Katja Ignatieva

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Guaranteed lifetime withdrawal benefits (GLWB) embedded in variable annuities provide a type of life annuity which addresses systematic mortality risk while indirectly protecting the policyholders from the downside risk of fund investment. Using tractable equity and stochastic mortality model, we evaluate GLWB in a continuous time framework. The paper(More)
We examine the dependence structure of electricity spot prices across regional markets in the Australian National Electricity Market (NEM). Our analysis is based on a GARCH approach to model the marginal price series in the considered regions in combination with copulae to capture the dependence structure between the different markets. We apply different(More)
This paper studies the relationship between credit default swap spreads (CDS) for the Energy sector and oil futures dynamics. Using data on light sweet crude oil futures from 2004 to 2013, which contains a crisis period, we examine the importance of volatility and jumps extracted from the futures in explaining CDS spread changes. The analysis is performed(More)
This paper analyzes exponentially affine and non-affine stochastic volatility models with jumps in returns and volatility. Markov Chain Monte Carlo (MCMC) technique is applied within a Bayesian inference framework to estimate model parameters and latent variables using daily returns from the S&P 500 stock index. There are two approaches to overcome the(More)
Abstract This paper investigates several crucial issues that arise when modeling equity returns with stochastic variance. (i) Does the model need to include jumps even when using a nonaffine variance specification?We find that jump models clearly outperform pure stochastic volatility models. (ii) How do affine variance specifications perform when compared(More)
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