Katja Ignatieva

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
Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices Journal of Business and Economic Statistics	2025-01-20	Paper
Integrated variance of irregularly spaced high-frequency data: a state space approach based on pre-averaging Studies in Nonlinear Dynamics & Econometrics	2024-06-11	Paper
Dependence modelling in insurance via copulas with skewed generalised hyperbolic marginals Studies in Nonlinear Dynamics & Econometrics	2023-04-19	Paper
A class of generalised hyper-elliptical distributions and their applications in computing conditional tail risk measures Insurance Mathematics & Economics	2021-11-19	Paper
Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitting method Quantitative Finance	2019-09-26	Paper
Using dynamic copulae for modeling dependency in currency denominations of a diversified world stock index Journal of Statistical Theory and Practice	2019-09-13	Paper
Conditional tail risk measures for the skewed generalised hyperbolic family Insurance Mathematics & Economics	2019-05-23	Paper
A Hybrid Model for Pricing and Hedging of Long-dated Bonds Applied Mathematical Finance	2018-09-18	Paper
Fourier space time-stepping algorithm for valuing guaranteed minimum withdrawal benefits in variable annuities under regime-switching and stochastic mortality ASTIN Bulletin	2018-06-05	Paper
Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality Insurance Mathematics & Economics	2016-12-13	Paper
Modeling spot price dependence in Australian electricity markets with applications to risk management Computers & Operations Research	2016-11-17	Paper
A nonparametric model for spot price dynamics and pricing of futures contracts in electricity markets Studies in Nonlinear Dynamics & Econometrics	2016-01-19	Paper
Estimating the tails of loss severity via conditional risk measures for the family of symmetric generalised hyperbolic distributions Insurance Mathematics & Economics	2015-12-14	Paper
Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities Insurance Mathematics & Economics	2015-01-28	Paper
A tractable model for indices approximating the growth optimal portfolio Studies in Nonlinear Dynamics & Econometrics	2014-03-21	Paper
Estimating the diffusion coefficient function for a diversified world stock index Computational Statistics and Data Analysis	2012-07-16	Paper
Modelling co-movements and tail dependency in the international stock market via copulae Asia-Pacific Financial Markets	2010-10-06	Paper

Research outcomes over time

This page was built for person: Katja Ignatieva