Edit Profile (opens in new tab) Mikosch, Thomas Co-Author Distance Author ID: mikosch.thomas Published as: Mikosch, Thomas; Mikosch, T.; Mikosh, T.; Mikos, T. more...less Homepage: https://web.math.ku.dk/~mikosch/ External Links: MGP · Wikidata · Math-Net.Ru · GND · IdRef Documents Indexed: 148 Publications since 1982, including 6 Books and 2 Additional arXiv Preprints 8 Contributions as Editor · 2 Further Contributions Reviewing Activity: 29 Reviews Co-Authors: 77 Co-Authors with 117 Joint Publications 1,978 Co-Co-Authors 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 6 Heiny, Johannes 5 Resnick, Sidney Ira 4 Damek, Ewa 4 Dehling, Herold G. 4 Norvaiša, Rimas 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 Norvajsha, R. 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 all top 5 Fields 132 Probability theory and stochastic processes (60-XX) 80 Statistics (62-XX) 27 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 10 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 Open 128 Publications have been cited 4,415 times in 3,108 Documents Cited by ▼ Year ▼ Modelling extremal events for insurance and finance. Zbl 0873.62116 Embrechts, Paul; Klüppelberg, Claudia; Mikosch, Thomas 1,568 1997 Regular variation of GARCH processes. Zbl 1060.60033 Basrak, Bojan; Davis, Richard A.; Mikosch, Thomas 174 2002 Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: a stochastic recurrence equations approach. Zbl 1108.62094 Straumann, Daniel; Mikosch, Thomas 154 2006 Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) process. Zbl 1105.62374 Mikosch, Thomas; Stărică, Cătălin 122 2000 Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076 Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin 107 2002 Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004 Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas 98 2016 The sample autocorrelations of heavy-tailed processes with applications to ARCH. Zbl 0929.62092 Davis, Richard A.; Mikosch, Thomas 96 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. 90 1998 Regularly varying functions. Zbl 1164.60301 Jessen, Anders Hedegaard; Mikosch, Thomas 84 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. 73 1995 Lévy processes. Theory and applications. Zbl 0961.00012 72 2001 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 54 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 43 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 34 1998 Copulas: Tales and facts (with discussion). Zbl 1164.62355 Mikosch, Thomas 33 2006 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 30 2011 Regular variation in the mean and stable limits for Poisson shot noise. Zbl 1044.60013 Klüppelberg, Claudia; Mikosch, Thomas; Schärf, Anette 28 2003 Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082 Mikosch, Thomas; Straumann, Daniel 28 2006 Extreme value theory for space-time processes with heavy-tailed distributions. Zbl 1142.60040 Davis, Richard A.; Mikosch, Thomas 27 2008 Ruin probability with claims modeled by a stationary ergodic stable process. Zbl 1044.60028 Mikosch, Thomas; Samorodnitsky, Gennady 26 2000 Delay in claim settlement and ruin probability approximations. Zbl 0836.62086 Klüppelberg, C.; Mikosch, T. 24 1995 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 22 2018 Empirical process techniques for dependent data. Zbl 1005.00016 22 2002 The integrated periodogram for stable processes. Zbl 0898.62116 Klüppelberg, Claudia; Mikosch, Thomas 22 1996 Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004 21 2009 Extremes of stochastic volatility models. Zbl 1178.62112 Davis, Richard A.; Mikosch, Thomas 21 2009 Point process convergence of stochastic volatility processes with application to sample autocorrelation. Zbl 1021.60038 Davis, Richard A.; Mikosch, Thomas 21 2001 Functional limit theorems for random quadratic forms. Zbl 0726.60030 Mikosch, T. 20 1991 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 20 2004 Precise large deviations for dependent regularly varying sequences. Zbl 1276.60029 Mikosch, Thomas; Wintenberger, Olivier 19 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 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 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 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 Changes of structure in financial time series and the GARCH model. Zbl 1132.62352 Mikosch, Thomas; Stărică, Cătălin 16 2004 A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024 Mikosch, Thomas; Wintenberger, Olivier 16 2016 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 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 Spectral estimates and stable processes. Zbl 0779.60023 Klüppelberg, Claudia; Mikosch, Thomas 15 1993 Scaling limits for cumulative input processes. Zbl 1279.90033 Mikosch, Thomas; Samorodnitsky, Gennady 14 2007 The maximum of the periodogram of a non-Gaussian sequence. Zbl 1073.62556 Davis, Richard A.; Mikosch, Thomas 14 1999 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 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 Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043 Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J. 13 2013 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 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 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. 10 1984 Rates in approximations to ruin probabilities for heavy-tailed distributions. Zbl 1003.60050 Mikosch, Thomas; Nagaev, Alexander 10 2001 Uniform convergence of the empirical spectral distribution function. Zbl 0913.60032 Mikosch, T.; Norvaiša, R. 9 1997 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 Almost sure convergence of bootstrapped means and \(U\)-statistics. Zbl 0805.62049 Mikosch, T. 9 1994 Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027 Heiny, Johannes; Mikosch, Thomas 9 2018 Aggregation of log-linear risks. Zbl 1334.60029 Embrechts, Paul; Hashorva, Enkelejd; Mikosch, Thomas 8 2014 Heavy-tailed modelling in insurance. Zbl 0916.62073 Mikosch, T. 7 1997 Stochastic discounting, aggregate claims, and the bootstrap. Zbl 0807.62083 Aebi, M.; Embrechts, P.; Mikosch, T. 7 1994 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 The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process. Zbl 1426.60059 Matsui, Muneya; Mikosch, Thomas 7 2016 Fractional moments of solutions to stochastic recurrence equations. Zbl 1303.60042 Mikosch, Thomas; Samorodnitsky, Gennady; Tafakori, Laleh 7 2013 A Fourier analysis of extreme events. Zbl 1321.60110 Mikosch, Thomas; Zhao, Yuwei 7 2014 How to model multivariate extremes if one must? Zbl 1069.62042 Mikosch, Thomas 6 2005 The periodogram at the Fourier frequencies. Zbl 1025.62030 Kokoszka, P.; Mikosch, T. 6 2000 Gaussian limit fields for the integrated periodogram. Zbl 0866.60030 Klüppelberg, Claudia; Mikosch, Thomas 6 1996 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 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 Periodogram estimates from heavy-tailed data. Zbl 0922.62090 Mikosch, T. 5 1998 Poisson limits for \(U\)-statistics. Zbl 1059.60063 Dabrowski, André R.; Dehling, Herold G.; Mikosch, Thomas; Sharipov, Olimjon 5 2002 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 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 large claim index. Zbl 0766.62061 Aebi, Markus; Embrechts, Paul; Mikosch, Thomas 4 1992 Heavy tails of OLS. Zbl 1443.62494 Mikosch, Thomas; de Vries, Casper G. 4 2013 The integrated periodogram of a dependent extremal event sequence. Zbl 1316.60081 Mikosch, Thomas; Zhao, Yuwei 4 2015 Distance covariance for stochastic processes. Zbl 1396.62115 Matsui, Muneya; Mikosch, Thomas; Samorodnitsky, Gennady 4 2017 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 General inverse problems for regular variation. Zbl 1314.60049 Damek, Ewa; Mikosch, Thomas; Rosiński, Jan; Samorodnitsky, Gennady 3 2014 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 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 22 2018 Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices. Zbl 1388.60027 Heiny, Johannes; Mikosch, Thomas 9 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 4 2017 Stochastic models with power-law tails. The equation \(X=AX+B\). Zbl 1357.60004 Buraczewski, Dariusz; Damek, Ewa; Mikosch, Thomas 98 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 A large deviations approach to limit theory for heavy-tailed time series. Zbl 1350.60024 Mikosch, Thomas; Wintenberger, Olivier 16 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 7 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 19 2013 Large deviations for solutions to stochastic recurrence equations under Kesten’s condition. Zbl 1283.60043 Buraczewski, D.; Damek, E.; Mikosch, T.; Zienkiewicz, J. 13 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 7 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 30 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 Extreme value theory for GARCH processes. Zbl 1178.62094 Davis, Richard A.; Mikosch, Thomas 24 2009 Handbook of financial time series. With a foreword by Robert Engle. Zbl 1162.91004 21 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 27 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 154 2006 Regularly varying functions. Zbl 1164.60301 Jessen, Anders Hedegaard; Mikosch, Thomas 84 2006 Modeling teletraffic arrivals by a Poisson cluster process. Zbl 1119.60075 Faÿ, Gilles; González-Arévalo, Bárbara; Mikosch, Thomas; Samorodnitsky, Gennady 43 2006 Copulas: Tales and facts (with discussion). Zbl 1164.62355 Mikosch, Thomas 33 2006 Stable limits of martingale transforms with application to the estimation of GARCH parameters. Zbl 1091.62082 Mikosch, Thomas; Straumann, Daniel 28 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 54 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 20 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 174 2002 Is network traffic approximated by stable Lévy motion or fractional Brownian motion? Zbl 1021.60076 Mikosch, Thomas; Resnick, Sidney; Rootzén, Holger; Stegeman, Alwin 107 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 22 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 5 2002 Lévy processes. Theory and applications. Zbl 0961.00012 72 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 122 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 26 2000 Stochastic integral equations without probability. Zbl 0963.60060 Mikosch, Thomas; Norvaiša, Rimas 11 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. 6 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 96 1998 Large deviations of heavy-tailed sums with applications in insurance. Zbl 0927.60037 Mikosch, T.; Nagaev, A. V. 90 1998 Elementary stochastic calculus with finance in view. Zbl 0934.60002 Mikosch, Thomas 34 1998 Periodogram estimates from heavy-tailed data. Zbl 0922.62090 Mikosch, T. 5 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 1,568 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. 73 1995 Delay in claim settlement and ruin probability approximations. Zbl 0836.62086 Klüppelberg, C.; Mikosch, T. 24 1995 ...and 28 more Documents all cited Publications top 5 cited Publications all top 5 Cited by 3,301 Authors 79 Mikosch, Thomas 64 Hashorva, Enkelejd 51 Klüppelberg, Claudia 47 Samorodnitsky, Gennady Pinkhosovich 46 Tang, Qihe 42 Yang, Yang 32 Resnick, Sidney Ira 32 Šiaulys, Jonas 31 Dębicki, Krzysztof 28 Surgailis, Donatas 28 Wang, Yuebao 25 Davis, Richard A. 25 Gao, Qingwu 25 Kokoszka, Piotr S. 23 Girard, Stéphane 23 Wang, Kaiyong 22 Embrechts, Paul 22 Lee, Sangyeol 22 Leipus, Remigijus 20 Asmussen, Søren 20 Li, Jinzhu 20 Peng, Liang 20 Soulier, Philippe 19 Kulik, Rafał 19 Wintenberger, Olivier 18 Chen, Yiqing 18 Matsui, Muneya 17 Blanchet, Jose H. 17 Yuen, Kam Chuen 16 Albrecher, Hansjörg 16 Basrak, Bojan 16 Damek, Ewa 16 Iksanov, Aleksander M. 16 Wang, Shijie 16 Zwart, Bert P. 15 Buraczewski, Dariusz 15 Heiny, Johannes 15 Ji, Lanpeng 15 Ling, Shiqing 15 Liu, Xijun 15 Macci, Claudio 14 Blasques, Francisco 14 Cheng, Dongya 14 Hill, Jonathan B. 14 Lu, Dawei 14 Shen, Xinmei 14 Stupfler, Gilles 14 Zhang, Rongmao 13 Dombry, Clément 13 Eliazar, Iddo I. 13 Francq, Christian 13 Mao, Tiantian 12 Das, Bikramjit 12 Drees, Holger 12 Fasen, Vicky 12 Guillou, Armelle 12 Hu, Taizhong 12 Koopman, Siem Jan 12 Mandjes, Michel Robertus Hendrikus 12 Ng, Kai Wang 12 Robert, Christian-Yann 12 Stoev, Stilian A. 12 Su, Chun 12 Wang, Dingcheng 12 Wüthrich, Mario Valentin 11 Chen, Yu 11 Dembińska, Anna 11 Gardes, Laurent 11 Horváth, Lajos 11 Liu, Peng 11 Palmowski, Zbigniew 11 Segers, Johan 11 Torrisi, Giovanni Luca 10 Asimit, Alexandru V. 10 Bingham, Nicholas Hugh 10 Engelke, Sebastian 10 Foss, Sergey G. 10 Linton, Oliver Bruce 10 Maller, Ross Arthur 10 McCormick, William P. 10 Omey, Edward 10 Pap, Gyula 10 Rosalsky, Andrew 10 Song, Lixin 10 Taqqu, Murad S. 10 Tawn, Jonathan A. 10 Zhang, Yi 10 Zhang, Zhengjun 9 Bai, Long 9 Berkes, István 9 Davison, Anthony C. 9 Fu, Ke’ang 9 Glynn, Peter W. 9 Hazra, Rajat Subhra 9 Hult, Henrik 9 Jiménez-Gamero, María Dolores 9 Konstantinides, Dimitrios G. 9 Kortschak, Dominik 9 Lindskog, Filip 9 Marynych, Alexander V. ...and 3,201 more Authors all top 5 Cited in 319 Serials 161 Stochastic Processes and their Applications 160 Statistics & Probability Letters 148 Extremes 146 Insurance Mathematics & Economics 94 Journal of Econometrics 90 Bernoulli 89 Advances in Applied Probability 87 Communications in Statistics. 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