Modelling Extremal Events: for Insurance and Finance
Paul Embrechts;Thomas Mikosch;Claudia Klüppelberg.
Weak Convergence and Empirical Processes
Thomas Mikosch;Aad W. Van der Vaart;Jon A. Wellner.
Journal of the American Statistical Association (1996)
Modelling Extremal Events
Paul Embrechts;Claudia Klüppelberg;Thomas Mikosch.
Elementary stochastic calculus with finance in view
Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
Thomas Mikosch;Cătălin Stărică.
The Review of Economics and Statistics (2004)
Lévy processes : theory and applications
O. E. Barndorff-Nielsen;Thomas Mikosch;Sidney Resnick.
Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process
Thomas Mikosch;Catalin Starica.
Annals of Statistics (2000)
Regular variation of GARCH processes
Bojan Basrak;Richard A. Davis;Thomas Mikosch.
Stochastic Processes and their Applications (2002)
Handbook of Financial Time Series
Torben G Andersen;Richard A Davis;Jens-Peter Kreiss;Thomas Mikosch.
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach
Daniel Straumann;Thomas Mikosch.
Annals of Statistics (2006)
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