D-Index & Metrics Best Publications

Thomas Mikosch

University of Copenhagen
Denmark

D-Index & Metrics D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines.

Discipline name Citations Publications World Ranking National Ranking

Mathematics D-index 53 Citations 32,367 162 World Ranking 637 National Ranking 4

Best Publications

Modelling Extremal Events: for Insurance and Finance

Paul Embrechts;Thomas Mikosch;Claudia Klüppelberg.
(1997)

9412 Citations

Weak Convergence and Empirical Processes

Thomas Mikosch;Aad W. Van der Vaart;Jon A. Wellner.
Journal of the American Statistical Association (1996)

6932 Citations

Modelling Extremal Events

Paul Embrechts;Claudia Klüppelberg;Thomas Mikosch.
(1997)

5798 Citations

Elementary stochastic calculus with finance in view

Thomas Mikosch.
(1998)

653 Citations

Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

Thomas Mikosch;Cătălin Stărică.
The Review of Economics and Statistics (2004)

646 Citations

Lévy processes : theory and applications

O. E. Barndorff-Nielsen;Thomas Mikosch;Sidney Resnick.
(2001)

530 Citations

Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process

Thomas Mikosch;Catalin Starica.
Annals of Statistics (2000)

490 Citations

Regular variation of GARCH processes

Bojan Basrak;Richard A. Davis;Thomas Mikosch.
Stochastic Processes and their Applications (2002)

429 Citations

Handbook of Financial Time Series

Torben G Andersen;Richard A Davis;Jens-Peter Kreiss;Thomas Mikosch.
(2009)

386 Citations

Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach

Daniel Straumann;Thomas Mikosch.
Annals of Statistics (2006)

368 Citations

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Personal Website for Thomas Mikosch

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Claudia Klüppelberg

Technical University of Munich

Publications: 110

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