Technical Reports

Notice: After publication these reports were not replaced by the final versions of the paper.

Mikosch, T. and Starica, C. (1998) Limit theory for the sample autocorrelations and extremes of a GARCH(1,1) process. A shorter version of this paper appeared in Annals of Statistics. See here.

The lecture notes Regular Variation, Subexponentiality and Their Applications in Probability Theory, made for the heavy-tailed queuing workshop in Eindhoven (1999), can be found here.

Braverman, M., Mikosch, T. and Samorodnitsky, G. Tail probabilities of subadditive functionals of Levy processes. (2002) Ann. Appl. Probab. 12, 69-100. See here.

Embrechts, P. and Mikosch, T. (2004) Mathematical Models in Finance. Encyclopedia of Life Support Systems (www.eolss.com). See here.

Straumann, D. and Mikosch, T. (2006) Quasi-MLE in heteroscedastic times series: a stochastic recurrence equations approach. Annals of Statistics 34, 2449-2495. See here.

Mikosch, T. and Straumann, D. (2006) Stable limits of martingale transforms with application to the estimation of Garch parameters. Annals of Statistics Volume 34, 493-522. See here.

Konstantinides, D. and Mikosch, T. (2004) Large deviations and ruin probabilities for solutions to stochastic recurrence equations with heavy-tailed innovations. Annals of Probability 33, 1992-2035. See here.

Mikosch, T. and Starica, C. (2004) Stock market risk-return inference. An unconditional non-parametric approach. See here.

Hult, H., Lindskog, F., Mikosch, T. and Samorodnitsky, G. (2005) Functional large deviations for multivariate regularly varying random walks. Ann. Appl. Probab. 15, 2651-2680. See here.

Mikosch, T. and Resnick, S. (2006) Activity rates with very heavy tails. Stochastic Processes and their Applications 116, 131-155. See here.

Fay, G., Gonzalez-Arevalo, B., Mikosch, T., Samorodnitsky, G. (2006) Modeling teletraffic arrivals by a Poisson cluster process. QESTA 54, 121-140. See here.

Mikosch, T. (2006) Copulas: Tales and facts. Extremes 9, pages 3-20, and for a rejoinder, pages 55-62. See here and here

Mikosch, T., Samorodnitsky, G. (2007) Scaling limits for cumulative inpot process. Mathematics of OR 32, 890-919. See here.

Mikosch, T., Vries, C. de. (2006) Tail probabilities for regression estimators. See here.

Jessen, A.H., Mikosch, T. (2006) Regularly varying functions. Publications de l'Institut Mathématique, Nouvelle Série, 80(94), 171-192. See here.

Davis, R.A., Mikosch, T. (2008) Extreme value theory for space-time processes with heavy-tailed distributions. Stochastic Processes and their Applications 118, 560-584. See here.

Cohen, S., Mikosch, T. (2008) Tail behavior of random products and stochastic exponentials. Stochastic Processes and their Applications, 118, 333-345. See here.

Jacobsen, M., Mikosch, T., Rosinski, J. Samorodnitsky, G. (2009) Inverse problems for regular variation of linear filters, a cancellation property for sigma-finite measures, and identification of stable laws. Annals of Appied Probability 19, 210-242. See here.

Davis, R.A. and Mikosch, T. (2009) The extremogram: A correllogram for extreme events. Bernoulli 15, 977-1009. See here.

Mikosch, T. and Rackauskas, A. (2010) The limit distribution of the maximum increment of a heavy-tailed random walk. Bernoulli 16, 1016-1038. See here.

Can, S.U., Mikosch, T. and Samorodnitsky, G. (2010) Weak convergence of the function-indexed integrated periodogram for infinite variance processes. Bernoulli 16, 995-1015. See here.

Matsui, M. and Mikosch, T. (2010) Prediction in a Poisson cluster model. J. Appl. Probab. 47, 350-366. See here.

Jessen, A.H., Mikosch, T. and Samorodnitsky, G. (2011) Prediction of outstanding payments in a Poisson cluster model. Scand. Act. J., 214-237. See here.

Mikosch, T., Pawlas, Z. and Samorodnitsky, G. (2011) A large deviation principle for Minkowski sums of heavy-tailed random compact convex sets with finite expectation. J. Appl. Probab. Special Volume 48A (New Frontiers in Applied Probability. A Festschrift for Soeren Asmussen (Eds. P. Glynn, T. Mikosch and T. Rolski), 133-146. See here.

Mikosch, T., Pawlas, Z. and Samorodnitsky, G. (2011) Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets. Vestnik St. Petersburg University, Ser. 1, issue 2. Special Issue in Honor of Valentin V. Petrov, pp. 70-78. See here.

Bartkiewicz, K., Jakubowski, A., Mikosch, T. and Wintenberger, O. (2011) Stable limits for sums of dependent infinite variance random variables. Probab. Th. Rel. Fields 150, 337-372. See here.