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Details about Joanna Janczura

Workplace:Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska (Wroclaw University of Technology), (more information at EDIRC)

Access statistics for papers by Joanna Janczura.

Last updated 2014-10-13. Update your information in the RePEc Author Service.

Short-id: pja256


Jump to Journal Articles Software Items

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 Downloads
  2. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    See also Journal Article in Energy Economics (2013)
  3. Inference for Markov-regime switching models of electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
  4. Pricing electricity derivatives within a Markov regime-switching model
    Papers, arXiv.org Downloads View citations (1)

2011

  1. Black swans or dragon kings? A simple test for deviations from the power law
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2011) Downloads
    Papers, arXiv.org (2011) Downloads
  2. Efficient estimation of Markov regime-switching models: An application to electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (9)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (8)

    See also Journal Article in AStA Advances in Statistical Analysis (2012)
  3. Goodness-of-fit testing for the marginal distribution of regime-switching models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (2)
  4. Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2010

  1. An empirical comparison of alternate regime-switching models or electricity spot prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (15)
    See also Journal Article in Energy Economics (2010)
  2. Building Loss Models
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (10)
  3. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany Downloads

2009

  1. Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
  2. Subdynamics of financial data from fractional Fokker-Planck equation
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)

2008

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

Journal Articles

2013

  1. Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
    AStA Advances in Statistical Analysis, 2013, 97, (3), 239-270 Downloads
  2. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    Energy Economics, 2013, 38, (C), 96-110 Downloads View citations (7)
    See also Working Paper (2012)

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 Downloads View citations (6)
    See also Working Paper (2011)

2011

  1. 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 Downloads View citations (1)

2010

  1. An empirical comparison of alternate regime-switching models for electricity spot prices
    Energy Economics, 2010, 32, (5), 1059-1073 Downloads View citations (29)
    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 Downloads
  2. CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  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 Downloads
  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 Downloads

2011

  1. 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 Downloads
  2. 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 Downloads
  3. 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 Downloads
  4. 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 Downloads
  5. 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 Downloads
  6. 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 Downloads
  7. PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  8. PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
 
Page updated 2014-10-31