Dr Serguei Novak

Senior Lecturer

Department: Economics and statistics

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MSc, PhD.

Novak S.Y. (2009) "Advances in Extreme Value with Applications to Finance". In: "New Business and Finance Research Developments", Nova Science, NY. ISBN: 978-1-60456-074-9.
Novak S.Y. and Beirlant J. (2006) "The magnitude of a market crash can be predicted". Journal of Banking amp; Finance, 30 (2), 453-462, ISSN: 0378-4266.
Novak S.Y. (2006) "A new characterization of the normal law". Statist. Probab. Letters, v. 77, No 1, 95-98.
Novak S.Y. (2004) "On self-normalised sums and Student's statistic". Theory of Probability and Its Applications, 49 (2), 336-344, ISSN: 0040585X.
Novak S.Y. (2003) "On the accuracy of multivariate compound Poisson approximation". Statistics amp; Probability Letters, 62 (1), 35-43, ISSN: 0167-7152.
Novak S.Y. (2002) "Multilevel clustering of extremes". Stochastic Processes and their Applications, 97 (1), 59-75, ISSN: 0304-4149.
Novak S.Y. (2002) "Inference on heavy tails from dependent data". Siberian Adv. Math., v. 12, No 2, 73-96.
Novak S.Y. (1999) "Generalised kernel density estimator". Theory Probab. Appl., v. 44, No 3, 634-645

Borovkov K. & Novak S.Y. (2010) "On limiting cluster size distributions for processes of exceedances for stationary sequences". Statist. Probab. Letters, v. 80, 1814–1818.
Novak S.Y. (2010) "A remark concerning Value-at-Risk". Intern. J. Theor. Appl. Finance, v. 13, No 4, 507–515.
Novak S.Y. (2010) "Lower bounds to the accuracy of sample maximum estimation". – Theory Stochast. Processes. v. 15(31), No 2, 156–161.
Novak S.Y. (2010) "Impossibility of consistent estimation of the distribution function of a sample maximum". Statistics, v. 44, No 1, 25–30.

1st prize for young mathematicians (Institute of Mathematics, Novosibirsk, 1988).

Russian