73 citations · 168 across the 3 of their papers we have counts for
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math.ST2010★ 20 cited
The limit distribution of the maximum increment of a random walk with regularly varying jump size distribution
Thomas Mikosch, Alfredas Račkauskas
In this paper, we deal with the asymptotic distribution of the maximum increment of a random walk with a regularly varying jump size distribution. This problem is motivated by a lo…
math.ST2010★ 4 cited
Weak convergence of the function-indexed integrated periodogram for infinite variance processes
Sami Umut Can, Thomas Mikosch, Gennady Samorodnitsky
In this paper, we study the weak convergence of the integrated periodogram indexed by classes of functions for linear processes with symmetric -stable innovations. Under suitabl…
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…