Edit Profile (opens in new tab) Augustyniak, Maciej Compute Distance To: Compute Author ID: augustyniak.maciej Published as: Augustyniak, Maciej Documents Indexed: 8 Publications since 2012 Co-Authors: 9 Co-Authors with 7 Joint Publications 59 Co-Co-Authors all top 5 Co-Authors 1 single-authored 2 Boudreault, Mathieu 2 Godin, Frédéric 1 Badescu, Alexandru M. 1 Doray, Louis G. 1 Dufays, Arnaud 1 Guo, Zhiyu 1 Hamel, Emmanuel 1 Morales, Manuel 1 Simard, Clarence all top 5 Serials 1 Journal of Economic Dynamics & Control 1 Economics Letters 1 Journal of Statistical Computation and Simulation 1 Computational Statistics and Data Analysis 1 Methodology and Computing in Applied Probability 1 Quantitative Finance 1 ASTIN Bulletin 1 North American Actuarial Journal Fields 6 Statistics (62-XX) 5 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 1 Probability theory and stochastic processes (60-XX) 1 Numerical analysis (65-XX) Publications by Year all cited Publications top 5 cited Publications Citations contained in zbMATH Open 4 Publications have been cited 16 times in 14 Documents Cited by ▼ Year ▼ Maximum likelihood estimation of the Markov-switching GARCH model. Zbl 06983965Augustyniak, Maciej 8 2014 Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates. Zbl 1431.62052Augustyniak, Maciej; Doray, Louis G. 3 2012 Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure. Zbl 1392.62260Augustyniak, Maciej; Boudreault, Mathieu; Morales, Manuel 3 2018 Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk. Zbl 1414.91159Augustyniak, Maciej; Boudreault, Mathieu 2 2017 Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure. Zbl 1392.62260Augustyniak, Maciej; Boudreault, Mathieu; Morales, Manuel 3 2018 Mitigating interest rate risk in variable annuities: an analysis of hedging effectiveness under model risk. Zbl 1414.91159Augustyniak, Maciej; Boudreault, Mathieu 2 2017 Maximum likelihood estimation of the Markov-switching GARCH model. Zbl 06983965Augustyniak, Maciej 8 2014 Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates. Zbl 1431.62052Augustyniak, Maciej; Doray, Louis G. 3 2012 all cited Publications top 5 cited Publications all top 5 Cited by 28 Authors 2 Cavicchioli, Maddalena 2 Han, Kyunghee 2 Park, Byeong Uk 1 Augustyniak, Maciej 1 Billio, Monica 1 Carbonneau, Alexandre 1 D’Amico, Guglielmo 1 Gallo, Giampiero M. 1 Godin, Frédéric 1 Hamel, Emmanuel 1 Kharfouchi, Soumia 1 Klar, Bernhard 1 Lacava, Demetrio 1 Li, Yifan 1 Li, Yuying 1 Lika, Ada 1 Liu, Shuangzhe 1 Ma, Tiefeng 1 Maaziz, M. 1 Nolte, Ingmar 1 Nolte, Sandra 1 Otranto, Edoardo 1 Petroni, Filippo 1 Reher, Gerrit 1 Shimizu, Kunio 1 Wilfling, Bernd 1 Xu, Weidong 1 Zhan, Xiaoping all top 5 Cited in 13 Serials 1 The Annals of Statistics 1 Journal of Statistical Planning and Inference 1 Insurance Mathematics & Economics 1 International Journal of Approximate Reasoning 1 Journal of Economic Dynamics & Control 1 Annals of Operations Research 1 Computational Statistics 1 Journal of Statistical Computation and Simulation 1 Computational Statistics and Data Analysis 1 Quantitative Finance 1 ASTIN Bulletin 1 Journal of Agricultural, Biological, and Environmental Statistics 1 Annals of Finance Cited in 5 Fields 10 Statistics (62-XX) 6 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 2 Probability theory and stochastic processes (60-XX) 2 Computer science (68-XX) 1 Numerical analysis (65-XX) Citations by Year