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Handbook of financial time series
Andersen, Torben (ed.); Davis, Richard A. (contributor);  … - 2009
Persistent link: https://www.econbiz.de/10003494231
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Copulas : tales and facts
Mikosch, Thomas - 2005
Persistent link: https://www.econbiz.de/10003370329
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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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Tail Probabilities for Regression Estimators
Mikosch, Thomas; de Vries, Casper G. - 2006
Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...
Persistent link: https://www.econbiz.de/10010325358
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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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Probabilistic properties of stochastic volatility models
Davis, Richard A.; Mikosch, Thomas - In: Handbook of financial time series, (pp. 255-267). 2009
Persistent link: https://www.econbiz.de/10003833954
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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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Tail probabilities for regression estimators
Mikosch, Thomas; Vries, Casper G. de - 2006
Persistent link: https://www.econbiz.de/10003392194
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Tail probabilities for regression estimators
Mikosch, Thomas; Vries, Casper G. de - 2006
Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...
Persistent link: https://www.econbiz.de/10011349717
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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