| Maximum likelihood estimation of the Markov-switching GARCH model M Augustyniak Computational Statistics & Data Analysis 76, 61-75, 2014 | 74 | 2014 |
| Risk management of policyholder behavior in equity‐linked life insurance A MacKay, M Augustyniak, C Bernard, MR Hardy Journal of Risk and Insurance 84 (2), 661-690, 2017 | 54 | 2017 |
| An out-of-sample analysis of investment guarantees for equity-linked products: Lessons from the financial crisis of the late 2000s M Augustyniak, M Boudreault North American Actuarial Journal 16 (2), 183-206, 2012 | 29 | 2012 |
| Assessing the effectiveness of local and global quadratic hedging under GARCH models M Augustyniak, F Godin, C Simard Quantitative Finance 17 (9), 1305-1318, 2017 | 21 | 2017 |
| Maximum likelihood estimation of the Markov-switching GARCH model based on a general collapsing procedure M Augustyniak, M Boudreault, M Morales Methodology and Computing in Applied Probability 20 (1), 165-188, 2018 | 20 | 2018 |
| A new approach to volatility modeling: the factorial hidden Markov volatility model M Augustyniak, L Bauwens, A Dufays Journal of Business & Economic Statistics 37 (4), 696-709, 2019 | 18 | 2019 |
| Mitigating interest rate risk in variable annuities: An analysis of hedging effectiveness under model risk M Augustyniak, M Boudreault North American Actuarial Journal 21 (4), 502-525, 2017 | 14 | 2017 |
| Inference for a leptokurtic symmetric family of distributions represented by the difference of two gamma variates M Augustyniak, LG Doray Journal of Statistical Computation and Simulation 82 (11), 1621-1634, 2012 | 11 | 2012 |
| On the computation of hedging strategies in affine GARCH models M Augustyniak, A Badescu Journal of Futures Markets 41 (5), 710-735, 2021 | 9 | 2021 |
| A discrete-time hedging framework with multiple factors and fat tails: On what matters M Augustyniak, A Badescu, JF Bégin Journal of Econometrics 232 (2), 416-444, 2023 | 8 | 2023 |
| On the importance of hedging dynamic lapses in variable annuities M Augustyniak, M Boudreault Risk Reward Society of Actuaries 66, 12-16, 2015 | 7 | 2015 |
| A mixed bond and equity fund model for the valuation of variable annuities M Augustyniak, F Godin, E Hamel ASTIN Bulletin: The Journal of the IAA 51 (1), 131-159, 2021 | 6 | 2021 |
| Basis risk in variable annuities W Li Theses and Dissertations, 2023 | 5 | 2023 |
| A profitable modification to global quadratic hedging M Augustyniak, F Godin, C Simard Journal of Economic Dynamics and Control 104, 111-131, 2019 | 4 | 2019 |
| On the Measurement of Hedging Effectiveness for Long-Term Investment Guarantees M Augustyniak, A Badescu, M Boudreault Journal of Risk and Financial Management 16 (2), 112, 2023 | 2 | 2023 |
| Lattice-based hedging schemes under GARCH models M Augustyniak, A Badescu, Z Guo Quantitative Finance 21 (5), 697-710, 2021 | 2 | 2021 |
| Estimation du modèle GARCH à changement de régimes et son utilité pour quantifier le risque de modèle dans les applications financières en actuariat M Augustyniak | 2 | 2014 |
| Long memory in option pricing: A fractional discrete-time approach M Augustyniak, A Badescu, JF Bégin, SK Jayaraman Available at SSRN 4109629, 2022 | 1 | 2022 |
| A mixed bond and equity fund model for the valuation of variable annuities M Augustyniak, F Godin, E Hamel Available at SSRN 3479445, 2020 | 1 | 2020 |
| Closed-form risk-minimizing hedge ratios for affine GARCH models M Augustyniak, A Badescu Available at SSRN, 2019 | 1 | 2019 |
