most citedFunctional large deviations for multivariate regularly varying random walks

73 citations · 168 across the 3 of their papers we have counts for

collaborators

3 papers

math.PR2007★ 27 cited

Inverse problems for regular variation of linear filters, a cancellation property for -finite measures and identification of stable laws

Martin Jacobsen, Thomas Mikosch, Jan Rosiński +1

In this paper, we consider certain -finite measures which can be interpreted as the output of a linear filter. We assume that these measures have regularly varying tails and stu…

math.ST2006★ 68 cited

Stable limits of martingale transforms with application to the estimation of GARCH parameters

Thomas Mikosch, Daniel Straumann

In this paper we study the asymptotic behavior of the Gaussian quasi maximum likelihood estimator of a stationary GARCH process with heavy-tailed innovations. This means that the i…

math.PR2006★ 73 cited

Functional large deviations for multivariate regularly varying random walks

Henrik Hult, Filip Lindskog, Thomas Mikosch +1

We extend classical results by A. V. Nagaev [Izv. Akad. Nauk UzSSR Ser. Fiz.--Mat. Nauk 6 (1969) 17--22, Theory Probab. Appl. 14 (1969) 51--64, 193--208] on large deviations for su…