Details about Joanna Janczura

Access statistics for papers by Joanna Janczura.

Last updated 2013-05-23. Update your information in the RePEc Author Service.

Short-id: pja256

Working Papers

2012

1. A new method for automated noise cancellation in electromagnetic field measurement
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
2. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
   MPRA Paper, University Library of Munich, Germany View citations (1)
3. Inference for Markov-regime switching models of electricity spot prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
4. Pricing electricity derivatives within a Markov regime-switching model
   Papers, arXiv.org

2011

5. Black swans or dragon kings? A simple test for deviations from the power law
   MPRA Paper, University Library of Munich, Germany
   Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2011)
   Papers, arXiv.org (2011)
6. Efficient estimation of Markov regime-switching models: An application to electricity spot prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (6)
   Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (4)
   See also Journal Article in AStA Advances in Statistical Analysis (2012)
7. Goodness-of-fit testing for the marginal distribution of regime-switching models
   MPRA Paper, University Library of Munich, Germany View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (2)
8. Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

2010

9. An empirical comparison of alternate regime-switching models or electricity spot prices
   MPRA Paper, University Library of Munich, Germany View citations (11)
   See also Journal Article in Energy Economics (2010)
10. Building Loss Models
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (9)
11. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany

2009

12. Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
    MPRA Paper, University Library of Munich, Germany View citations (2)
13. Subdynamics of financial data from fractional Fokker-Planck equation
    MPRA Paper, University Library of Munich, Germany View citations (1)

2008

14. Modelling energy forward prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

Journal Articles

2012

1. Efficient estimation of Markov regime-switching models: An application to electricity spot prices
   AStA Advances in Statistical Analysis, 2012, 96, (3), 385-407 View citations (1)
   See also Working Paper (2011)

2011

2. Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description
   Physica A: Statistical Mechanics and its Applications, 2011, 390, (23), 4379-4387

2010

3. An empirical comparison of alternate regime-switching models for electricity spot prices
   Energy Economics, 2010, 32, (5), 1059-1073 View citations (10)
   See also Working Paper (2010)

Software Items

2012

1. CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2. CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
3. E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
4. HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM)
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2011

5. MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
6. MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
7. MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
8. MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
9. MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
10. MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
11. PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
12. PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology