Thomas Mikosch

8 catalog papers. Identity-linked publications and additional name matches are distinguished below.

ORCID: 0000-0003-3091-6661

Department of Mathematical Sciences, University of Copenhagen , Copenhagen , Denmark

Publications

• Beyond the mean: limit theory and tests for infinite-mean autoregressive conditional durations — Journal of the Royal Statistical Society: Series B (Statistical Methodology) 2026 (name-matched, not ORCID-linked)
• A Comment on:“Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data” — Econometrica 2025
• Quasi-maximum-likelihood estimation in conditionally heteroscedastic time series: A stochastic recurrence equations approach — The Annals of Statistics 2006
• Stable limits of martingale transforms with application to the estimation of GARCH parameters — The Annals of Statistics 2006
• Limit theory for the sample autocorrelations and extremes of a GARCH (1,1) process — The Annals of Statistics 2000
• The sample autocorrelations of heavy-tailed processes with applications to ARCH — The Annals of Statistics 1998
• The integrated periodogram for stable processes — The Annals of Statistics 1996
• Parameter Estimation for ARMA Models with Infinite Variance Innovations — The Annals of Statistics 1995