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mikosch
mikosch
E-mailová adresa ověřena na: math.ku.dk - Domovská stránka
Název
Citace
Citace
Rok
Modelling extremal events: for insurance and finance
P Embrechts, C Klüppelberg, T Mikosch
Springer Science & Business Media, 2013
101892013
Non-life insurance mathematics
E Straub, Swiss Association of Actuaries (Zürich)
Springer, 1988
9141988
Elementary stochastic calculus with finance in view
T Mikosch
World scientific, 1998
7581998
Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects
T Mikosch, C Stărică
Review of Economics and Statistics 86 (1), 378-390, 2004
6922004
Handbook of financial time series
TG Andersen, RA Davis, JP Kreiß, TV Mikosch
Springer Science & Business Media, 2009
606*2009
Lévy processes: theory and applications
OE Barndorff-Nielsen, T Mikosch, SI Resnick
Springer Science & Business Media, 2001
5952001
Limit theory for the sample autocorrelations and extremes of a GARCH (1, 1) process
T Mikosch
The Annals of Statistics 28 (5), 1427-1451, 2000
5052000
Regular variation of GARCH processes
B Basrak, RA Davis, T Mikosch
Stochastic processes and their applications 99 (1), 95-115, 2002
4502002
Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach
D Straumann, T Mikosch
4222006
Is network traffic appriximated by stable lévy motion or fractional brownian motion?
T Mikosch, S Resnick, H Rootzén, A Stegeman
The annals of applied probability 12 (1), 23-68, 2002
4122002
Copulas: Tales and facts--rejoinder
T Mikosch
Extremes 9 (1), 55-62, 2006
3302006
Estimation in conditionally heteroscedastic time series models
D Straumann
Springer Science & Business Media, 2006
3202006
Regularly varying functions
HA Jessen, T Mikosch
Publications de L'institut Mathematique 80 (94), 171-192, 2006
2842006
Extreme values in finance, telecommunications, and the environment
B Finkenstadt, H Rootzén
CRC Press, 2003
2752003
The extremogram: A correlogram for extreme events
RA Davis, T Mikosch
2602009
Parameter estimation for ARMA models with infinite variance innovations
T Mikosch, T Gadrich, C Kluppelberg, RJ Adler
The Annals of Statistics, 305-326, 1995
2561995
Large deviations of heavy-tailed random sums with applications in insurance and finance
C Klüppelberg, T Mikosch
Journal of Applied Probability 34 (2), 293-308, 1997
2551997
The sample autocorrelations of heavy-tailed processes with applications to ARCH
RA Davis, T Mikosch
The Annals of Statistics 26 (5), 2049-2080, 1998
2521998
Empirical process techniques for dependent data
H Dehling, W Philipp
Empirical process techniques for dependent data, 3-113, 2002
2472002
Large deviations of heavy-tailed sums with applications in insurance
T Mikosch, AV Nagaev
Extremes 1, 81-110, 1998
2331998
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Články 1–20