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Thomas Mikosch

Identifiers

  • name variant Thomas Mikosch 0.60 · backfill

Papers (25)

  1. Homogeneous mappings of regularly varying vectors math.PR · 2019 · author #2
  2. Distance covariance for discretized stochastic processes math.ST · 2018 · author #3
  3. Distance covariance for stochastic processes math.ST · 2017 · author #2
  4. On Optimal Exact Simulation of Max-Stable and Related Random Fields math.PR · 2016 · author #4
  5. Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: the iid case math.PR · 2016 · author #2
  6. Applications of Distance Correlation to Time Series math.ST · 2016 · author #3
  7. The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model math.PR · 2016 · author #2
  8. Extreme value analysis for the sample autocovariance matrices of heavy-tailed multivariate time series math.ST · 2016 · author #3
  9. The extremogram and the cross-extremogram for a bivariate GARCH(1,1) process math.ST · 2015 · author #2
  10. The integrated periodogram of a dependent extremal event sequence math.ST · 2015 · author #1
  11. A Fourier analysis of extreme events math.ST · 2014 · author #1
  12. General inverse problems for regular variation math.PR · 2014 · author #2
  13. Stochastic volatility models with possible extremal clustering math.ST · 2013 · author #1
  14. The cluster index of regularly varying sequences with applications to limit theory for functions of multivariate Markov chains math.PR · 2013 · author #1
  15. Measures of serial extremal dependence and their estimation math.ST · 2013 · author #2
  16. Precise large deviations for dependent regularly varying sequences math.ST · 2012 · author #1
  17. Estimating Extremal Dependence in Univariate and Multivariate Time Series via the Extremogram stat.ME · 2011 · author #2
  18. The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution math.ST · 2010 · author #1
  19. Weak convergence of the function-indexed integrated periodogram for infinite variance processes math.ST · 2010 · author #2
  20. The extremogram: A correlogram for extreme events math.ST · 2010 · author #2
  21. Stable limits for sums of dependent infinite variance random variables math.PR · 2009 · author #3
  22. Inverse problems for regular variation of linear filters, a cancellation property for $\sigma$-finite measures and identification of stable laws math.PR · 2007 · author #2
  23. Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach math.ST · 2007 · author #2
  24. Stable limits of martingale transforms with application to the estimation of GARCH parameters math.ST · 2006 · author #1
  25. Functional large deviations for multivariate regularly varying random walks math.PR · 2006 · author #3

Mentions

  • 1505.05385 #2 · backfill · confidence 0.70 Thomas Mikosch
  • 1503.04022 #1 · backfill · confidence 0.70 Thomas Mikosch
  • 1403.2899 #1 · backfill · confidence 0.70 Thomas Mikosch
  • 1401.5777 #2 · backfill · confidence 0.70 Thomas Mikosch
  • 1312.2780 #1 · backfill · confidence 0.70 Thomas Mikosch
  • 1304.0175 #1 · backfill · confidence 0.70 Thomas Mikosch
  • 1303.6349 #2 · backfill · confidence 0.70 Thomas Mikosch
  • 1206.1395 #1 · backfill · confidence 0.70 Thomas Mikosch
  • 1107.5592 #2 · backfill · confidence 0.70 Thomas Mikosch
  • 1011.5718 #1 · backfill · confidence 0.70 Thomas Mikosch
  • 1011.5062 #2 · backfill · confidence 0.70 Thomas Mikosch
  • 1001.1821 #2 · backfill · confidence 0.70 Thomas Mikosch
  • 0906.2717 #3 · backfill · confidence 0.70 Thomas Mikosch
  • 0712.0576 #2 · backfill · confidence 0.70 Thomas Mikosch

Frequent Coauthors