Details about Rafał Weron

E-mail:
Homepage:	http://www.ioz.pwr.wroc.pl/pracownicy/weron/
Postal address:	Institute of Organization and Management, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland
Workplace:	Instytut Organizacji i Zarządzania (Institute of Organization and Management), Politechnika Wrocławska (Wroclaw University of Technology), (more information at EDIRC) Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska (Wroclaw University of Technology), (more information at EDIRC)

Access statistics for papers by Rafał Weron.

Last updated 2013-05-18. Update your information in the RePEc Author Service.

Short-id: pwe42

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Working Papers

2013

1. Diffusion of innovation within an agent-based model: Spinsons, independence and advertising
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
2. Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
3. Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
4. Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

2012

5. A new method for automated noise cancellation in electromagnetic field measurement
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
6. 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)
7. Inference for Markov-regime switching models of electricity spot prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
8. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
   Also in MPRA Paper, University Library of Munich, Germany (2012)
9. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

2011

10. Black swans or dragon kings? A simple test for deviations from the power law
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
    Also in MPRA Paper, University Library of Munich, Germany (2011)
    Papers, arXiv.org (2011)
11. 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)
12. 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)

2010

13. 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)
14. Building Loss Models
    MPRA Paper, University Library of Munich, Germany View citations (9)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (1)
15. Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"
    MPRA Paper, University Library of Munich, Germany View citations (2)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (1996) View citations (3)
16. FX Smile in the Heston Model
    Papers, arXiv.org
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (12)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (5)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) View citations (3)
17. Heavy-tailed distributions in VaR calculations
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
18. Loss Distributions
    MPRA Paper, University Library of Munich, Germany View citations (8)
19. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany
20. Models for Heavy-tailed Asset Returns
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (10)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) View citations (3)
21. Simulation of Risk Processes
    MPRA Paper, University Library of Munich, Germany View citations (8)
    Also in Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (7)

2009

22. Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
23. Forecasting wholesale electricity prices: A review of time series models
    MPRA Paper, University Library of Munich, Germany View citations (2)
24. 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)

2008

25. A semiparametric factor model for electricity forward curve dynamics
    MPRA Paper, University Library of Munich, Germany View citations (4)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2008) View citations (4)
26. Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
    (Power security: Risk > Risk management > Security)
    MPRA Paper, University Library of Munich, Germany
27. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
    MPRA Paper, University Library of Munich, Germany View citations (5)
    See also Journal Article in International Journal of Forecasting (2008)
28. Heavy-tails and regime-switching in electricity prices
    MPRA Paper, University Library of Munich, Germany View citations (11)
29. Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
    Papers, arXiv.org
    Also in MPRA Paper, University Library of Munich, Germany (2008)

2007

30. Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?
    MPRA Paper, University Library of Munich, Germany
31. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
    MPRA Paper, University Library of Munich, Germany View citations (12)

2006

32. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (17)
33. Interval forecasting of spot electricity prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
34. Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
    MPRA Paper, University Library of Munich, Germany
35. Short-term electricity price forecasting with time series models: A review and evaluation
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
36. Visualization tools for insurance risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)

2005

37. Blackouts, risk, and fat-tailed distributions
    Risk and Insurance, EconWPA
38. FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS
    Econometrics, EconWPA View citations (3)
39. Heavy tails and electricity prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
40. Market price of risk implied by Asian-style electricity options
    Econometrics, EconWPA View citations (1)
41. Modeling and forecasting electricity loads: A comparison
    Econometrics, EconWPA View citations (13)
42. Modeling catastrophe claims with left-truncated severity distributions (extended version)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2005)
43. Modeling electricity prices with regime switching models
    Econometrics, EconWPA View citations (12)
44. Modeling the risk process in the XploRe computing environment
    Risk and Insurance, EconWPA
    Also in Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) (2004)
45. On detecting and modeling periodic correlation in financial data
    Econometrics, EconWPA View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
46. Stable Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (14)

2004

47. Computationally intensive Value at Risk calculations
    Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) View citations (11)
48. Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
49. Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
50. Structure and stylized facts of a deregulated power market
    MPRA Paper, University Library of Munich, Germany View citations (1)

2003

51. An introduction to simulation of risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
52. How effective is advertising in duopoly markets?
    Public Economics, EconWPA View citations (1)
    Also in Papers, arXiv.org (2002) View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
53. Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
    Econometrics, EconWPA View citations (10)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2001) View citations (2)
54. Modeling electricity prices: jump diffusion and regime switching
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (15)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
55. Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
    Econometrics, EconWPA View citations (12)

2002

56. Modeling electricity loads in California: ARMA models with hyperbolic noise
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (5)
57. Origins of scaling in FX markets
    MPRA Paper, University Library of Munich, Germany
58. Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

2001

59. A simple model of price formation
    Papers, arXiv.org View citations (3)
60. Estimating long range dependence: finite sample properties and confidence intervals
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (8)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2002)
61. Measuring long-range dependence in electricity prices
    Papers, arXiv.org View citations (3)

2000

62. Energy price risk management
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (6)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
63. Hurst analysis of electricity price dynamics
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (10)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
64. Property insurance loss distributions
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (6)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)

1999

65. A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

1998

66. Origins of the scaling behaviour in the dynamics of financial data
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (1999)
67. Scaling in currency exchange: A Conditionally Exponential Decay approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)

1997

68. Evolution in a changing environment
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

1995

69. Analysis of ROBECO data by neural networks
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
70. Performance of the estimators of stable law parameters
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)

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)

2010

2. 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)

2008

3. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
   International Journal of Forecasting, 2008, 24, (4), 744-763 View citations (5)
   See also Working Paper (2008)
4. Market price of risk implied by Asian-style electricity options and futures
   Energy Economics, 2008, 30, (3), 1098-1115 View citations (15)

2006

5. Modelling catastrophe claims with left-truncated severity distributions
   Computational Statistics, 2006, 21, (3), 537-555 View citations (3)
6. Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
   Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 2 View citations (17)

2004

7. Modeling electricity prices: jump diffusion and regime switching
   Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 39-48 View citations (15)
   See also Working Paper (2003)
8. On detecting and modeling periodic correlation in financial data
   Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 196-205 View citations (1)
   See also Working Paper (2005)

2003

9. How effective is advertising in duopoly markets?
   Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 437-444 View citations (1)
   See also Working Paper (2003)

2002

10. Estimating long-range dependence: finite sample properties and confidence intervals
    Physica A: Statistical Mechanics and its Applications, 2002, 312, (1), 285-299 View citations (5)
    See also Working Paper (2001)

2001

11. A new model of mass extinctions
    Physica A: Statistical Mechanics and its Applications, 2001, 293, (3), 559-565
12. Modeling electricity loads in California: a continuous-time approach
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 344-350 View citations (6)

2000

13. Energy price risk management
    Physica A: Statistical Mechanics and its Applications, 2000, 285, (1), 127-134 View citations (5)
    See also Working Paper (2000)
14. Hurst analysis of electricity price dynamics
    Physica A: Statistical Mechanics and its Applications, 2000, 283, (3), 462-468 View citations (8)
    See also Working Paper (2000)
15. Property insurance loss distributions
    Physica A: Statistical Mechanics and its Applications, 2000, 287, (1), 269-278 View citations (11)
    See also Working Paper (2000)

1999

16. A conditionally exponential decay approach to scaling in finance
    Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 551-561 View citations (1)
17. Origins of the scaling behaviour in the dynamics of financial data
    Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 562-569 View citations (1)
    See also Working Paper (1998)

1996

18. On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
    Statistics & Probability Letters, 1996, 28, (2), 165-171 View citations (18)

Books

2006

1. Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (46)

2000

2. Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology

1998

3. Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology

Edited books

2011

1. Statistical Tools for Finance and Insurance (2nd edition)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology

2005

2. Statistical Tools for Finance and Insurance
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (31)

Software Items

2013

1. LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
2. LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
3. LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
4. LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices"
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
5. The World According to Spinson (WAS): Standalone application for simulating agent-based models
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2012

6. CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
7. CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
8. 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
9. RUNNINGMEDIAN: MATLAB function to compute a running median of a time series
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2011

10. DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
11. GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
12. HURST: MATLAB function to compute the Hurst exponent using R/S Analysis
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
13. 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
14. 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
15. 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
16. 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
17. 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
18. 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
19. PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
20. PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2010

21. DESEASONALIZE: MATLAB function to remove short and long term seasonal components
    Statistical Software Components, Boston College Department of Economics
22. GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model
    Statistical Software Components, Boston College Department of Economics
23. HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999)
    Statistical Software Components, Boston College Department of Economics
24. HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics
25. HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile
    Statistical Software Components, Boston College Department of Economics
26. HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)
    Statistical Software Components, Boston College Department of Economics
27. HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model
    Statistical Software Components, Boston College Department of Economics
28. MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood
    Statistical Software Components, Boston College Department of Economics
29. MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process
    Statistical Software Components, Boston College Department of Economics
30. MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process
    Statistical Software Components, Boston College Department of Economics
31. PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics
32. REMST: MATLAB function to remove trend and seasonal component using the moving average method
    Statistical Software Components, Boston College Department of Economics
33. SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
    Also in Statistical Software Components, Boston College Department of Economics (2010)
34. SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics
35. STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch
    Statistical Software Components, Boston College Department of Economics
36. STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT
    Statistical Software Components, Boston College Department of Economics
37. STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis
    Statistical Software Components, Boston College Department of Economics
38. STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams
    Statistical Software Components, Boston College Department of Economics
39. STABLERND: MATLAB function to generate random numbers from the stable distribution
    Statistical Software Components, Boston College Department of Economics
40. STF2HES: MATLAB functions for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
41. STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2008

42. COR: MATLAB function to compute the correlation coefficients
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2007

43. CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
44. MFE Toolbox ver. 1.0.1 for MATLAB
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2006

45. PERIODOG: MATLAB function to compute and plot the periodogram of a time series
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

Editor

1. HSC Research Reports
   Hugo Steinhaus Center, Wroclaw University of Technology
2. HSC Software
   Hugo Steinhaus Center, Wroclaw University of Technology