Maciej Augustyniak

Maciej Augustyniak

Université de Montréal - Montreal / Canada
Economics & Econometrics / Accounting & Finance
AD Scientific Index ID: 5988288
University of Montreal
person_outline Maciej Augustyniak's MOST POPULAR ARTICLES
1-) Maximum likelihood estimation of the Markov-switching GARCH modelM AugustyniakComputational Statistics & Data Analysis 76, 61-75, 2014762014
2-) Risk management of policyholder behavior in equity‐linked life insuranceA MacKay, M Augustyniak, C Bernard, MR HardyJournal of Risk and Insurance 84 (2), 661-690, 2017582017
3-) An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late 2000sM Augustyniak, M BoudreaultNorth American Actuarial Journal 16 (2), 183-206, 2012272012
4-) Assessing the effectiveness of local and global quadratic hedging under GARCH modelsM Augustyniak, F Godin, C SimardQuantitative Finance 17 (9), 1305-1318, 2017242017
5-) Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedureM Augustyniak, M Boudreault, M MoralesMethodology and Computing in Applied Probability 20 (1), 165-188, 2018212018