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Maciej Augustyniak

Observed name: Augustyniak, Maciej
ORCID: 0000-0003-1168-0198
Observed ORCID: 0000-0003-1168-0198
OpenAlex ID: A5008611010
Maximum likelihood estimation of the Markov-switching GARCH model
2013 · Maciej Augustyniak · Computational Statistics & Data Analysis · 66
Risk Management of Policyholder Behavior in Equity Linked Life Insurance
2015 · Anne MacKay, Maciej Augustyniak, et al. · Journal of Risk & Insurance · 42
An Out-of-Sample Analysis of Investment Guarantees for Equity-Linked Products
2012 · Maciej Augustyniak, Mathieu Boudreault · North American Actuarial Journal · 20
Maximum Likelihood Estimation of the Markov-Switching GARCH Model Based on a General Collapsing Procedure
2017 · Maciej Augustyniak, Mathieu Boudreault, et al. · Methodology And Computing In Applied Probability · 19
Assessing the effectiveness of local and global quadratic hedging under GARCH models
2017 · Maciej Augustyniak, Frédéric Godin, et al. · Quantitative Finance · 18
A Discrete-Time Hedging Framework with Multiple Factors and Fat Tails: On What Matters
2020 · Maciej Augustyniak, Alexandru Badescu, et al. · Journal of Econometrics · 17
A New Approach to Volatility Modeling: The Factorial Hidden Markov Volatility Model
2018 · Maciej Augustyniak, Luc Bauwens, et al. · Journal of Business and Economic Statistics · 16
Mitigating Interest Rate Risk in Variable Annuities: An Analysis of Hedging Effectiveness Under Model Risk
2016 · Maciej Augustyniak, Mathieu Boudreault · North American Actuarial Journal · 14
On the computation of hedging strategies in affine GARCH models
2021 · Maciej Augustyniak, Alexandru Badescu · Journal of Futures Markets · 11
A Mixed Bond and Equity Fund Model for the Valuation of Variable Annuities
2020 · Maciej Augustyniak, Frédéric Godin, et al. · Astin Bulletin · 10
Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates
2011 · Maciej Augustyniak, Louis G. Doray · Journal of Statistical Computation and Simulation · 7
Distributional forecasting of electricity DART spreads with a covariate-dependent mixture model
2025 · Anthony Forgetta, Frédéric Godin, et al. · Energy Economics · 6
Assessing the Effectiveness of Local and Global Quadratic Hedging Under GARCH Models
2016 · Maciej Augustyniak, Frédéric Godin, et al. · SSRN Electronic Journal · 6
A general option pricing framework for affine fractionally integrated models
2024 · Maciej Augustyniak, Alexandru Badescu, et al. · Journal of Banking & Finance · 5
Lattice-based hedging schemes under GARCH models
2021 · Maciej Augustyniak, Alexandru Badescu, et al. · Quantitative Finance · 4
Improving fund mapping: An application to variable annuities
2026 · Wenchu Li, Thorsten Moenig, et al. · Journal of Risk & Insurance · 3
Efficient Implementation of Tree-Based Option Pricing and Hedging Algorithms under GARCH Models
2023 · Zhiyu Guo, Maciej Augustyniak, et al. · The Journal of Derivatives · 3
On The Importance Of Hedging Dynamic Lapses In Variable Annuities
2015 · Maciej Augustyniak, Mathieu Boudreault · 3
Estimation du modèle GARCH à changement de régimes et son utilité pour quantifier le risque de modèle dans les applications financières en actuariat
2013 · Augustyniak, Maciej · 3
On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees
2023 · Maciej Augustyniak, Alexandru Badescu, et al. · Journal of risk and financial management · 2
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A Profitable Modification to Global Quadratic Hedging
2018 · Maciej Augustyniak, Frédéric Godin, et al. · Journal of Economic Dynamics and Control · 2
On the relation between discrete and continuous-time affine option pricing models
2024 · Maciej Augustyniak, Alexandru Badescu, et al. · SSRN Electronic Journal · 1
On the Relation between Discrete and Continuous-Time Affine Option Pricing Models
2024 · Maciej Augustyniak, Alexandru Badescu, et al. · SSRN Electronic Journal · 1
Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space
2018 · Maciej Augustyniak, Arnaud Dufays · Economics Letters · 1
Short Communication on Buying Phone Numbers
2026 · Carrier, Julie, Frigon, Marlene, et al. · Zenodo (CERN European Organization for Nuclear Research)
Works count: 92
Citation count: 280
H-index: 10
I10-index: 10
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