Maciej Augustyniak

Available identifiers

Publication	Date of Publication	Type
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model	2024-11-08	Paper
A discrete-time hedging framework with multiple factors and fat tails: on what matters	2023-02-01	Paper
Lattice-based hedging schemes under GARCH models	2021-12-01	Paper
A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES	2021-10-20	Paper
A profitable modification to global quadratic hedging	2019-07-12	Paper
Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk	2019-05-28	Paper
Maximum likelihood estimation of the Markov-switching GARCH model	2018-11-23	Paper
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space	2018-10-05	Paper
Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure	2018-03-01	Paper
Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates	2013-06-12	Paper

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