Items where Author / Artist / Editor is "Novak, Serguei"

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Novak, Serguei (2016) Measures of financial risk. In: Extreme Events in Finance: A Handbook of Extreme Value Theory and its Applications. Longin, François, ed. Wiley Handbooks in Financial Engineering and Econometrics . Wiley, pp. 215-237. ISBN 9781118650196

Novak, Serguei (2016) Non-parametric lower bounds and information functions. In: ISNPS-3 Conference, Avignon., June 2016, Avignon, France.. (Published online first)

Novak, Serguei (2015) On measures of financial risk. Current Topics on Risk Analysis: ICRA 6 and RISK 2015 Conference . ISSN 9788498444964

Novak, Serguei (2014) Lower bounds to the accuracy of inference on heavy tails. Bernoulli, 20 (2). pp. 979-989. ISSN 1350-7265

Novak, Serguei (2013) Limit theorems and estimates of rates of convergence in extreme value theory. – DSc thesis. Other. St. Petersburg branch of Steklov Institute of Mathematics, Russian Academy of Sciences, St. Petersburg, Russia..

Novak, Serguei (2013) On the accuracy of inference on heavy-tailed distributions. Theory of Probability and Its Applications, 58 (3). pp. 509-518. ISSN 0040-585X

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 Schönbucher, 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

Novak, Serguei (1999) Generalised kernel density estimator. Theory Probab. Appl., v. 44, No 3, 634–645., 44 (3). pp. 634-645.

Novak, Serguei (1999) On the mode of an unknown probability distribution. Theory Probab. Appl., v. 44, No 1, 119–123., 44 (1). pp. 119-123.

Novak, Serguei (1998) On the limiting distribution of extremes. Siberian Adv. Math., v. 8, No 2, 70–95., 8 (2). pp. 70-95.

Novak, Serguei (1998) On blocks and runs estimators of extremal index. J. Statist. Planning Inference, 66 (2). pp. 281-288.

Novak, Serguei (1998) On the joint distribution of the first and the second maxima. Commun. Statist. Stochastic Models, 14 (1-2). pp. 311-318.

Novak, Serguei (1997) On the Erdös-Rènyi maximum of partial sums. Theory Probab. Appl., 42 (3). pp. 254-270. (Accepted/In press)

Novak, Serguei (1996) On extreme values in stationary sequences. Siberian Adv. Math., 6 (3). pp. 68-80.

Novak, Serguei (1996) On the distribution of the ratio of sums of random variables. Theory of Probability and Its Applications, 41 (3). pp. 479-503. ISSN 0040-585X

Novak, Serguei (1996) Statistical estimation of the maximal eigenvalue of a matrix. Russian Math. (Izvestia Vys. Ucheb. Zaved.), 41 (5). pp. 46-49.

Novak, Serguei (1995) Long match patterns in random sequences. Siberian Adv. Math., 5 (3). pp. 128-140.

Novak, Serguei (1994) Asymptotic expansions for the maximum of random number of random variables. Stochastic Processes and their Applications, 51 (2). pp. 297-305. ISSN 0304-4149

Novak, Serguei (1994) Poisson approximation for the number of long match patterns in random sequences. Theory of Probability and Its Applications, 39 (4). pp. 593-603. ISSN 0040-585X

Novak, Serguei (1993) On the asymptotic distribution of the number of random variables exceeding a given level. Siberian Adv. Math., 3 (4). pp. 108-122.

Novak, Serguei (1992) Inference about the Pareto--type distribution. In: Trans. 11-th Prague Conf. Inform. Theory Statist. Decis. Func. Random Processes, 1992, Prague.

Novak, Serguei (1992) Longest runs in a sequence of m-dependent random variables. Theory Rel. Fields, 91 . pp. 269-281.

Novak, Serguei (1991) On the distribution of the maximum of random number of random variables. Theory Probab. Appl., 36 (4). pp. 714-721.

Novak, Serguei (1991) Rate of convergence in the limit theorem for the length of the longest head run. Siberian Math. J., 32 (3). pp. 444-448.

Novak, Serguei (1990) On the asymptotic distribution of the ratio of sums of random variables. Siberian Math. J., 31 . pp. 781-788.

Novak, Serguei (1989) Asymptotic expansions in the problem of the longest head run for Markov chain with two states. Trudy Inst. Math. (Novosibirsk), 13 . pp. 136-147.

Novak, Serguei (1988) Asymptotic properties of the distribution of the length of the longest head run. – PhD thesis. Inst. Math. (Novosibirsk), Russian Academy of Sciences, 133 с. Other. Institute of Mathematics (Novosibirsk), Novosibirsk, Russia..

Novak, Serguei (1988) Time intervals of constant sojourn of a homogeneous Markov chain in a fixed subset of states. Siberian Math. J., 29 (1). pp. 100-109.

This list was generated on Tue Dec 6 04:28:03 2016 GMT.