Details about Joanna Janczura

Access statistics for papers by Joanna Janczura.

Last updated 2025-03-17. Update your information in the RePEc Author Service.

Short-id: pja256

Working Papers

2021

1. Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling
   Papers, arXiv.org View citations (2)
   See also Journal Article Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling, Resources Policy, Elsevier (2021) (2021)

2012

2. A new method for automated noise cancellation in electromagnetic field measurement
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)
3. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
   MPRA Paper, University Library of Munich, Germany View citations (5)
   See also Journal Article Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling, Energy Economics, Elsevier (2013) View citations (126) (2013)
4. Inference for Markov-regime switching models of electricity spot prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
5. Pricing electricity derivatives within a Markov regime-switching model
   Papers, arXiv.org View citations (2)

2011

6. Black swans or dragon kings? A simple test for deviations from the power law
   MPRA Paper, University Library of Munich, Germany View citations (3)
   Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology (2011) View citations (1)
   Papers, arXiv.org (2011) View citations (3)
7. Efficient estimation of Markov regime-switching models: An application to electricity spot prices
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (14)
   Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (9)
   See also Journal Article Efficient estimation of Markov regime-switching models: An application to electricity spot prices, AStA Advances in Statistical Analysis, Springer (2012) View citations (41) (2012)
8. Goodness-of-fit testing for the marginal distribution of regime-switching models
   MPRA Paper, University Library of Munich, Germany View citations (6)
   Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (2)
9. Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (3)

2010

10. An empirical comparison of alternate regime-switching models or electricity spot prices
    MPRA Paper, University Library of Munich, Germany View citations (121)
    See also Journal Article An empirical comparison of alternate regime-switching models for electricity spot prices, Energy Economics, Elsevier (2010) View citations (118) (2010)
11. Building Loss Models
    MPRA Paper, University Library of Munich, Germany View citations (14)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology (2010) View citations (6)
12. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany View citations (1)

2009

13. 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 (12)
14. Subdynamics of financial data from fractional Fokker-Planck equation
    MPRA Paper, University Library of Munich, Germany View citations (11)

2008

15. Modelling energy forward prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

Journal Articles

2025

1. Expectile regression averaging method for probabilistic forecasting of electricity prices
   Computational Statistics, 2025, 40, (2), 683-700

2024

2. Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
   Statistics & Risk Modeling, 2024, 41, (1-2), 1-26

2023

3. A compressed sensing approach to interpolation of fractional Brownian trajectories for a single particle tracking experiment
   Applied Mathematics and Computation, 2023, 446, (C)
4. ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation
   Energies, 2023, 16, (2), 1-28 View citations (2)

2022

5. Classification of random trajectories based on the fractional Lévy stable motion
   Chaos, Solitons & Fractals, 2022, 154, (C) View citations (1)
6. Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study
   Energy Economics, 2022, 110, (C) View citations (10)
7. From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case
   Mathematics, 2022, 10, (18), 1-29

2021

8. Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling
   Resources Policy, 2021, 74, (C)
   See also Working Paper Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling, Papers (2021) View citations (2) (2021)
9. Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach
   Applied Mathematics and Computation, 2021, 396, (C) View citations (2)

2020

10. Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts
    Energies, 2020, 13, (5), 1-16 View citations (4)

2014

11. Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
    Mathematical Methods of Operations Research, 2014, 79, (1), 1-30 View citations (16)

2013

12. 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 View citations (7)
13. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    Energy Economics, 2013, 38, (C), 96-110 View citations (126)
    See also Working Paper Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling, MPRA Paper (2012) View citations (5) (2012)

2012

14. 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 (41)
    See also Working Paper Efficient estimation of Markov regime-switching models: An application to electricity spot prices, HSC Research Reports (2011) View citations (14) (2011)

2011

15. Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (23), 4379-4387 View citations (6)

2010

16. An empirical comparison of alternate regime-switching models for electricity spot prices
    Energy Economics, 2010, 32, (5), 1059-1073 View citations (118)
    See also Working Paper An empirical comparison of alternate regime-switching models or electricity spot prices, MPRA Paper (2010) View citations (121) (2010)

Software Items

2012

1. CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
2. CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
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 Science and Technology
4. HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM)
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2011

5. 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 Science and Technology
6. 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 Science and Technology
7. 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 Science and Technology
8. 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 Science and Technology
9. 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 Science and Technology
10. 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 Science and Technology
11. PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
12. PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology