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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
Jump to Journal Articles
Working Papers
2008
- 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)
- 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)
- Heavy-tails and regime-switching in electricity prices
MPRA Paper, University Library of Munich, Germany
- 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
- 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
- Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
MPRA Paper, University Library of Munich, Germany
2006
- Convenience Yields for CO2 Emission Allowance Futures Contracts
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
- Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
MPRA Paper, University Library of Munich, Germany
2005
- Blackouts, risk, and fat-tailed distributions
Risk and Insurance, EconWPA
- FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS
Econometrics, EconWPA View citations
- Market price of risk implied by Asian-style electricity options
Econometrics, EconWPA View citations
- Modeling and forecasting electricity loads: A comparison
Econometrics, EconWPA View citations
- Modeling electricity prices with regime switching models
Econometrics, EconWPA View citations
- Modeling the risk process in the XploRe computing environment
Risk and Insurance, EconWPA
- Modelling catastrophe claims with left-truncated severity distributions (extended version)
MPRA Paper, University Library of Munich, Germany
- On detecting and modeling periodic correlation in financial data
Econometrics, EconWPA
- Stable Distributions
SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations
2004
- Structure and stylized facts of a deregulated power market
MPRA Paper, University Library of Munich, Germany
2003
- How effective is advertising in duopoly markets?
Public Economics, EconWPA View citations
Also in Quantitative Finance Papers, arXiv.org (2002)
- Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
Econometrics, EconWPA View citations
- Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
Econometrics, EconWPA View citations
2002
- Origins of scaling in FX markets
MPRA Paper, University Library of Munich, Germany
2001
- A simple model of price formation
Quantitative Finance Papers, arXiv.org
- Measuring long-range dependence in electricity prices
Quantitative Finance Papers, arXiv.org
Journal Articles
2008
- 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)
- Market price of risk implied by Asian-style electricity options and futures
Energy Economics, 2008, 30, (3), 1098-1115 View citations
2006
- Modelling catastrophe claims with left-truncated severity distributions
Computational Statistics, 2006, 21, (3), 537-555
- 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
- On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
Statistics & Probability Letters, 1996, 28, (2), 165-171 View citations
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