance correlation to time series. Zbl 1414.62357
Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis
23
2018
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
22
1996
Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038
Davis, Richard A.; Mikosch, Thomas
21
2001
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, Richard A.; Mikosch, Thomas
21
2009
Functional limit theorems for random quadratic forms. Zbl 0726.60030
Mikosch, T.
20
1991
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
20
2013
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
18
1997
The sample ACF of a simple bilinear process. Zbl 0997.60012
Basrak, B.; Davis, R. A.; Mikosch, T.
18
1999
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
17
2014
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
17
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
17
2016
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
17
2009
Long-range dependence effects and ARCH modeling. Zbl 1026.62113
Mikosch, Thomas; Stărică, Cătălin
16
2003
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
16
2011
Changes of structure in financial time series and the GARCH model. Zbl 1132.62352
Mikosch, Thomas; Stărică, Cătălin
16
2004
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
16
2017
Spectral estimates and stable processes. Zbl 0779.60023
Klüppelberg, Claudia; Mikosch, Thomas
15
1993
The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556
Davis, Richard A.; Mikosch, Thomas
14
1999
Scaling limits for cumulative input processes. Zbl 1279.90033
Mikosch, Thomas; Samorodnitsky, Gennady
14
2007
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
14
2013
Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072
Mikosch, Thomas; Straumann, Daniel
13
2002
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
13
2002
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution. Zbl 1215.60018
Mikosch, Thomas; Račkauskas, Alfredas
13
2010
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
13
2009
Some limit theory for the self-normalised periodogram of stable processes. Zbl 0809.62081
Klüppelberg, Claudia; Mikosch, Thomas
12
1994
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
12
2013
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
11
2000
On the law of iterated logarithm for independent random variables outside of the domain of partial attraction of the normal law. Zbl 0547.60037
Mikosh, T.
11
1984
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
11
2006
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017
Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver
11
2016
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
10
2001
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027
Heiny, Johannes; Mikosch, Thomas
10
2018
Almost sure convergence of bootstrapped means and \(U\)-statistics. Zbl 0805.62049
Mikosch, T.
9
1994
Strong laws of large numbers for fields of Banach space valued random variables. Zbl 0586.60007
Mikosch, T.; Norvaisa, R.
9
1987
A bootstrap procedure for estimating the adjustment coefficients. Zbl 0747.62104
Embrechts, Paul; Mikosch, Thomas
9
1991
Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032
Mikosch, T.; Norvaiša, R.
9
1997
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
8
2016
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
8
2014
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
8
2013
Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083
Aebi, M.; Embrechts, P.; Mikosch, T.
7
1994
Heavy-tailed modelling in insurance. Zbl 0916.62073
Mikosch, T.
7
1997
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
7
2000
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
7
2000
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
7
2010
A Fourier analysis of extreme events. Zbl 1321.60110
Mikosch, Thomas; Zhao, Yuwei
7
2014
Periodogram estimates from heavy-tailed data. Zbl 0922.62090
Mikosch, T.
6
1998
Poisson limits for \(U\)-statistics. Zbl 1059.60063
Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon
6
2002
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
6
1996
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
6
2019
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195
Heiny, Johannes; Mikosch, Thomas
6
2019
How to model multivariate extremes if one must? Zbl 1069.62042
Mikosch, Thomas
6
2005
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Zbl 1414.62368
Janssen, Anja; Mikosch, Thomas; Rezapour, Mohsen; Xie, Xiaolei
6
2018
A weak invariance principle for weighted \(U\)-statistics with varying kernels. Zbl 0788.60045
Mikosch, Thomas
5
1993
Distance covariance for discretized stochastic processes. Zbl 1462.62356
Dehling, Herold; Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
5
2020
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
5
2017
A large claim index. Zbl 0766.62061
Aebi, Markus; Embrechts, Paul; Mikosch, Thomas
4
1992
Limit theorems for methods of summation of independent random variables. I. Zbl 0637.60007
Mikosh, T.; Norvajsha, R.
4
1987
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
4
2010
The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081
Mikosch, Thomas; Zhao, Yuwei
4
2015
Heavy tails of OLS. Zbl 1443.62494
Mikosch, Thomas; de Vries, Casper G.
4
2013
Point process convergence for the off-diagonal entries of sample covariance matrices. Zbl 1479.60101
Heiny, Johannes; Mikosch, Thomas; Yslas, Jorge
4
2021
Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078
Davis, Richard A.; Mikosch, Thomas
3
1998
Large sample autocovariance matrices of linear processes with heavy tails. Zbl 1476.60014
Heiny, Johannes; Mikosch, Thomas
3
2021
Large deviations of \(\ell^p\)-blocks of regularly varying time series and applications to cluster inference. Zbl 1524.60058
Buriticá, Gloria; Mikosch, Thomas; Wintenberger, Olivier
1
2023
Point process convergence for the off-diagonal entries of sample covariance matrices. Zbl 1479.60101
Heiny, Johannes; Mikosch, Thomas; Yslas, Jorge
4
2021
Large sample autocovariance matrices of linear processes with heavy tails. Zbl 1476.60014
Heiny, Johannes; Mikosch, Thomas
3
2021
Precise large deviations for dependent subexponential variables. Zbl 1480.60062
Mikosch, Thomas; Rodionov, Igor
2
2021
Distance covariance for discretized stochastic processes. Zbl 1462.62356
Dehling, Herold; Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
5
2020
Homogeneous mappings of regularly varying vectors. Zbl 1477.60032
Dyszewski, Piotr; Mikosch, Thomas
2
2020
Gumbel and Fréchet convergence of the maxima of independent random walks. Zbl 1453.60075
Mikosch, Thomas; Yslas, Jorge
1
2020
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set. Zbl 1428.62426
Liu, Zhipeng; Blanchet, Jose H.; Dieker, A. B.; Mikosch, Thomas
6
2019
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails. Zbl 1430.62195
Heiny, Johannes; Mikosch, Thomas
6
2019
Heavy tails for an alternative stochastic perpetuity model. Zbl 1448.60115
Mikosch, Thomas; Rezapour, Mohsen; Wintenberger, Olivier
1
2019
Applications of distance correlation to time series. Zbl 1414.62357
Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis
23
2018
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027
Heiny, Johannes; Mikosch, Thomas
10
2018
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model. Zbl 1414.62368
Janssen, Anja; Mikosch, Thomas; Rezapour, Mohsen; Xie, Xiaolei
6
2018
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case. Zbl 1378.60024
Heiny, Johannes; Mikosch, Thomas
16
2017
Distance covariance for stochastic processes. Zbl 1396.62115
Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady
5
2017
Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004
Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas
107
2016
A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024
Mikosch, Thomas; Wintenberger, Olivier
17
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
17
2016
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series. Zbl 1331.60017
Davis, Richard A.; Mikosch, Thomas; Pfaffel, Oliver
11
2016
The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059
Matsui, Muneya; Mikosch, Thomas
8
2016
Exact simulation of Brown-Resnick random fields at a finite number of locations. Zbl 1319.60108
Dieker, A. B.; Mikosch, T.
47
2015
The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081
Mikosch, Thomas; Zhao, Yuwei
4
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
17
2014
Aggregation of log-linear risks. Zbl 1334.60029
Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas
8
2014
A Fourier analysis of extreme events. Zbl 1321.60110
Mikosch, Thomas; Zhao, Yuwei
7
2014
General inverse problems for regular variation. Zbl 1314.60049
Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
3
2014
Measures of serial extremal dependence and their estimation. Zbl 1294.60076
Davis, Richard A.; Mikosch, Thomas; Zhao, Yuwei
23
2013
Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029
Mikosch, Thomas; Wintenberger, Olivier
20
2013
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043
Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J.
14
2013
Stochastic volatility models with possible extremal clustering. Zbl 1286.91144
Mikosch, Thomas; Rezapour, Mohsen
12
2013
Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042
Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh
8
2013
Heavy tails of OLS. Zbl 1443.62494
Mikosch, Thomas; de Vries, Casper G.
4
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
3
2013
Estimation of the tail index for lattice-valued sequences. Zbl 1286.62049
Matsui, Muneya; Mikosch, Thomas; Tafakori, Laleh
2
2013
Towards estimating extremal serial dependence via the bootstrapped extremogram. Zbl 1443.62251
Davis, Richard A.; Mikosch, Thomas; Cribben, Ivor
24
2012
Stable limits for sums of dependent infinite variance random variables. Zbl 1231.60017
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier
31
2011
Prediction of outstanding payments in a Poisson cluster model. Zbl 1277.62252
Jessen, Anders Hedegaard; Mikosch, Thomas; Samorodnitsky, Gennady
16
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
13
2010
Prediction in a Poisson cluster model. Zbl 1200.60033
Matsui, Muneya; Mikosch, Thomas
7
2010
Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Zbl 1207.62173
Can, Sami Umut; Mikosch, Thomas; Samorodnitsky, Gennady
4
2010
A tribute to Professor Kiyosi Itô. Zbl 1178.01066
Yor, M.; Vares, M. E.; Mikosch, T.
1
2010
The extremogram: a correlogram for extreme events. Zbl 1200.62104
Davis, Richard A.; Mikosch, Thomas
70
2009
Non-life insurance mathematics. An introduction with the Poisson process. 2nd ed. Zbl 1166.91002
Mikosch, Thomas
66
2009
Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004
37
2009
Extreme value theory for GARCH processes. Zbl 1178.62094
Davis, Richard A.; Mikosch, Thomas
24
2009
Extremes of stochastic volatility models. Zbl 1178.62112
Davis, Richard A.; Mikosch, Thomas
21
2009
Inverse problems for regular variation of linear filters, a cancellation property for \(\sigma\)-finite measures and identification of stable laws. Zbl 1171.60309
Jacobsen, Martin; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady
17
2009
Probabilistic properties of stochastic volatility models. Zbl 1200.62129
Davis, Richard A.; Mikosch, Thomas
13
2009
Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040
Davis, Richard A.; Mikosch, Thomas
30
2008
Tail behavior of random products and stochastic exponentials. Zbl 1137.60028
Cohen, Serge; Mikosch, Thomas
1
2008
Scaling limits for cumulative input processes. Zbl 1279.90033
Mikosch, Thomas; Samorodnitsky, Gennady
14
2007
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094
Straumann, Daniel; Mikosch, Thomas
157
2006
Regularly varying functions. Zbl 1164.60301
Jessen, Anders Hedegaard; Mikosch, Thomas
86
2006
Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075
Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady
45
2006
Copulas: Tales and facts (with discussion). Zbl 1164.62355
Mikosch, Thomas
37
2006
Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082
Mikosch, Thomas; Straumann, Daniel
29
2006
Activity rates with very heavy tails. Zbl 1090.60075
Mikosch, Thomas; Resnick, Sidney
11
2006
Functional large deviations for multivariate regularly varying random walks. Zbl 1166.60309
Hult, Henrik; Lindskog, Filip; Mikosch, Thomas; Samorodnitsky, Gennady
55
2005
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Zbl 1085.60017
Konstantinides, Dimitrios G.; Mikosch, Thomas
31
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
45
2004
Extreme values in finance, telecommunications, and the environment. Invited papers presented at the 5th Séminaire Européen de Statitisque (SemStat) on extreme value theory and applications, Gothenburg, Sweden, December 10–16, 2001. Zbl 1020.00022
27
2004
Changes of structure in financial time series and the GARCH model. Zbl 1132.62352
Mikosch, Thomas; Stărică, Cătălin
16
2004
Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013
Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette
28
2003
Long-range dependence effects and ARCH modeling. Zbl 1026.62113
Mikosch, Thomas; Stărică, Cătălin
16
2003
Regular variation of GARCH processes. Zbl 1060.60033
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
175
2002
Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076
Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin
109
2002
A characterization of multivariate regular variation. Zbl 1070.60011
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas
80
2002
Empirical process techniques for dependent data. Zbl 1005.00016
24
2002
Whittle estimation in a heavy-tailed GARCH(1,1) model. Zbl 1057.62072
Mikosch, Thomas; Straumann, Daniel
13
2002
Tail probabilities of subadditive functionals of Lévy processes. Zbl 1035.60045
Braverman, Michael; Mikosch, Thomas; Samorodnitsky, Gennady
13
2002
Poisson limits for \(U\)-statistics. Zbl 1059.60063
Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon
6
2002
Lévy processes. Theory and applications. Zbl 0961.00012
99
2001
Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038
Davis, Richard A.; Mikosch, Thomas
21
2001
Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050
Mikosch, Thomas; Nagaev, Alexander
10
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
127
2000
The supremum of a negative drift random walk with dependent heavy-tailed steps. Zbl 1083.60506
Mikosch, Thomas; Samorodnitsky, Gennady
71
2000
Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028
Mikosch, Thomas; Samorodnitsky, Gennady
27
2000
Stochastic integral equations without probability. Zbl 0963.60060
Mikosch, Thomas; Norvaiša, Rimas
11
2000
The periodogram at the Fourier frequencies. Zbl 1025.62030
Kokoszka, P.; Mikosch, T.
7
2000
The maximum of the periodogram for a heavy-tailed sequence. Zbl 1044.62097
Mikosch, Thomas; Resnick, Sidney; Samorodnitsky, Gennady
7
2000
The sample ACF of a simple bilinear process. Zbl 0997.60012
Basrak, B.; Davis, R. A.; Mikosch, T.
18
1999
The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556
Davis, Richard A.; Mikosch, Thomas
14
1999
The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092
Davis, Richard A.; Mikosch, Thomas
98
1998
Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037
Mikosch, T.; Nagaev, A. V.
92
1998
Elementary stochastic calculus with finance in view. Zbl 0934.60002
Mikosch, Thomas
38
1998
Periodogram estimates from heavy-tailed data. Zbl 0922.62090
Mikosch, T.
6
1998
Gaussian likelihood-based inference for non-invertible MA(1) processes with S\(\alpha \)S noise. Zbl 0926.62078
Davis, Richard A.; Mikosch, Thomas
3
1998
Modelling extremal events for insurance and finance. Zbl 0873.62116
Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas
1997
Large deviations of heavy-tailed random sums with applications in insurance and finance. Zbl 0903.60021
Klüppelberg, C.; Mikosch, T.
94
1997
The integrated periodogram for long-memory processes with finite or infinite variance. Zbl 0885.62108
Kokoszka, P.; Mikosch, T.
18
1997
Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032
Mikosch, T.; Norvaiša, R.
9
1997
Heavy-tailed modelling in insurance. Zbl 0916.62073
Mikosch, T.
7
1997
The integrated periodogram for stable processes. Zbl 0898.62116
Klüppelberg, Claudia; Mikosch, Thomas
22
1996
Gaussian limit fields for the integrated periodogram. Zbl 0866.60030
Klüppelberg, Claudia; Mikosch, Thomas
6
1996
Explosive Poisson shot noise processes with applications to risk reserves. Zbl 0842.60030
Klüppelberg, Claudia; Mikosch, Thomas
82
1995
Parameter estimation for ARMA models with infinite variance innovations. Zbl 0822.62076
Mikosch, Thomas; Gadrich, Tamar; Klüppelberg, Claudia; Adler, Robert J.
77
1995
Delay in claim settlement and ruin probability approximations. Zbl 0836.62086
Klüppelberg, C.; Mikosch, T.
24
1995
...and 28 more Documents
all top 5

Cited by 3,507 Authors

79 Mikosch, Thomas
66 Hashorva, Enkelejd
51 Klüppelberg, Claudia
47 Samorodnitsky, Gennady Pinkhosovich
47 Tang, Qihe
43 Yang, Yang
34 Resnick, Sidney Ira
33 Šiaulys, Jonas
31 Dębicki, Krzysztof
28 Surgailis, Donatas
28 Wang, Yuebao
25 Davis, Richard A.
25 Gao, Qingwu
25 Kokoszka, Piotr S.
25 Wang, Kaiyong
24 Girard, Stéphane
23 Leipus, Remigijus
22 Embrechts, Paul
22 Lee, Sangyeol
22 Li, Jinzhu
21 Peng, Liang
21 Wintenberger, Olivier
20 Asmussen, Søren
20 Soulier, Philippe
19 Kulik, Rafał
19 Zwart, Bert P.
18 Blanchet, Jose H.
18 Chen, Yiqing
18 Matsui, Muneya
18 Wang, Shijie
17 Iksanov, Aleksander M.
17 Yuen, Kam Chuen
16 Albrecher, Hansjörg
16 Basrak, Bojan
16 Cheng, Dongya
16 Damek, Ewa
16 Heiny, Johannes
15 Blasques, Francisco
15 Buraczewski, Dariusz
15 Ji, Lanpeng
15 Ling, Shiqing
15 Liu, Xijun
15 Macci, Claudio
15 Stupfler, Gilles
14 Hill, Jonathan B.
14 Lu, Dawei
14 Shen, Xinmei
14 Stoev, Stilian A.
14 Zhang, Rongmao
13 Das, Bikramjit
13 Dombry, Clément
13 Eliazar, Iddo I.
13 Francq, Christian
13 Koopman, Siem Jan
13 Mandjes, Michel Robertus Hendrikus
13 Mao, Tiantian
12 Drees, Holger
12 Fasen, Vicky
12 Foss, Sergey G.
12 Guillou, Armelle
12 Hu, Taizhong
12 Ng, Kai Wang
12 Palmowski, Zbigniew
12 Robert, Christian-Yann
12 Su, Chun
12 Wang, Dingcheng
12 Wüthrich, Mario Valentin
11 Asimit, Alexandru V.
11 Chen, Yu
11 Dembińska, Anna
11 Gardes, Laurent
11 Horváth, Lajos
11 Liu, Peng
11 Maller, Ross Arthur
11 Rosalsky, Andrew
11 Segers, Johan
11 Taqqu, Murad S.
11 Torrisi, Giovanni Luca
11 Zhang, Zhengjun
10 Bai, Long
10 Bingham, Nicholas Hugh
10 Engelke, Sebastian
10 Geng, Bingzhen
10 Konstantinides, Dimitrios G.
10 Linton, Oliver Bruce
10 Marynych, Alexander V.
10 McCormick, William P.
10 Omey, Edward
10 Pap, Gyula
10 Song, Lixin
10 Tawn, Jonathan A.
10 Zakoïan, Jean-Michel
10 Zhang, Yi
9 Arvanitis, Stelios
9 Berkes, István
9 Cheng, Fengyang
9 Davison, Anthony C.
9 Fu, Ke’ang
9 Glynn, Peter W.
9 Hazra, Rajat Subhra
...and 3,407 more Authors
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Cited in 330 Serials

169 Stochastic Processes and their Applications
168 Statistics & Probability Letters
163 Insurance Mathematics & Economics
150 Extremes
95 Journal of Econometrics
92 Bernoulli
91 Communications in Statistics. Theory and Methods
89 Advances in Applied Probability
86 Journal of Applied Probability
72 Journal of Multivariate Analysis
69 Journal of Statistical Planning and Inference
58 The Annals of Applied Probability
57 The Annals of Statistics
54 Scandinavian Actuarial Journal
53 Econometric Theory
48 Computational Statistics and Data Analysis
46 Journal of Time Series Analysis
43 Lithuanian Mathematical Journal
43 Methodology and Computing in Applied Probability
41 Journal of Theoretical Probability
39 Stochastic Models
36 Journal of Mathematical Analysis and Applications
34 Electronic Journal of Statistics
33 Queueing Systems
30 ASTIN Bulletin
28 Annals of the Institute of Statistical Mathematics
27 The Annals of Probability
25 Electronic Journal of Probability
25 Journal of the Korean Statistical Society
24 Journal of Statistical Computation and Simulation
24 Quantitative Finance
23 Communications in Statistics. Simulation and Computation
22 Physica A
22 Statistics
21 Test
21 North American Actuarial Journal
20 Statistical Papers
20 Stochastics
19 Metrika
19 Journal of Computational and Applied Mathematics
19 Econometric Reviews
18 Probability Theory and Related Fields
18 European Journal of Operational Research
17 Journal of Statistical Mechanics: Theory and Experiment
16 Applied Mathematics and Computation
16 Acta Mathematicae Applicatae Sinica. English Series
16 Journal of Applied Statistics
16 European Actuarial Journal
14 Journal of Nonparametric Statistics
14 Journal of Inequalities and Applications
14 Statistics and Computing
14 Dependence Modeling
14 Modern Stochastics. Theory and Applications
13 Scandinavian Journal of Statistics
13 Economics Letters
13 Journal of Mathematical Sciences (New York)
13 Probability in the Engineering and Informational Sciences
13 Applied Stochastic Models in Business and Industry
13 Journal of Industrial and Management Optimization
12 Journal of Statistical Physics
12 Stochastic Analysis and Applications
12 Journal of Economic Dynamics & Control
12 Annals of Operations Research
12 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
12 Statistical Inference for Stochastic Processes
12 The Annals of Applied Statistics
12 Science China. Mathematics
11 Mathematics and Computers in Simulation
11 Brazilian Journal of Probability and Statistics
11 ALEA. Latin American Journal of Probability and Mathematical Statistics
11 Journal of Statistical Theory and Practice
10 Studies in Nonlinear Dynamics and Econometrics
9 Chaos, Solitons and Fractals
9 Journal of the American Statistical Association
9 Statistical Science
9 Journal of Physics A: Mathematical and Theoretical
8 Theory of Probability and its Applications
8 Probability and Mathematical Statistics
8 Japan Journal of Industrial and Applied Mathematics
8 Finance and Stochastics
8 Frontiers of Mathematics in China
7 International Statistical Review
7 Science in China. Series A
7 Applied Mathematics. Series B (English Edition)
7 Mathematical Methods of Operations Research
7 Statistical Methods and Applications
7 Journal of Time Series Econometrics
6 Kybernetika
6 Theory of Probability and Mathematical Statistics
6 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
6 Australian & New Zealand Journal of Statistics
6 The Econometrics Journal
6 Nonlinear Analysis. Modelling and Control
6 Comptes Rendus. Mathématique. Académie des Sciences, Paris
6 Statistical Methodology
6 AStA. Advances in Statistical Analysis
6 Stochastic Systems
5 Computers & Mathematics with Applications
5 Statistica Sinica
5 Mathematical Problems in Engineering
...and 230 more Serials
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Cited in 48 Fields

1,923 Probability theory and stochastic processes (60-XX)
1,915 Statistics (62-XX)
955 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
176 Numerical analysis (65-XX)
118 Operations research, mathematical programming (90-XX)
45 Statistical mechanics, structure of matter (82-XX)
41 Dynamical systems and ergodic theory (37-XX)
41 Computer science (68-XX)
30 Real functions (26-XX)
26 Partial differential equations (35-XX)
24 Systems theory; control (93-XX)
22 Biology and other natural sciences (92-XX)
20 Combinatorics (05-XX)
20 Geophysics (86-XX)
17 Information and communication theory, circuits (94-XX)
16 Measure and integration (28-XX)
16 Functional analysis (46-XX)
14 Integral transforms, operational calculus (44-XX)
13 Linear and multilinear algebra; matrix theory (15-XX)
13 Ordinary differential equations (34-XX)
13 Integral equations (45-XX)
9 Special functions (33-XX)
9 Approximations and expansions (41-XX)
8 Convex and discrete geometry (52-XX)
7 Difference and functional equations (39-XX)
7 Harmonic analysis on Euclidean spaces (42-XX)
7 Operator theory (47-XX)
6 General and overarching topics; collections (00-XX)
5 History and biography (01-XX)
5 Number theory (11-XX)
5 Algebraic topology (55-XX)
4 Functions of a complex variable (30-XX)
4 Sequences, series, summability (40-XX)
4 Calculus of variations and optimal control; optimization (49-XX)
3 Mathematical logic and foundations (03-XX)
3 Group theory and generalizations (20-XX)
3 Quantum theory (81-XX)
2 Category theory; homological algebra (18-XX)
2 General topology (54-XX)
1 Field theory and polynomials (12-XX)
1 Potential theory (31-XX)
1 Abstract harmonic analysis (43-XX)
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1 Mechanics of particles and systems (70-XX)
1 Fluid mechanics (76-XX)
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1 Mathematics education (97-XX)

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