Thomas Mikosch
Impact in
- Finance top 0.05%
- Financial Risk and Volatility Modeling
- Stochastic processes and financial applications
- Statistics and Probability top 0.05%
- Statistical Methods and Inference
Papers in
- Finance 92
- Financial Risk and Volatility Modeling 72
- Stochastic processes and financial applications 49
-
- Stochastic processes and statistical mechanics 42
- Co-authors
- Claudia KlüppelbergPaul EmbrechtsGennady SamorodnitskyMurad S. TaqquRichard A. DavisCătălin StăricăOlav KallenbergAad van der Vaart
- Journals
- Stochastic Processes and their Applications (20 papers)Journal of Applied Probability (12 papers)Bernoulli (10 papers)Probability Theory and Related Fields (6 papers)The Annals of Statistics (6 papers)
- Partner nations
- DenmarkUnited StatesNetherlands
In The Last Decade
Thomas Mikosch
131 papers receiving 9.0k citations
Hit Papers
Peers
Comparison fields: 5 of 160
- Finance 5.5k
- Statistics and Probability 2.4k
- Management Science and Operations Research 2.5k
- Mathematical Physics 1.4k
- General Economics, Econometrics and Finance 980
Countries citing papers authored by Thomas Mikosch
This map shows the geographic impact of Thomas Mikosch's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Thomas Mikosch with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Thomas Mikosch more than expected).
Fields of papers citing papers by Thomas Mikosch
This network shows the impact of papers produced by Thomas Mikosch. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Thomas Mikosch. The network helps show where Thomas Mikosch may publish in the future.
Co-authors
The 25 scholars most cited alongside Thomas Mikosch, linked wherever they have co-authored with each other. Click a name or a connecting line to browse the papers they share.
All Works
| # | Work | ||
|---|---|---|---|
| 1 | 2023 | 0 | |
| 2 | 2012 | 0 | |
| 3 | Towards estimating extremal serial dependence via the bootstrapped extremogram. | 2012 | 2 |
| 4 | 2011 | 2 | |
| 5 | 2010 | 10 | |
| 6 | 2010 | 2 | |
| 7 | Large deviations for Minkowski sums of heavy-tailed generally non-convex random compact sets | 2010 | 4 |
| 8 | 2009 | 0 | |
| 9 | Non-life insurance mathematics : an introduction with the Poisson process | 2009 | 52 |
| 10 | 2005 | 18 | |
| 11 | Long range dependence effects and ARCH modeling | 2003 | 44 |
| 12 | Is it really long memory we see in financial returns? | 2000 | 14 |
| 13 | A characterization of multivariate regular variation | 2000 | 1 |
| 14 | Tail probabilities of subadditive functionals acting on Lévy processes | 2000 | 5 |
| 15 | The sample autocorrections of financial time series models | 1999 | 8 |
| 16 | Regular variation, subexponentiality and their applications in probability theory | 1999 | 40 |
| 17 | Periodogram estimates from heavy-tailed data | 1998 | 6 |
| 18 | On strong consistency of estimators for infinite variance time series | 1995 | 2 |
| 19 | Some Limit Theory for the Self-normalised Periodogram of Stable Processes | 1994 | 24 |
| 20 | 1987 | 0 |
About Thomas Mikosch
Thomas Mikosch is a scholar working on Finance, Mathematical Physics, Management Science and Operations Research, Statistics and Probability and Economics and Econometrics, having authored 142 papers that have together received 9.5k indexed citations. Recurring topics across this work include Financial Risk and Volatility Modeling (72 papers), Stochastic processes and financial applications (49 papers), Probability and Risk Models (48 papers), Stochastic processes and statistical mechanics (42 papers), Bayesian Methods and Mixture Models (22 papers), Complex Systems and Time Series Analysis (17 papers), Insurance, Mortality, Demography, Risk Management (10 papers) and Market Dynamics and Volatility (10 papers). The work is most often cited by research in Finance (5.5k citations), Statistics and Probability (2.4k citations), Management Science and Operations Research (2.5k citations), Mathematical Physics (1.4k citations) and General Economics, Econometrics and Finance (980 citations). Thomas Mikosch has collaborated with scholars based in Denmark, United States and Netherlands. Frequent co-authors include Claudia Klüppelberg, Paul Embrechts, Gennady Samorodnitsky, Murad S. Taqqu, Richard A. Davis, Cătălin Stărică, Olav Kallenberg, Aad van der Vaart, Jon A. Wellner and Daniel Straumann. Their work appears in journals such as Stochastic Processes and their Applications, Journal of Applied Probability, Bernoulli, Probability Theory and Related Fields and The Annals of Statistics.
Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.