Maciej Augustyniak

Maximum likelihood estimation of the Markov-switching GARCH model

Maciej Augustyniak · Computational Statistics & Data Analysis · 2013 · 65 citations

Engineering, Maximum Likelihood Estimation, Hidden Markov Model +5

Risk Management of Policyholder Behavior in Equity‐Linked Life Insurance

Anne MacKay, Maciej Augustyniak, Carole Bernard et al. · Journal of Risk & Insurance · 2015 · 46 citations

Financial Risk Management, Optimal Surrender Region, Financial Guarantees +17

An Out-of-Sample Analysis of Investment Guarantees for Equity-Linked Products

Maciej Augustyniak, Mathieu Boudreault · North American Actuarial Journal · 2012 · 24 citations

Financial Risk Management, Risk Metric, Tail Risk +16

Assessing the effectiveness of local and global quadratic hedging under GARCH models

Maciej Augustyniak, Frédéric Godin, Clarence Simard · Quantitative Finance · 2017 · 20 citations

Volatility Modeling, Fischer Black, Financial Risk Management +16

Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure

Maciej Augustyniak, Mathieu Boudreault, Manuel Morales · Methodology And Computing In Applied Probability · 2017 · 18 citations

Engineering, Maximum Likelihood Estimation, General Collapsing Procedure +8