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Details about Rafał Weron

E-mail:
Homepage:http://www.ioz.pwr.wroc.pl/pracownicy/weron/
Postal address:Department of Operations Research, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland
Workplace:Wydział Informatyki i Zarządzania (Faculty of Computer Science 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 2017-06-07. Update your information in the RePEc Author Service.

Short-id: pwe42


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Working Papers

2017

  1. On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  2. Variance stabilizing transformations for electricity spot price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2016

  1. Automated variable selection and shrinkage for day-ahead electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (5)
    See also Journal Article in Energies (2016)
  2. Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  3. Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  4. Impact of social interactions on demand curves for innovative products
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
  5. On the importance of the long-term seasonal component in day-ahead electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (4)
    See also Journal Article in Energy Economics (2016)
  6. Recent advances in electricity price forecasting: A review of probabilistic forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
  7. To combine or not to combine? Recent trends in electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (5)

2015

  1. Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
    See also Journal Article in Journal of Futures Markets (2016)
  2. Difficulty is critical: Psychological factors in modeling diffusion of green products and practices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  3. Improving short term load forecast accuracy via combining sister forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
    See also Journal Article in Energy (2016)
  4. Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (7)
  5. Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
  6. Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2014

  1. A note on using the Hodrick-Prescott filter in electricity markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
    See also Journal Article in Energy Economics (2015)
  2. A review of electricity price forecasting: The past, the present and the future
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
  3. Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  4. Electricity price forecasting: A review of the state-of-the-art with a look into the future
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (77)
    See also Journal Article in International Journal of Forecasting (2014)
  5. Evaluating the performance of VaR models in energy markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  6. Forecasting the occurrence of electricity price spikes in the UK power market
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
  7. Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (6)
  8. Modeling consumer opinions towards dynamic pricing: An agent-based approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
  9. Modelling price spikes in electricity markets - the impact of load, weather and capacity
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  10. Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (8)
    See also Journal Article in International Journal of Forecasting (2016)
  11. Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)

2013

  1. An empirical comparison of alternate schemes for combining electricity spot price forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (5)
    See also Journal Article in Energy Economics (2014)
  2. Computing electricity spot price prediction intervals using quantile regression and forecast averaging
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (6)
    See also Journal Article in Computational Statistics (2015)
  3. Diffusion of innovation within an agent-based model: Spinsons, independence and advertising
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (7)
    See also Journal Article in Advances in Complex Systems (ACS) (2014)
  4. Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
    See also Journal Article in Computational Statistics (2015)
  5. 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 View citations (10)
  6. Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
  7. 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 View citations (3)
  8. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (1)
    See also Journal Article in Energy Economics (2014)
  9. Rewiring the network. What helps an innovation to diffuse?
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (3)
  10. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
    See also Journal Article in Energy Policy (2014)

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 (4)
    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 (3)
  4. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (16)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2012) Downloads View citations (1)

    See also Journal Article in Energy Economics (2013)
  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 View citations (8)

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 (12)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (9)

    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 (7)
    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 (50)
    See also Journal Article in Energy Economics (2010)
  2. Building Loss Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (1)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) Downloads View citations (3)
    MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (10)
  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 (18)
  4. FX Smile in the Heston Model
    Papers, arXiv.org Downloads
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (13)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) Downloads View citations (11)
    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 View citations (2)
  6. Loss Distributions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (14)
  7. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  8. Models for Heavy-tailed Asset Returns
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (7)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) Downloads View citations (1)
    MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (13)
  9. Simulation of Risk Processes
    MPRA Paper, University Library of Munich, Germany Downloads View citations (8)
    Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) Downloads View citations (10)

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 (10)

2008

  1. A semiparametric factor model for electricity forward curve dynamics
    MPRA Paper, University Library of Munich, Germany Downloads View citations (14)
    Also in SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2008) Downloads View citations (16)
  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 (68)
    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 (23)
    See also Journal Article in Mathematical Methods of Operations Research (2009)
  5. Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in Papers, arXiv.org (2008) Downloads View citations (2)

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 View citations (2)
  2. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
    MPRA Paper, University Library of Munich, Germany Downloads View citations (36)

2006

  1. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 Downloads View citations (33)
  2. Interval forecasting of spot electricity prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (13)
  3. Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
  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 (8)
  5. Visualization tools for insurance risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (4)

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 (13)
  3. Heavy tails and electricity prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (7)
  4. Market price of risk implied by Asian-style electricity options
    Econometrics, EconWPA Downloads View citations (2)
  5. Modeling and forecasting electricity loads: A comparison
    Econometrics, EconWPA Downloads View citations (12)
  6. Modeling catastrophe claims with left-truncated severity distributions (extended version)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads
  7. Modeling electricity prices with regime switching models
    Econometrics, EconWPA Downloads View citations (21)
  8. Modeling the risk process in the XploRe computing environment
    Risk and Insurance, EconWPA Downloads
    Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) Downloads View citations (1)
  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 (25)

2004

  1. Computationally intensive Value at Risk calculations
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) Downloads View citations (19)
  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 (10)

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 (10)
    Also in Papers, arXiv.org (2002) Downloads View citations (4)

    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 (11)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2001) Downloads View citations (16)

    See also Journal Article in International Journal of Modern Physics C (IJMPC) (2001)
  4. Modeling electricity prices: jump diffusion and regime switching
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (21)
    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 (17)

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 (15)
  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 (7)
    See also Journal Article in International Journal of Modern Physics C (IJMPC) (2002)
  2. Estimating long range dependence: finite sample properties and confidence intervals
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (14)
    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 (9)

2000

  1. Energy price risk management
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (18)
    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 (31)
    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 (9)
    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)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (1999)

1997

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

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

2016

  1. Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting
    Energies, 2016, 9, (8), 1-22 Downloads View citations (5)
    See also Working Paper (2016)
  2. Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
    Journal of Futures Markets, 2016, 36, (6), 587-611 Downloads View citations (1)
    See also Working Paper (2015)
  3. Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices
    Renewable and Sustainable Energy Reviews, 2016, 62, (C), 723-735 Downloads View citations (1)
  4. Improving short term load forecast accuracy via combining sister forecasts
    Energy, 2016, 98, (C), 40-49 Downloads View citations (5)
    See also Working Paper (2015)
  5. On the importance of the long-term seasonal component in day-ahead electricity price forecasting
    Energy Economics, 2016, 57, (C), 228-235 Downloads View citations (5)
    See also Working Paper (2016)
  6. Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
    International Journal of Forecasting, 2016, 32, (3), 957-965 Downloads View citations (17)
    See also Working Paper (2014)

2015

  1. A note on using the Hodrick–Prescott filter in electricity markets
    Energy Economics, 2015, 48, (C), 1-6 Downloads View citations (6)
    See also Working Paper (2014)
  2. Computing electricity spot price prediction intervals using quantile regression and forecast averaging
    Computational Statistics, 2015, 30, (3), 791-803 Downloads View citations (11)
    See also Working Paper (2013)
  3. Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
    Computational Statistics, 2015, 30, (3), 805-819 Downloads View citations (4)
    See also Working Paper (2013)

2014

  1. An empirical comparison of alternative schemes for combining electricity spot price forecasts
    Energy Economics, 2014, 46, (C), 395-412 Downloads View citations (21)
    See also Working Paper (2013)
  2. DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING
    Advances in Complex Systems (ACS), 2014, 17, (01), 1-22 Downloads
    See also Working Paper (2013)
  3. Electricity price forecasting: A review of the state-of-the-art with a look into the future
    International Journal of Forecasting, 2014, 30, (4), 1030-1081 Downloads View citations (72)
    See also Working Paper (2014)
  4. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    Energy Economics, 2014, 44, (C), 178-190 Downloads View citations (9)
    See also Working Paper (2013)
  5. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
    Energy Policy, 2014, 72, (C), 164-174 Downloads View citations (14)
    See also Working Paper (2013)

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 View citations (1)
  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 (38)
    See also Working Paper (2012)
  3. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    Energy Economics, 2013, 39, (C), 13-27 Downloads View citations (26)
    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 (18)
    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 (66)
    See also Working Paper (2010)

2009

  1. Heavy-tails and regime-switching in electricity prices
    Mathematical Methods of Operations Research, 2009, 69, (3), 457-473 Downloads View citations (14)
    See also Working Paper (2008)

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 (68)
    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 (58)

2006

  1. Modelling catastrophe claims with left-truncated severity distributions
    Computational Statistics, 2006, 21, (3), 537-555 Downloads View citations (7)
  2. Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 1-36 Downloads View citations (71)

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 (63)
    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 (6)
    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 (12)
    See also Working Paper (2003)

2002

  1. A SIMPLE MODEL OF PRICE FORMATION
    International Journal of Modern Physics C (IJMPC), 2002, 13, (01), 115-123 Downloads View citations (1)
    See also Working Paper (2001)
  2. 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 (36)
    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. LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX > 2 DOES NOT EXCLUDE THE LEVY-STABLE REGIME
    International Journal of Modern Physics C (IJMPC), 2001, 12, (02), 209-223 Downloads View citations (1)
    See also Working Paper (2003)
  3. Modeling electricity loads in California: a continuous-time approach
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 344-350 Downloads View citations (10)

2000

  1. Energy price risk management
    Physica A: Statistical Mechanics and its Applications, 2000, 285, (1), 127-134 Downloads View citations (17)
    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 (28)
    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 (14)
    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 (2)
    See also Working Paper (1998)
  3. Scaling in currency exchange: a conditionally exponential decay approach
    Physica A: Statistical Mechanics and its Applications, 1999, 267, (1), 239-250 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 (35)

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 (196)

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 View citations (5)

2005

  1. Statistical Tools for Finance and Insurance
    HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology Downloads View citations (64)

Software Items

2017

  1. HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2016

  1. SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  2. SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

2014

  1. AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads
  2. DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

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 View citations (1)
  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 View citations (1)
  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
  2. SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology Downloads

1998

  1. Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB
    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 2017-06-27