Details about Rafał Weron

Access statistics for papers by Rafał Weron.

Last updated 2009-11-14. Update your information in the RePEc Author Service.

Short-id: pwe42

Working Papers

2008

1. A semiparametric factor model for electricity forward curve dynamics
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649
   Also in MPRA Paper, University Library of Munich, Germany (2008)
2. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
   MPRA Paper, University Library of Munich, Germany
   See also Journal Article in International Journal of Forecasting (2008)
3. Heavy-tails and regime-switching in electricity prices
   MPRA Paper, University Library of Munich, Germany
4. Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
   MPRA Paper, University Library of Munich, Germany
   Also in Quantitative Finance Papers, arXiv.org (2008)

2007

5. 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
6. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
   MPRA Paper, University Library of Munich, Germany

2006

7. Convenience Yields for CO2 Emission Allowance Futures Contracts
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
8. Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
   MPRA Paper, University Library of Munich, Germany

2005

9. Blackouts, risk, and fat-tailed distributions
   Risk and Insurance, EconWPA
10. FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS
    Econometrics, EconWPA View citations
11. Market price of risk implied by Asian-style electricity options
    Econometrics, EconWPA View citations
12. Modeling and forecasting electricity loads: A comparison
    Econometrics, EconWPA View citations
13. Modeling electricity prices with regime switching models
    Econometrics, EconWPA View citations
14. Modeling the risk process in the XploRe computing environment
    Risk and Insurance, EconWPA
15. Modelling catastrophe claims with left-truncated severity distributions (extended version)
    MPRA Paper, University Library of Munich, Germany
16. On detecting and modeling periodic correlation in financial data
    Econometrics, EconWPA
17. Stable Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations

2004

18. Structure and stylized facts of a deregulated power market
    MPRA Paper, University Library of Munich, Germany

2003

19. How effective is advertising in duopoly markets?
    Public Economics, EconWPA View citations
    Also in Quantitative Finance Papers, arXiv.org (2002)
20. Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
    Econometrics, EconWPA View citations
21. Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
    Econometrics, EconWPA View citations

2002

22. Origins of scaling in FX markets
    MPRA Paper, University Library of Munich, Germany

2001

23. A simple model of price formation
    Quantitative Finance Papers, arXiv.org
24. Measuring long-range dependence in electricity prices
    Quantitative Finance Papers, arXiv.org

Journal Articles

2008

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

2006

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

1996

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