E-LIB Suche - Ergebnisse für: Augustyniak, Maciej

1

A discrete-time hedging framework with multiple factors and..:

Augustyniak, Maciej ; Badescu, Alexandru ; Bégin, Jean-François
Journal of Econometrics. 232 (2023) 2 - p. 416-444 , 2023

Link: https://doi.org/10.1016/..

2

On the Measurement of Hedging Effectiveness for Long-Term I..:

Augustyniak, Maciej ; Badescu, Alexandru ; Boudreault, Mathieu
Journal of Risk and Financial Management. 16 (2023) 2 - p. 112 , 2023

Link: https://doi.org/10.3390/..

3

Lattice-based hedging schemes under GARCH models:

Augustyniak, Maciej ; Badescu, Alexandru ; Guo, Zhiyu
Quantitative Finance. 21 (2021) 5 - p. 697-710 , 2021

Link: https://doi.org/10.1080/..

4

On the computation of hedging strategies in affine GARCH mo..:

Augustyniak, Maciej ; Badescu, Alexandru
Journal of Futures Markets. 41 (2021) 5 - p. 710-735 , 2021

Link: https://doi.org/10.1002/..

5

A MIXED BOND AND EQUITY FUND MODEL FOR THE VALUATION OF VAR..:

Augustyniak, Maciej ; Godin, Frédéric ; Hamel, Emmanuel
ASTIN Bulletin. 51 (2020) 1 - p. 131-159 , 2020

Link: https://doi.org/10.1017/..

6

A profitable modification to global quadratic hedging:

Augustyniak, Maciej ; Godin, Frédéric ; Simard, Clarence
Journal of Economic Dynamics and Control. 104 (2019) - p. 111-131 , 2019

Link: https://doi.org/10.1016/..

7

A New Approach to Volatility Modeling: The Factorial Hidden..:

Augustyniak, Maciej ; Bauwens, Luc ; Dufays, Arnaud
Journal of Business & Economic Statistics. 37 (2018) 4 - p. 696-709 , 2018

Link: https://doi.org/10.1080/..

8

Modeling macroeconomic series with regime-switching models ..:

Augustyniak, Maciej ; Dufays, Arnaud
Economics Letters. 170 (2018) - p. 122-126 , 2018

Link: https://doi.org/10.1016/..

9

Maximum Likelihood Estimation of the Markov-Switching GARCH..:

Augustyniak, Maciej ; Boudreault, Mathieu ; Morales, Manuel
Methodology and Computing in Applied Probability. 20 (2017) 1 - p. 165-188 , 2017

Link: https://doi.org/10.1007/..

10

Mitigating Interest Rate Risk in Variable Annuities: An Ana..:

Augustyniak, Maciej ; Boudreault, Mathieu
North American Actuarial Journal. 21 (2017) 4 - p. 502-525 , 2017

Link: https://doi.org/10.1080/..

11

Risk Management of Policyholder Behavior in Equity-Linked L..:

MacKay, Anne ; Augustyniak, Maciej ; Bernard, Carole.
The Journal of Risk and Insurance. 84 (2017) 2 - p. 661-690 , 2017

Link: https://www.jstor.org/st..

12

Assessing the effectiveness of local and global quadratic h..:

Augustyniak, Maciej ; Godin, Frédéric ; Simard, Clarence
Quantitative Finance. 17 (2017) 9 - p. 1305-1318 , 2017

Link: https://doi.org/10.1080/..

13

Risk Management of Policyholder Behavior in Equity‐Linked L..:

MacKay, Anne ; Augustyniak, Maciej ; Bernard, Carole.
Journal of Risk and Insurance. 84 (2015) 2 - p. 661-690 , 2015

Link: https://doi.org/10.1111/..

14

Maximum likelihood estimation of the Markov-switching GARCH..:

Augustyniak, Maciej
Computational Statistics & Data Analysis. 76 (2014) - p. 61-75 , 2014

Link: https://doi.org/10.1016/..

15

Maximum Likelihood Estimation of the Markov-Switching GARCH..:

Augustyniak, Maciej
Computational Statistics & Data Analysis (DOI: 10.1016/j.csda.2013.01.026). , 2013

Link: https://ssrn.com/abstrac..