Damek, Ewa; Mikosch, Thomas; Zhao, Yuwei; Zienkiewicz, Jacek Whittle estimation based on the extremal spectral density of a heavy-tailed random field. (English) Zbl 1504.60083 Stochastic Processes Appl. 155, 232-267 (2023). MSC: 60G70 62M40 60G10 60F05 62G32 60G60 PDFBibTeX XMLCite \textit{E. Damek} et al., Stochastic Processes Appl. 155, 232--267 (2023; Zbl 1504.60083) Full Text: DOI arXiv
Davis, Richard A.; Matsui, Muneya; Mikosch, Thomas; Wan, Phyllis Applications of distance correlation to time series. (English) Zbl 1414.62357 Bernoulli 24, No. 4A, 3087-3116 (2018). MSC: 62M10 60E10 60G10 62E20 PDFBibTeX XMLCite \textit{R. A. Davis} et al., Bernoulli 24, No. 4A, 3087--3116 (2018; Zbl 1414.62357) Full Text: DOI arXiv Euclid
Mikosch, Thomas; Wintenberger, Olivier A large deviations approach to limit theory for heavy-tailed time series. (English) Zbl 1350.60024 Probab. Theory Relat. Fields 166, No. 1-2, 233-269 (2016). Reviewer: Seenith Sivasundaram (Daytona Beach) MSC: 60F10 60F05 60G50 60G70 60G55 62M10 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{O. Wintenberger}, Probab. Theory Relat. Fields 166, No. 1--2, 233--269 (2016; Zbl 1350.60024) Full Text: DOI arXiv
Mikosch, Thomas; Wintenberger, Olivier The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains. (English) Zbl 1304.60034 Probab. Theory Relat. Fields 159, No. 1-2, 157-196 (2014). Reviewer: Oleg K. Zakusilo (Kyïv) MSC: 60F05 60F10 60J05 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{O. Wintenberger}, Probab. Theory Relat. Fields 159, No. 1--2, 157--196 (2014; Zbl 1304.60034) Full Text: DOI arXiv
Mikosch, Thomas; Zhao, Yuwei A Fourier analysis of extreme events. (English) Zbl 1321.60110 Bernoulli 20, No. 2, 803-845 (2014). MSC: 60G70 62M15 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{Y. Zhao}, Bernoulli 20, No. 2, 803--845 (2014; Zbl 1321.60110) Full Text: DOI arXiv Euclid
Mikosch, Thomas; Rezapour, Mohsen Stochastic volatility models with possible extremal clustering. (English) Zbl 1286.91144 Bernoulli 19, No. 5A, 1688-1713 (2013). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G30 60G55 91B70 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{M. Rezapour}, Bernoulli 19, No. 5A, 1688--1713 (2013; Zbl 1286.91144) Full Text: DOI arXiv
Mikosch, Thomas; Wintenberger, Olivier Precise large deviations for dependent regularly varying sequences. (English) Zbl 1276.60029 Probab. Theory Relat. Fields 156, No. 3-4, 851-887 (2013). MSC: 60F10 60J05 60G70 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{O. Wintenberger}, Probab. Theory Relat. Fields 156, No. 3--4, 851--887 (2013; Zbl 1276.60029) Full Text: DOI arXiv
Bartkiewicz, Katarzyna; Jakubowski, Adam; Mikosch, Thomas; Wintenberger, Olivier Stable limits for sums of dependent infinite variance random variables. (English) Zbl 1231.60017 Probab. Theory Relat. Fields 150, No. 3-4, 337-372 (2011). Reviewer: Pavel Gapeev (London) MSC: 60F05 60G52 60G70 PDFBibTeX XMLCite \textit{K. Bartkiewicz} et al., Probab. Theory Relat. Fields 150, No. 3--4, 337--372 (2011; Zbl 1231.60017) Full Text: DOI arXiv
Davis, Richard A.; Mikosch, Thomas The extremogram: a correlogram for extreme events. (English) Zbl 1200.62104 Bernoulli 15, No. 4, 977-1009 (2009). MSC: 62M10 62G32 62P05 62F05 62M15 PDFBibTeX XMLCite \textit{R. A. Davis} and \textit{T. Mikosch}, Bernoulli 15, No. 4, 977--1009 (2009; Zbl 1200.62104) Full Text: DOI arXiv
Mikosch, Thomas; Straumann, Daniel Stable limits of martingale transforms with application to the estimation of GARCH parameters. (English) Zbl 1091.62082 Ann. Stat. 34, No. 1, 496-522 (2006). MSC: 62M10 62F12 60F05 62G32 60E07 60G42 60G70 PDFBibTeX XMLCite \textit{T. Mikosch} and \textit{D. Straumann}, Ann. Stat. 34, No. 1, 496--522 (2006; Zbl 1091.62082) Full Text: DOI arXiv
Konstantinides, Dimitrios G.; Mikosch, Thomas Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. (English) Zbl 1085.60017 Ann. Probab. 33, No. 5, 1992-2035 (2005). Reviewer: Zdzisław Rychlik (Lublin) MSC: 60F10 91B30 60G70 60G35 PDFBibTeX XMLCite \textit{D. G. Konstantinides} and \textit{T. Mikosch}, Ann. Probab. 33, No. 5, 1992--2035 (2005; Zbl 1085.60017) Full Text: DOI
Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas Regular variation of GARCH processes. (English) Zbl 1060.60033 Stochastic Processes Appl. 99, No. 1, 95-115 (2002). Reviewer: Jiří Anděl (Praha) MSC: 60G10 62M10 60G55 91B28 62G20 62P05 PDFBibTeX XMLCite \textit{B. Basrak} et al., Stochastic Processes Appl. 99, No. 1, 95--115 (2002; Zbl 1060.60033) Full Text: DOI