172 citations · 550 across the 37 of their papers we have counts for
40 papers
The Gaussian central limit theorem for a stationary time series with infinite variance
Muneya Matsui, Thomas Mikosch
We consider a borderline case: the central limit theorem for a strictly stationary time series with infinite variance but a Gaussian limit. In the iid case a well-known sufficient…
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
Engle and Russell (1998, Econometrica, 66:1127--1162) apply results from the GARCH literature to prove consistency and asymptotic normality of the (exponential) QMLE for the genera…
Self-normalized partial sums of heavy-tailed time series
Muneya Matsui, Thomas Mikosch, Olivier Wintenberger
We study the joint limit behavior of sums, maxima and -type moduli for samples taken from an -valued regularly varying stationary sequence with infinite varia…
Whittle estimation based on the extremal spectral density of a heavy-tailed random field
Ewa Damek, Thomas Mikosch, Yuwei Zhao +1
We consider a strictly stationary random field on the two-dimensional integer lattice with regularly varying marginal and finite-dimensional distributions. Exploiting the regular v…
The Econometrics of Financial Duration Modeling
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
We establish new results for estimation and inference in financial durations models, where events are observed over a given time span, such as a trading day, or a week. For the cla…
Distance covariance for random fields
Muneya Matsui, Thomas Mikosch, Rasool Roozegar +1
We study an independence test based on distance correlation for random fields . We consider the situations when is observed on a lattice with equidistant grid sizes…