Thomas Mikosch

Q: What Schools Are Affiliated With Thomas Mikosch

Thomas Mikosch is affiliated with the following schools: University of Groningen, University of Copenhagen, Saint Petersburg State University

Thomas Mikosch's AcademicInfluence.com Rankings

Thomas Mikosch

Mathematics

#7083

World Rank

#9701

Historical Rank

Probability Theory

#110

World Rank

#136

Historical Rank

Statistics

#758

World Rank

#846

Historical Rank

Measure Theory

#1847

World Rank

#2258

Historical Rank

mathematics Degrees

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Mathematics

Thomas Mikosch's Degrees

PhD Mathematics University of Copenhagen
Masters Mathematics University of Copenhagen
Bachelors Mathematics University of Copenhagen

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Thomas Mikosch's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Modelling Extremal Events (1997) (3366)
Regularly varying functions (2006) (638)
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects (2004) (517)
Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process (2000) (408)
Lévy processes : theory and applications (2001) (382)
Regular variation of GARCH processes (2002) (356)
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach (2006) (332)
Handbook of Financial Time Series (2009) (320)
Is network traffic approximated by stable Levy motion or fractional Brownian motion (2002) (299)
Elementary stochastic calculus with finance in view (1998) (296)
The sample autocorrelations of heavy-tailed processes with applications to ARCH (1998) (241)
Copulas: Tales and facts (2006) (232)
PARAMETER-ESTIMATION FOR ARMA MODELS WITH INFINITE VARIANCE INNOVATIONS (1995) (209)
The extremogram: a correlogram for extreme events (2009) (196)
Large Deviations of Heavy-Tailed Sums with Applications in Insurance (1998) (183)
A characterization of multivariate regular variation (2002) (179)
Large deviations of heavy-tailed random sums with applications in insurance and finance (1997) (163)
Explosive Poisson shot noise processes with applications to risk reserves (1995) (151)
Change of structure in financial time series, long range dependence and the GARCH model (1998) (140)
The supremum of a negative drift random walk with dependent heavy-tailed steps (2000) (132)
Non-Life Insurance Mathematics: An Introduction with the Poisson Process (2006) (128)
Stochastic Models with Power-Law Tails (2016) (128)
Non-Life Insurance Mathematics (2004) (118)
Modeling Dependence and Tails of Financial Time Series (2003) (109)
Functional large deviations for multivariate regularly varying random walks (2005) (101)
Stochastic Models with Power-Law Tails: The Equation X = Ax + B (2016) (99)
Changes of structure in financial time series and the GARCH model (2004) (98)
Exact simulation of Brown-Resnick random fields at a finite number of locations (2014) (96)
Regular variation, subexponentiality and their applications in probability theory (1999) (95)
Non-Life Insurance Mathematics: An Introduction with Stochastic Processes (2006) (92)
Modeling teletraffic arrivals by a Poisson cluster process (2006) (83)
Long range dependence effects and ARCH modeling (2003) (83)
Stable limits for sums of dependent infinite variance random variables (2009) (72)
Random quadratic forms and the bootstrap for U -statistics (1994) (72)
Extreme Value Theory for GARCH Processes (2009) (72)
Stable limits of martingale transforms with application to the estimation of garch parameters (2006) (71)
Extreme value theory for space-time processes with heavy-tailed distributions (2008) (70)
Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations (2005) (68)
Regular variation in the mean and stable limits for Poisson shot noise (2003) (66)
Extremes of stochastic volatility models (1998) (63)
Towards estimating extremal serial dependence via the bootstrapped extremogram (2012) (59)
Ruin probability with claims modeled by a stationary ergodic stable process (2000) (59)
Measures of serial extremal dependence and their estimation (2013) (58)
The integrated periodogram for stable processes (1996) (53)
Spectral estimates and stable processes (1993) (51)
Some Limit Theory for the Self-normalised Periodogram of Stable Processes (1994) (50)
Stochastic integral equations without probability (2000) (50)
Is it really long memory we see in financial returns (2004) (49)
Delay in claim settlement and ruin probability approximations (1995) (49)
Applications of distance correlation to time series (2016) (48)
Whittle estimation in a heavy-tailed GARCH(1,1) model (2002) (47)
The Maximum of the Periodogram of a Non-Gaussian Sequence (1999) (46)
Point process convergence of stochastic volatility processes with application to sample autocorrelation (2001) (46)
Probabilistic Properties of Stochastic Volatility Models (2009) (45)
Precise large deviations for dependent regularly varying sequences (2012) (44)
Functional limit theorems for random quadratic forms (1991) (38)
The integrated periodogram for long-memory processes with finite or infinite variance (1997) (36)
The extremogram: A correlogram for extreme (2009) (36)
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains (2013) (35)
The sample ACF of a simple bilinear process (1999) (32)
A large deviations approach to limit theory for heavy-tailed time series (2015) (32)
How to model multivariate extremes if one must? (2005) (31)
Scaling Limits for Cumulative Input Processes (2007) (30)
Long range dependence effects and ARCH modelling (2004) (30)
The periodogram at the Fourier frequencies (2000) (29)
Inverse problems for regular variation of linear filters, a cancellation property for σ-finite measures and identification of stable laws (2007) (29)
Prediction of outstanding payments in a Poisson cluster model (2011) (28)
Periodogram estimates from heavy-tailed data (1998) (27)
Activity rates with very heavy tails (2006) (26)
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series (2016) (25)
Sample ACF of Multivariate Stochastic Recurrence Equations With Application to GARCH (1999) (24)
Stochastic volatility models with possible extremal clustering (2013) (23)
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution (2010) (23)
Uniform convergence of the empirical spectral distribution function (1997) (23)
Large deviations for solutions to stochastic recurrence equations under Kesten’s condition (2013) (22)
Aggregation of log-linear risks (2014) (22)
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case (2016) (22)
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series ☆ (2016) (22)
Strong laws of large numbers for fields of Banach space valued random variables (1987) (20)
Gaussian limit fields for the integrated periodogram (1996) (20)
Copulas: Tales and facts—rejoinder (2006) (20)
A bootstrap procedure for estimating the adjustment coefficient (1991) (20)
Heavy-tailed modelling in insurance (1997) (19)
Stock Market Risk-Return Inference. An Unconditional, Non-Parametric Approach. (2003) (19)
Almost sure convergence of bootstrapped means and U-statistics (1994) (18)
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices (2017) (17)
Heavy tails of OLS (2013) (17)
Rates in Approximations to Ruin Probabilities for Heavy-Tailed Distributions (2001) (17)
Prediction in a Poisson cluster model (2010) (16)
Stochastic Discounting, Aggregate Claims, and the Bootstrap (1994) (16)
A Monte Carlo method for estimating the correlation exponent (1995) (16)
The maximum of the periodogram for a heavy-tailed sequence (2000) (16)
The sample autocorrections of financial time series models (1999) (15)
Tail Probabilities of Subadditive Functionals of Lévy Processes (2002) (15)
The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process (2015) (15)
Self-normalized and randomly centered spectral estimates (1996) (14)
Poisson limits for U-statistics (2002) (14)
On Optimal Exact Simulation of Max-Stable and Related Random Fields (2016) (14)
Fractional Moments of Solutions to Stochastic Recurrence Equations (2013) (13)
A Fourier analysis of extreme events (2014) (13)
QUASI – MAXIMUM – LIKELIHOOD ESTIMATION IN HETEROSCEDASTIC TIME SERIES : A STOCHASTIC RECURRENCE EQUATIONS APPROACH (12)
Distance covariance for discretized stochastic processes (2018) (12)
Some variations on the extremal index (2021) (11)
Tail Probabilities for Regression Estimators (2006) (10)
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model (2016) (10)
The integrated periodogram of a dependent extremal event sequence (2015) (10)
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails (2019) (10)
Distance covariance for stochastic processes (2017) (9)
Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram (2010) (9)
A weak invariance principle for weighted U -statistics with varying kernels (1993) (9)
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set (2019) (8)
Exact simulation of Brown-Resnick random fields (2014) (8)
A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation (2011) (8)
Point process convergence for the off-diagonal entries of sample covariance matrices (2020) (8)
On Almost Sure Behavior of Sums of Independent Banach Space Valued Random Variables (1986) (7)
Estimation of the tail index for lattice-valued sequences (2013) (7)
Infinite variance stable limits for sums of dependent random variables (2009) (6)
The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes (2013) (6)
Limit theorems for methods of summation of independent random variables. II (1987) (6)
Tail probabilities of subadditive functionals acting on Lévy processes (2000) (6)
A Practical Guide to Heavy Tails: Statistical Techniques for Analysing Heavy-Tailed Distributions (1998) (6)
Precise large deviations for dependent regularly varying sequences (2012) (6)
Gaussian likelihood-based inference for non-invertible MA(1) processes with S alpha S noise (1998) (5)
Heavy tails for an alternative stochastic perpetuity model (2017) (5)
General inverse problems for regular variation (2014) (5)
Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets (2010) (5)
Fluctuations of Maxima (1997) (4)
Weak convergence of the function-indexed integrated periodogram for infinite variance processes (2010) (4)
Almost sure behavior of tail series in functional spaces (1990) (4)
Homogeneous mappings of regularly varying vectors (2019) (4)
Large sample autocovariance matrices of linear processes with heavy tails (2020) (4)
Bounded laws of the iterated logarithm for quadratic forms in Gaussian random variables (1988) (3)
On strong consistency of estimators for infinite variance time series (1995) (3)
Parameter estimation for a misspecified arma model with infinite variance innovations (1996) (3)
Precise large deviations for dependent subexponential variables (2020) (3)
A strong law of large numbers for ruled sums (1992) (3)
Weak invariance principles for weightedU-statistics (1994) (3)
The rate of convergence in the functional central limit theorem for random quadratic forms with some applications to the law of the iterated logarithm (1989) (3)
Gumbel and Fréchet convergence of the maxima of independent random walks (2019) (2)
REGULAR VARIATION IN THE MEAN AND STABLE LIMITS FORPOISSON (2)
NEW FRONTIERS IN APPLIED PROBABILITY (2011) (2)
Statistical Methods for Extremal Events (1997) (2)
Scaling Limits for Workload Process (2006) (2)
Limit theorems for methods of summation of independent random variables. I (1987) (2)
On the Law of the Iterated Logarithm for Quadratic Forms in Independent Gaussian Variables (1988) (2)
Weak Convergence of Point Processes (2009) (2)
Tail behavior of random products and stochastic exponentials (2008) (2)
TAIL PROBABILITIES OF SUBADDITIVE FUNCTIONALS ACTING ONL EVY (2)
The Univariate Case (2016) (2)
Time Series Analysis for Heavy-Tailed Processes (1997) (2)
On the Convergence of Some Random Series (1987) (1)
A tribute to Professor Kiyosi Itô (2010) (1)
DTIC ELECTE 1 PARAMETER ESTIMATION FOR ARMA MODELS (1993) (1)
CELEBRATING 50 YEARS OF THE APPLIED PROBABILITY TRUST (2014) (1)
Applications of Stochastic Calculus in Finance (1998) (1)
AD-A 275 125 0 DTIC ELECTE 1 PARAMETER ESTIMATION FOR ARMA MODELS " JAN 3 11994 f WITH INFINITE VARIANCE INNOVATIONS Cby (1)
A bootstrap approach to estimating fractal dimensions (1994) (1)
Gaussian likelihood-based inference for non-invertible MA(1) processes with SαS noise11This research supported in part by NSF DMS Grant No. DMS-9504596. (1998) (1)
Editorial: The 20th Anniversary of the Extremes Journal (2018) (1)
The Mathematics and Statistics of Quantitative Risk Management (2008) (1)
Review of A. J. McNeil, R. Frey, P. Embrechts: Quantitative risk management. Concepts, techniques and tools (2016) (1)
On a Lower Bound in the Law of the Iterated Logarithm for Gaussian Quadratic Forms (1991) (1)
Large deviations of lp-blocks of regularly varying time series and applications to cluster inference (2021) (1)
Fluctuations of Upper Order Statistics (1997) (1)
Iterated logarithm results for rapidly growing random walk (1988) (1)
Linear Bayes Estimation (2009) (0)
The limit distribution of the maximum increment of a random walk with dependent regularly varying jump sizes (2012) (0)
The Basic Model (2009) (0)
The Econometrics of Financial Duration Modeling (2022) (0)
My research : the world of extremes (2018) (0)
Whittle estimation based on the extremal spectral density of a heavy-tailed random field (2022) (0)
Tail Probabilities for Registration Estimators (2006) (0)
Exact simulation of Brown-Resnick random fields at a finite number of locations (2015) (0)
Editorial: The 20th Anniversary of the Extremes Journal (2018) (0)
On a problem of Tandori (1988) (0)
Poisson Random Measures in Collective Risk Theory (2009) (0)
Fluctuations of Sums (1997) (0)
The integrated periodogram for stableprocessesBy (1996) (0)
Convergence of the largest eigenvalues in a sample covariance matrix for multivariate time series (2014) (0)
Estimation of the tail index for lattice-valued sequences (2013) (0)
Univariate Limit Theory (2016) (0)
An Approach to Extremes via Point Processes (1997) (0)
QMLE IN CONDITIONALLY HETEROSCEDASTIC TIME SERIES (2005) (0)
Models for the Claim Number Process (2009) (0)
An Excursion to Lévy Processes (2009) (0)
2018 APPLICATIONS OF DISTANCE CORRELATION TO TIME SERIES (0)
On the Strong Law of Large Numbers for Random Quadratic Forms (1996) (0)
Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series (2016) (0)
Book reviews (1995) (0)
A large deviations approach to limit theory for heavy-tailed time series (2015) (0)
A HEAVY-TAILED SEQUENCE' (2016) (0)
ISSN 1398-2699STOCK MARKET RISK-RETURN INFERENCE. AN UNCONDITIONAL NON-PARAMETRIC APPROACH. (2004) (0)
International Statistical Institute ( ISI ) and Bernoulli Society for Mathematical Statistics and Probability Stochastic Integral Equations without Probability Author ( s ) : (2017) (0)
Self-normalized partial sums of heavy-tailed time series (2023) (0)
Large deviations of <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e439" altimg="si9.svg"><mml:msup><mml:mrow><mml:mi>ℓ</mml:mi></mml:mrow><mml:mrow><mml:mi>p</mml:mi></mml:mrow></mml:msup></mml:math>–blocks of regularly varying time series and applications to cluste (2023) (0)
Stochastic Differential Equations (1998) (0)
The Total Claim Amount (2009) (0)
A Bootstrap Procedure for Estimating the Lundberg Coefficient (1992) (0)
Cluster Point Processes (2009) (0)
September 21, 2004 ACTIVITY RATES WITH VERY HEAVY TAILS (2004) (0)
Distance covariance for random fields (2021) (0)
The Stochastic Integral (1998) (0)
The General Poisson Process (2009) (0)
Review of A. J. McNeil, R. Frey, P. Embrechts: Quantitative risk management. Concepts, techniques and tools (2016) (0)
Submitted to Bernoulli arXiv : arXiv : 1606 . 05481 Applications of Distance Correlation to Time Series (2017) (0)
The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains (2013) (0)
PR ] 7 S ep 2 00 9 Infinite variance stable limits for sums of dependent random variables (2009) (0)
Frequency Analysis of Heavy Tail Phenomena (2013) (0)

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What Schools Are Affiliated With Thomas Mikosch?

Thomas Mikosch is affiliated with the following schools:

Thomas Mikosch's Academic­Influence.com Rankings

Thomas Mikosch's Degrees

Similar Degrees You Can Earn

Why Is Thomas Mikosch Influential?

Thomas Mikosch's Published Works

Published Works

What Schools Are Affiliated With Thomas Mikosch?

Thomas Mikosch's AcademicInfluence.com Rankings