← All authors Thomas Mikosch University of Copenhagen (per OpenAlex) · ORCID · OpenAlex
102 papers in scope · 99 published · 3 on the econ.EM arXiv · 7,927 citations · h-index 36 (over the papers listed here)
Papers (3 of 102)
Moments for self-normalized partial sums
published 2025 · Stochastic Processes and their Applications
The Gaussian Central Limit Theorem for a Stationary Time Series With Infinite Variance
published 2025 · Journal of Time Series Analysis · 1 citations
Self-normalized partial sums of heavy-tailed time series
published 2025 · Stochastic Processes and their Applications · 2 citations · first circulated 2023
working paper 2025 · arXiv
A Comment on: “Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data”
published 2025 · Econometrica · 1 citations
Tail behavior of ACD models and consequences for likelihood-based estimation
published 2023 · Journal of Econometrics · 4 citations
working paper 2023 · arXiv
Some Variations on the Extremal Index
published 2023 · Journal of Mathematical Sciences · 5 citations · first circulated 2021
with Gloria Buriticá, Nicolas Meyer, Olivier Wintenberger
Large deviations of ℓ p -blocks of regularly varying time series and applications to cluster inference
published 2023 · Stochastic Processes and their Applications · 3 citations · first circulated 2021
with Gloria Buriticá, Olivier Wintenberger
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
published 2022 · Stochastic Processes and their Applications · 1 citations
with Ewa Damek, Yuwei Zhao, Jacek Zienkiewicz
working paper 2022 · arXiv
Distance covariance for random fields
published 2022 · Stochastic Processes and their Applications · first circulated 2021
Changes of structure in financial time series and the Garch model
published 2022 · Revstat-statistical Journal · 69 citations
with Cătălin Stărică
Large sample autocovariance matrices of linear processes with heavy tails
published 2021 · Stochastic Processes and their Applications · 6 citations · first circulated 2020
with Johannes Heiny
Precise large deviations for dependent subexponential variables
published 2021 · Bernoulli · 4 citations
with I. V. Rodionov
Distance covariance for discretized stochastic processes
published 2020 · Bernoulli · 3 citations
The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
published 2019 · Bernoulli · 9 citations
with Johannes Heiny
On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
published 2019 · Bernoulli · 10 citations · first circulated 2016
Heavy tails for an alternative stochastic perpetuity model
published 2018 · Stochastic Processes and their Applications · 3 citations · first circulated 2017
with Mohsen Rezapour, Olivier Wintenberger
Editorial: The 20th Anniversary of the Extremes Journal
published 2018 · Extremes · 1 citations
with Holger Rootzén, Jürg Hüsler
Distance covariance for stochastic processes
published 2018 · Probability and Mathematical Statistics · 8 citations · first circulated 2017
Applications of distance correlation to time series
published 2018 · Bernoulli · 61 citations · first circulated 2016
Almost sure convergence of the largest and smallest eigenvalues of high-dimensional sample correlation matrices
published 2017 · Stochastic Processes and their Applications · 24 citations
with Johannes Heiny
The eigenvalues of the sample covariance matrix of a multivariate heavy-tailed stochastic volatility model
published 2017 · Bernoulli · 10 citations · first circulated 2016
with Anja Janßen, Mohsen Rezapour, Xiaolei Xie
Eigenvalues and eigenvectors of heavy-tailed sample covariance matrices with general growth rates: The iid case
published 2016 · Stochastic Processes and their Applications · 2 citations
with Johannes Heiny
The extremogram and the cross-extremogram for a bivariate GARCH(1, 1) process
published 2016 · Advances in Applied Probability · 17 citations · first circulated 2015
The Mathematics and Statistics of Quantitative Risk Management
published 2016 · Oberwolfach Reports · 3 citations · first circulated 2009
Review of A. J. McNeil, R. Frey, P. Embrechts: Quantitative risk management. Concepts, techniques and tools
published 2016 · European Actuarial Journal · 1 citations
Asymptotic theory for the sample covariance matrix of a heavy-tailed multivariate time series
published 2015 · Stochastic Processes and their Applications · 21 citations · first circulated 2014
A large deviations approach to limit theory for heavy-tailed time series
published 2015 · Probability Theory and Related Fields · 37 citations
with Olivier Wintenberger
The integrated periodogram of a dependent extremal event sequence
published 2015 · Stochastic Processes and their Applications · 13 citations
with Yuwei Zhao
Exact simulation of Brown-Resnick random fields at a finite number of locations
published 2015 · Extremes · 79 citations · first circulated 2014
with A. B. Dieker
Aggregation of log-linear risks
published 2014 · Journal of Applied Probability · 16 citations
with Paul Embrechts, Enkelejd Hashorva
General inverse problems for regular variation
published 2014 · Journal of Applied Probability · 10 citations
with Ewa Damek, J. Rosiński, Gennady Samorodnitsky
A Fourier analysis of extreme events
published 2014 · Bernoulli · 16 citations
with Yuwei Zhao
Fractional Moments of Solutions to Stochastic Recurrence Equations
published 2013 · Journal of Applied Probability · 11 citations
Stochastic volatility models with possible extremal clustering
published 2013 · Bernoulli · 22 citations
with Mohsen Rezapour
Editorial
published 2013 · Bernoulli
with Richard A. Davis
Measures of serial extremal dependence and their estimation
published 2013 · Stochastic Processes and their Applications · 57 citations
Estimation of the tail index for lattice-valued sequences
published 2013 · Extremes · 9 citations
Heavy tails of OLS
published 2012 · Journal of Econometrics · 27 citations
with Casper G. de Vries
Towards estimating extremal serial dependence via the bootstrapped extremogram
published 2012 · Journal of Econometrics · 65 citations · first circulated 2009
Søren Asmussen
published 2011 · Journal of Applied Probability
A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation
published 2011 · Journal of Applied Probability · 8 citations
with Zbyněk Pawlas, Gennady Samorodnitsky
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution
published 2010 · Bernoulli · 21 citations
with Alfredas Račkauskas
Prediction of outstanding payments in a Poisson cluster model
published 2010 · Scandinavian Actuarial Journal · 28 citations · first circulated 2009
with Anders Hedegaard Jessen, Gennady Samorodnitsky
Prediction in a Poisson cluster model
published 2010 · Journal of Applied Probability · 17 citations
Stable limits for sums of dependent infinite variance random variables
published 2010 · Probability Theory and Related Fields · 63 citations · first circulated 2009
with Katarzyna Bartkiewicz, Adam Jakubowski, Olivier Wintenberger
Editorial
published 2010 · Stochastic Processes and their Applications
Extreme value theory for space–time processes with heavy-tailed distributions
published 2007 · Stochastic Processes and their Applications · 76 citations
with Richard A. Davis
Tail behavior of random products and stochastic exponentials
published 2007 · Stochastic Processes and their Applications · 2 citations
with Serge Cohen
Copulas: Tales and facts
published 2006 · Extremes · 246 citations
Copulas: Tales and facts—rejoinder
published 2006 · Extremes · 34 citations
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach
published 2006 · The Annals of Statistics · 410 citations
with Daniel Straumann
Stable limits of martingale transforms with application to the estimation of GARCH parameters
published 2006 · The Annals of Statistics · 68 citations
with Daniel Straumann
Activity rates with very heavy tails
published 2005 · Stochastic Processes and their Applications · 27 citations
with Sidney I. Resnick
How to model multivariate extremes if one must?
published 2005 · Statistica Neerlandica · 31 citations
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
published 2004 · The Review of Economics and Statistics · 540 citations
with Cătălin Stărică
Regular variation in the mean and stable limits for Poisson shot noise
published 2003 · Bernoulli · 63 citations
with Claudia Klüppelberg, Anette Schärf
A characterization of multivariate regular variation
published 2002 · The Annals of Applied Probability · 193 citations · first circulated 2000
Whittle estimation in a heavy-tailed GARCH(1,1) model
published 2002 · Stochastic Processes and their Applications · 52 citations
with Daniel Straumann
Regular variation of GARCH processes
published 2002 · Stochastic Processes and their Applications · 382 citations
Poisson limits for U-statistics
published 2002 · Stochastic Processes and their Applications · 20 citations
with André Dabrowski, Herold Dehling, Olimjon Sh. Sharipov
Rates in Approximations to Ruin Probabilities for Heavy-Tailed Distributions
published 2001 · Extremes · 22 citations
with A. V. Nagaev, A.V. Nagaev
Point process convergence of stochastic volatility processes with application to sample autocorrelation
published 2001 · Journal of Applied Probability · 42 citations
Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
published 2000 · The Annals of Statistics · 419 citations
with Cătălin Stărică
Stochastic Integral Equations without Probability
published 2000 · Bernoulli · 34 citations
with Rimas Norvaiša
The periodogram at the Fourier frequencies
published 2000 · Stochastic Processes and their Applications · 46 citations
with Piotr Kokoszka
The sample ACF of a simple bilinear process
published 1999 · Stochastic Processes and their Applications · 33 citations
The Maximum of the Periodogram of a Non-Gaussian Sequence
published 1999 · The Annals of Probability · 40 citations
The sample autocorrelations of heavy-tailed processes with applications to ARCH
published 1998 · The Annals of Statistics · 245 citations
Gaussian likelihood-based inference for non-invertible MA(1) processes with SαS noise11This research supported in part by NSF DMS Grant No. DMS-9504596.
published 1998 · Stochastic Processes and their Applications · 6 citations
Foundations of Modern Probability
published 1998 · Journal of the American Statistical Association · 647 citations
with Olav Kallenberg
Extremes of stochastic volatility models
published 1998 · The Annals of Applied Probability · 48 citations
Large Deviations of Heavy-Tailed Sums with Applications in Insurance
published 1998 · Extremes · 179 citations
with A. V. Nagaev
Uniform convergence of the empirical spectral distribution function
published 1997 · Stochastic Processes and their Applications · 19 citations
with Rimas Norvaiša
Weak Convergence and Empirical Processes
published 1997 · Journal of the American Statistical Association · 775 citations
with Aad van der Vaart, Jon A. Wellner
Large deviations of heavy-tailed random sums with applications in insurance and finance
published 1997 · Journal of Applied Probability · 169 citations
with Claudia Klüppelberg
The integrated periodogram for long-memory processes with finite or infinite variance
published 1997 · Stochastic Processes and their Applications · 27 citations
with Piotr Kokoszka
The integrated periodogram for stable processes
published 1996 · The Annals of Statistics · 45 citations
with Claudia Klüppelberg
Gaussian limit fields for the integrated periodogram
published 1996 · The Annals of Applied Probability · 19 citations
with Claudia Klöppelberg
On the Strong Law of Large Numbers for Random Quadratic Forms
published 1996 · Theory of Probability and Its Applications
Laws of Small Numbers: Extremes and Rare Events.
published 1995 · Journal of the American Statistical Association · 65 citations
with Michael Falk, Jürg Hüsler, Rolf-Dieter Reiss
Delay in claim settlement and ruin probability approximations
published 1995 · Scandinavian Actuarial Journal · 50 citations
with Claudia Klüppelberg
Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance.
published 1995 · Journal of the American Statistical Association · 1399 citations
with Gennady Samorodnitsky, Murad S. Taqqu
Explosive Poisson Shot Noise Processes with Applications to Risk Reserves
published 1995 · Bernoulli · 155 citations
with Claudia Klüppelberg
Parameter estimation for a misspecified arma model with infinite variance innovations
published 1995 · The Annals of Statistics · 192 citations · first circulated 1993
with Tamar Gadrich, Claudia Klüppelberg, Robert J. Adler
A Monte Carlo method for estimating the correlation exponent
published 1995 · Journal of Statistical Physics · 15 citations
with Qiang Wang
Some Limit Theory for the Self-normalised Periodogram of Stable Processes
published 1994 · Scandinavian Journal of Statistics · 37 citations
with Claudia Klüppelberg
no link
Random Quadratic Forms and the Bootstrap for U-Statistics
published 1994 · Journal of Multivariate Analysis · 73 citations
with Herold Dehling
Introduction to Stochastic Integration.
published 1994 · Journal of the American Statistical Association · 23 citations
with Kai Lai Chung, Ruth Williams
Almost sure convergence of bootstrapped means and U-statistics
published 1994 · Journal of Statistical Planning and Inference · 18 citations
Weak invariance principles for weightedU-statistics
published 1994 · Journal of Theoretical Probability · 4 citations
A Weak Invariance Principle for Weighted U-Statistics with Varying Kernels
published 1993 · Journal of Multivariate Analysis · 12 citations
Spectral estimates and stable processes
published 1993 · Stochastic Processes and their Applications · 36 citations
with Claudia Klüppelberg
Introduction to Stochastic Processes and Their Applications.
published 1993 · Journal of the American Statistical Association · 48 citations
with P. Todorović
A strong law of large numbers for ruled sums
published 1992 · Statistics & Probability Letters · 3 citations
with Boris Skovoroda
A bootstrap procedure for estimating the adjustment coefficient
published 1991 · Insurance Mathematics and Economics · 27 citations
with Paul Embrechts
Functional limit theorems for random quadratic forms
published 1991 · Stochastic Processes and their Applications · 38 citations
On a Lower Bound in the Law of the Iterated Logarithm for Gaussian Quadratic Forms
published 1991 · Theory of Probability and Its Applications · 1 citations
On the Law of the Iterated Logarithm for Quadratic Forms in Independent Gaussian Variables
published 1989 · Theory of Probability and Its Applications · 3 citations
Iterated logarithm results for rapidly growing random walk
published 1988 · Statistics · 1 citations
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
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