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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 Downloads
  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 Downloads
  3. Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  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 Downloads

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 (1)
  3. Inference for Markov-regime switching models of electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
  4. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2012) Downloads
  5. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2011

  1. Black swans or dragon kings? A simple test for deviations from the power law
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
    Also in MPRA Paper, University Library of Munich, Germany (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 (6)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (4)

    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 (2)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (2)

2010

  1. An empirical comparison of alternate regime-switching models or electricity spot prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (11)
    See also Journal Article in Energy Economics (2010)
  2. Building Loss Models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (9)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) Downloads View citations (1)
  3. Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (1996) Downloads View citations (3)
  4. FX Smile in the Heston Model
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (12)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) Downloads View citations (5)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (3)
  5. Heavy-tailed distributions in VaR calculations
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  6. Loss Distributions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
  7. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany Downloads
  8. Models for Heavy-tailed Asset Returns
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (10)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) Downloads View citations (3)
  9. Simulation of Risk Processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    Also in Papers, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE) (2004) Downloads View citations (7)

2009

  1. Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  2. Forecasting wholesale electricity prices: A review of time series models
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
  3. 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 (2)

2008

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

2007

  1. 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 Downloads
  2. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (12)

2006

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

2005

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

2004

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

2003

  1. An introduction to simulation of risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (3)
  2. How effective is advertising in duopoly markets?
    Public Economics, EconWPA Downloads View citations (1)
    Also in Papers, arXiv.org (2002) Downloads View citations (1)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
  3. Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
    Econometrics, EconWPA Downloads View citations (10)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2001) Downloads View citations (2)
  4. Modeling electricity prices: jump diffusion and regime switching
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (15)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
  5. Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
    Econometrics, EconWPA Downloads View citations (12)

2002

  1. Modeling electricity loads in California: ARMA models with hyperbolic noise
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (5)
  2. Origins of scaling in FX markets
    MPRA Paper, University Library of Munich, Germany Downloads
  3. 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 Downloads

2001

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

2000

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

1999

  1. 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 Downloads

1998

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

1997

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

1995

  1. Analysis of ROBECO data by neural networks
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  2. Performance of the estimators of stable law parameters
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads 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 Downloads View citations (1)
    See also Working Paper (2011)

2010

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

2008

  1. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
    International Journal of Forecasting, 2008, 24, (4), 744-763 Downloads View citations (5)
    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 Downloads View citations (15)

2006

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

2004

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

2003

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

2002

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

2001

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

2000

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

1999

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

1996

  1. On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
    Statistics & Probability Letters, 1996, 28, (2), 165-171 Downloads 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 Downloads View citations (46)

2000

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

1998

  1. 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 Downloads

Edited books

2011

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

2005

  1. Statistical Tools for Finance and Insurance
    HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology Downloads 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 Downloads
  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 Downloads
  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 Downloads
  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 Downloads
  5. The World According to Spinson (WAS): Standalone application for simulating agent-based models
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

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. RUNNINGMEDIAN: MATLAB function to compute a running median of a time series
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2011

  1. DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  2. 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 Downloads
  3. HURST: MATLAB function to compute the Hurst exponent using R/S Analysis
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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
  11. 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

2010

  1. DESEASONALIZE: MATLAB function to remove short and long term seasonal components
    Statistical Software Components, Boston College Department of Economics Downloads
  2. GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model
    Statistical Software Components, Boston College Department of Economics Downloads
  3. 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 Downloads
  4. HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics Downloads
  5. 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 Downloads
  6. 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 Downloads
  7. HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model
    Statistical Software Components, Boston College Department of Economics Downloads
  8. 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 Downloads
  9. 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 Downloads
  10. MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process
    Statistical Software Components, Boston College Department of Economics Downloads
  11. PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics Downloads
  12. REMST: MATLAB function to remove trend and seasonal component using the moving average method
    Statistical Software Components, Boston College Department of Economics Downloads
  13. SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
    Also in Statistical Software Components, Boston College Department of Economics (2010) Downloads
  14. 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 Downloads
  15. STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch
    Statistical Software Components, Boston College Department of Economics Downloads
  16. STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT
    Statistical Software Components, Boston College Department of Economics Downloads
  17. STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis
    Statistical Software Components, Boston College Department of Economics Downloads
  18. STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams
    Statistical Software Components, Boston College Department of Economics Downloads
  19. STABLERND: MATLAB function to generate random numbers from the stable distribution
    Statistical Software Components, Boston College Department of Economics Downloads
  20. STF2HES: MATLAB functions for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  21. STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2008

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

2007

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

2006

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

Editor

  1. HSC Research Reports
    Hugo Steinhaus Center, Wroclaw University of Technology
  2. HSC Software
    Hugo Steinhaus Center, Wroclaw University of Technology
 
Page updated 2013-05-19