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Extreme value theory for GARCH processes
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 187-200). 2009
Persistent link: https://www.econbiz.de/10003833941
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Extremes of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 355-364). 2009
Persistent link: https://www.econbiz.de/10003833971
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Extreme value theory for space-time processes with heavy-tailed distributions
Davis, Richard A.; Mikosch, Thomas - 2006
Persistent link: https://www.econbiz.de/10003370444
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Non-life insurance mathematics : an introduction with the Poisson process
Mikosch, Thomas - 2009 - 2. ed.
Persistent link: https://www.econbiz.de/10003779944
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Heavy tails of OLS
Mikosch, Thomas; Vries, Casper G. de - In: Journal of econometrics 172 (2013) 2, pp. 205-221
Persistent link: https://www.econbiz.de/10009706208
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Scaling limits for workload process
Mikosch, Thomas; Samorodnitsky, Gennady - 2006
Persistent link: https://www.econbiz.de/10003370422
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Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects
Mikosch, Thomas; Starica, Catalin - In: The review of economics and statistics 86 (2004) 1, pp. 378-390
Persistent link: https://www.econbiz.de/10002018201
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Change of structure in financial time series, long range dependence and the GARCH model
Mikosch, Thomas; Starica, Catalin - 2000
Persistent link: https://www.econbiz.de/10001468893
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Introduction to time series and forecasting
Brockwell, Peter J.; Davis, Richard A. - 1999
Persistent link: https://www.econbiz.de/10000573014
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Introduction to time series and forecasting : [includes ITSM 2000]
Brockwell, Peter J.; Davis, Richard A. - 2002 - 2. ed.
Persistent link: https://www.econbiz.de/10001597703