The following pages link to Maciej Augustyniak (Q1623508):
Displaying 10 items.
- Maximum likelihood estimation of the Markov-switching GARCH model (Q1623509) (← links)
- Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure (Q1703024) (← links)
- Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space (Q1787719) (← links)
- A profitable modification to global quadratic hedging (Q2002668) (← links)
- A discrete-time hedging framework with multiple factors and fat tails: on what matters (Q2682956) (← links)
- Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates (Q4925441) (← links)
- Lattice-based hedging schemes under GARCH models (Q5014202) (← links)
- A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VARIABLE ANNUITIES (Q5157766) (← links)
- Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness under Model Risk (Q5379240) (← links)
- A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model (Q6634899) (← links)
