Items where Author is "Novak, Serguei"

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Number of items: 21.

Novak, Serguei and Xia, A. (2012) On exceedances of high levels. Stochastic Processes and their Applications, 122 (2). pp. 582-599. ISSN 0304-4149

Novak, Serguei (2011) Extreme value methods with applications to finance. Monographs on Statistics & Applied Probability . CRC Press, Chapman & Hall. ISBN 9781439835746

Borovkov, Konstantin and Novak, Serguei (2010) On limiting cluster size distributions for processes of exceedances for stationary sequences. Statistics & Probability Letters, 80 (23-24). pp. 1814-1818. ISSN 0167-7152

Novak, Serguei (2010) A remark concerning value-at-risk. International Journal of Theoretical and Applied Finance, 13 (4). pp. 507-515. ISSN 0219-0249

Novak, Serguei (2010) Impossibility of consistent estimation of the distribution function of a sample maximum. Statistics, 44 (1). pp. 25-30. ISSN 0233-1888

Novak, Serguei (2009) Advances in extreme value theory with applications to finance. In: New business and finance research developments. Keene, Jon C., ed. Nova Science Publishers, New York, pp. 199-251. ISBN 9781604560749

Novak, Serguei (2009) Lower bounds to the accuracy of sample maximum estimation. Theory of Stochastic Processes, 15(31) (2). pp. 156-161.

Novak, Serguei and Dalla, V. and Giraitis, L. (2007) Evaluating currency risk in emerging markets. Acta applicandae mathematicae., 97 (1-3). pp. 163-175. ISSN 0167-8019

Novak, Serguei (2007) Measures of financial risks and market crashes. Theory of stochastic processes, 13 (1-2). pp. 182-193. ISSN 0095-7380

Novak, Serguei and Beirlant, J. (2006) The magnitude of a market crash can be predicted. Journal of Banking and Finance, 30 (2). pp. 453-462. ISSN 0378-4266

Novak, Serguei (2006) A new characterization of the normal law. Statistics & Probability Letters, 77 (1). pp. 95-98. ISSN 0167-7152

Novak, Serguei (2005) On self-normalized sums and student's statistic. Theory of Probability and Its Applications, 49 (2). pp. 336-344. ISSN 0040-585X

Novak, Serguei (2004) On Gebelein's correlation coefficient. Statistics & Probability Letters, 69 (3). pp. 299-303. ISSN 0167-7152

Novak, Serguei (2003) On the accuracy of multivariate compound Poisson approximation. Statistics & Probability Letters, 62 (1). pp. 35-43. ISSN 0167-7152

Novak, Serguei (2002) Multilevel clustering of extremes. Stochastic Processes and their Applications, 97 (1). pp. 59-75. ISSN 0304-4149

Novak, Serguei and Barbour, A. D. and Xia, Aihua (2002) Compound poisson approximation for the distribution of extremes. Advances in applied probability, 34 (1). pp. 223-240. ISSN 0001-8678

Novak, Serguei (2002) Inference on heavy tails from dependent data. Siberian advances in mathematics, 12 (2). pp. 73-96. ISSN 1055-1344

Novak, Serguei and Embrechts, Paul (2002) Long head runs and long match patterns. In: Advances in finance and stochastics: essays in honour of Dieter Sondermann. Sandmann, Klaus and SchoĢˆnbucher, Philip, eds. Springer, London, pp. 57-69. ISBN 354043464X

Novak, Serguei (2002) On self-normalised sums [supplement]. Mathematical methods of statistics., 11 (2). pp. 256-258. ISSN 1066-5307

Novak, Serguei (2000) Confidence intervals for a tail index estimator. In: Measuring risk in complex stochastic systems. Franke, Jurgen and Hardle, Wolfgang and Stahl, Gerhard, eds. Lecture notes in statistics (147). Springer, London, pp. 229-236. ISBN 038798996X

Novak, Serguei (2000) On self-normalised sums. Mathematical methods of statistics., 9 (4). pp. 415-436. ISSN 1066-5307

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