引用次数
引用: 24,055
H-指数: 54
I10-指数 : 133
出版物: 301
Modelling extremal events for insurance and finance
P Embrechts , T Klüppelberg , C , Mikosch
10,131
2004
Modelling Extremal Events: For Finance and Insurance
Embrechts Paul , Kluppelberg Claudia , Mikosch Thomas ,
Springer-Verlag, New-York
3
1997
Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets
Mikosch Thomas , Pawlas Zbynˇek , Samorodnitsky Gennady
Вестник Санкт-Петербургского университета. Математика. Механика. Астрономия ( 2) 70 -78
10
2011
Supplement to “Applications of distance correlation to time series.”
RICHARD A Davis , MUNEYA Matsui , THOMAS Mikosch , PHYLLIS Wan
DOI 10
1
2017
Supplement to “Distance covariance for discretized stochastic processes.”
HEROLD Dehling , MUNEYA Matsui , THOMAS Mikosch , GENNADY Samorodnitsky
1
2020
Springer Series in Operations Research and Financial Engineering
Thomas V Mikosch , Sidney I Resnick , Stephen M Robinson
Springer Nature: Basel, Switzerland
15
2006
Numerical optimization
Thomas V Mikosch , J Wright Stephen , Nocedal Jorge
Springer New York
20
2006
Handbook of Financial Time Series
Torben Gustav Andersen , Richard A Davis , Jens-Peter Kreiß , Thomas V Mikosch
Smpte Journal
420
2009
Elementary stochastic calculus with finance in view
Thomas Mikosch
695
1998
Lévy processes : theory and applications
Sidney Resnick , O. E. Barndorff-Nielsen , Thomas Mikosch
Birkhauser Boston
2001
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach
Daniel Straumann , Thomas Mikosch
Annals of Statistics 34 ( 5) 2449 -2495
245
2006
Change of structure in financial time series, long range dependence and the GARCH model
Catalin Starica , Thomas Mikosch
103
1998
Applications of Distance Correlation to Time Series
Richard A. Davis , Thomas Mikosch , Muneya Matsui , Phyllis Wan
arXiv: Statistics Theory
61
2016
Some Limit Theory for the Self-normalised Periodogram of Stable Processes
Claudia Kluppelberg , Thomas Mikosch
Scandinavian Journal of Statistics 21 ( 4) 485 -491
35
1994
Stable limits for sums of dependent infinite variance random variables
Olivier Wintenberger , Thomas Mikosch , Adam Jakubowski , Katarzyna Bartkiewicz
arXiv: Probability
87
2009
Precise large deviations for dependent subexponential variables
Igor Rodionov , Thomas Mikosch
arXiv: Probability
6
2020
A LARGE DEVIATIONS APPROACH TO LIMIT THEORY FOR HEAVY-TAILED TIME SERIES
Olivier Wintenberger , Thomas Mikosch
Probability Theory and Related Fields 166 ( 1) 233 -269
21
2016
Non-stationarities in financial time series, the long range dependence and the IGARCH effects
Catalin Starica , Thomas Mikosch
Research Papers in Economics
661
2004
Point process convergence for the off-diagonal entries of sample covariance matrices
Thomas Mikosch , Johannes Heiny , Jorge Yslas
Annals of Applied Probability 31 ( 2)
2021
A bootstrap procedure for estimating the adjustment coefficient
Paul Embrechts , Thomas Mikosch
Insurance Mathematics & Economics 10 ( 3) 181 -190
18
1991