Maciej Augustyniak

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model Journal of Business and Economic Statistics	2024-11-08	Paper
A discrete-time hedging framework with multiple factors and fat tails: on what matters Journal of Econometrics	2023-02-01	Paper
Lattice-based hedging schemes under GARCH models Quantitative Finance	2021-12-01	Paper
A mixed bond and equity fund model for the valuation of variable annuities ASTIN Bulletin	2021-10-20	Paper
A profitable modification to global quadratic hedging Journal of Economic Dynamics and Control	2019-07-12	Paper
Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk North American Actuarial Journal	2019-05-28	Paper
Maximum likelihood estimation of the Markov-switching GARCH model Computational Statistics and Data Analysis	2018-11-23	Paper
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space Economics Letters	2018-10-05	Paper
Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure Methodology and Computing in Applied Probability	2018-03-01	Paper
Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates Journal of Statistical Computation and Simulation	2013-06-12	Paper

Research outcomes over time

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