Details about Rafał Weron

Homepage:	https://p.wz.pwr.edu.pl/~weron.rafal/
Postal address:	Department of Operations Research and Business Intelligence, Wrocław University of Science and Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland
Workplace:	Katedra Badań Operacyjnych i Inteligencji Biznesowej (Department of Operations Research and Business Intelligence), Politechnika Wrocławska (Wroclaw University of Science and Technology), (more information at EDIRC)

Access statistics for papers by Rafał Weron.

Last updated 2024-08-08. Update your information in the RePEc Author Service.

Short-id: pwe42

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Working Papers

2025

1. Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035
   WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
2. PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions
   WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology

2024

3. Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market
   WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
4. Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading
   WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
5. Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression
   Papers, arXiv.org View citations (3)
   See also Journal Article Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression, Energy Economics, Elsevier (2024) View citations (3) (2024)

2023

6. Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks
   WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology

2022

7. Calibration window selection based on change-point detection for forecasting electricity prices
   Papers, arXiv.org View citations (1)
8. Distributional neural networks for electricity price forecasting
   Papers, arXiv.org View citations (4)
   See also Journal Article Distributional neural networks for electricity price forecasting, Energy Economics, Elsevier (2023) View citations (25) (2023)
9. Electricity Price Forecasting: The Dawn of Machine Learning
   Papers, arXiv.org View citations (6)
10. Forecasting Electricity Prices
    Papers, arXiv.org View citations (2)

2021

11. Erratum to 'Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark' [Appl. Energy 293 (2021) 116983]
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (26)
12. Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (10)
    See also Journal Article Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO, Energies, MDPI (2021) View citations (10) (2021)
13. Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (1)
    See also Journal Article Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx, International Journal of Forecasting, Elsevier (2023) View citations (13) (2023)
14. Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology

2020

15. Beating the naive: Combining LASSO with naive intraday electricity price forecasts
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (5)
    See also Journal Article Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts, Energies, MDPI (2020) View citations (16) (2020)
16. Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (4)
17. Energy forecasting: A review and outlook
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (102)
18. Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark
    Papers, arXiv.org View citations (2)
    See also Journal Article Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark, Applied Energy, Elsevier (2021) View citations (114) (2021)
19. Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs
    Papers, arXiv.org View citations (5)
20. Trading on short-term path forecasts of intraday electricity prices
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
    See also Journal Article Trading on short-term path forecasts of intraday electricity prices, Energy Economics, Elsevier (2022) View citations (7) (2022)

2019

21. Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology View citations (34)
    See also Journal Article Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting, Energies, MDPI (2019) View citations (32) (2019)
22. Balancing RES generation: Profitability of an energy trader
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
23. Electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (17)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology (2018) View citations (175)
24. Regularized Quantile Regression Averaging for probabilistic electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
    See also Journal Article Regularized quantile regression averaging for probabilistic electricity price forecasting, Energy Economics, Elsevier (2021) View citations (41) (2021)

2018

25. A note on averaging day-ahead electricity price forecasts across calibration windows
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (32)
26. Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
    Papers, arXiv.org View citations (137)
    See also Journal Article Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks, Energy Economics, Elsevier (2018) View citations (140) (2018)
27. Efficient forecasting of electricity spot prices with expert and LASSO models
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (42)
    See also Journal Article Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models, Energies, MDPI (2018) View citations (41) (2018)
28. Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
    See also Journal Article Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?, International Journal of Forecasting, Elsevier (2020) View citations (36) (2020)
29. Selection of calibration windows for day-ahead electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (44)
    See also Journal Article Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting, Energies, MDPI (2018) View citations (44) (2018)
30. Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (5)
    See also Journal Article Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO, International Journal of Forecasting, Elsevier (2019) View citations (61) (2019)

2017

31. Habitat momentum
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
32. Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (11)
33. 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 Science and Technology View citations (16)
    See also Journal Article On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting, Energy Economics, Elsevier (2019) View citations (41) (2019)
34. The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
    See also Journal Article The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach, Physica A: Statistical Mechanics and its Applications, Elsevier (2018) View citations (6) (2018)
35. Variance stabilizing transformations for electricity spot price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (40)

2016

36. Automated variable selection and shrinkage for day-ahead electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (82)
    See also Journal Article Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting, Energies, MDPI (2016) View citations (79) (2016)
37. Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
38. Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (5)
39. Impact of social interactions on demand curves for innovative products
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)
40. On the importance of the long-term seasonal component in day-ahead electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (60)
    See also Journal Article On the importance of the long-term seasonal component in day-ahead electricity price forecasting, Energy Economics, Elsevier (2016) View citations (63) (2016)
41. Recent advances in electricity price forecasting: A review of probabilistic forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (3)
    See also Journal Article Recent advances in electricity price forecasting: A review of probabilistic forecasting, Renewable and Sustainable Energy Reviews, Elsevier (2018) View citations (175) (2018)
42. To combine or not to combine? Recent trends in electricity price forecasting
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (14)

2015

43. Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)
    See also Journal Article Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period, Journal of Futures Markets, John Wiley & Sons, Ltd. (2016) View citations (21) (2016)
44. Difficulty is critical: Psychological factors in modeling diffusion of green products and practices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
45. Improving short term load forecast accuracy via combining sister forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)
    See also Journal Article Improving short term load forecast accuracy via combining sister forecasts, Energy, Elsevier (2016) View citations (38) (2016)
46. Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight?
    WORking papers in Management Science (WORMS), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
47. Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (26)
48. 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 Science and Technology View citations (7)
49. 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 Science and Technology

2014

50. A note on using the Hodrick-Prescott filter in electricity markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
    See also Journal Article A note on using the Hodrick–Prescott filter in electricity markets, Energy Economics, Elsevier (2015) View citations (22) (2015)
51. A review of electricity price forecasting: The past, the present and the future
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (31)
52. Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
53. 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 Science and Technology View citations (566)
    See also Journal Article Electricity price forecasting: A review of the state-of-the-art with a look into the future, International Journal of Forecasting, Elsevier (2014) View citations (551) (2014)
54. Evaluating the performance of VaR models in energy markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
55. Forecasting the occurrence of electricity price spikes in the UK power market
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
56. 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 Science and Technology View citations (10)
57. Modeling consumer opinions towards dynamic pricing: An agent-based approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
58. Modelling price spikes in electricity markets - the impact of load, weather and capacity
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
59. Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (15)
    See also Journal Article Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging, International Journal of Forecasting, Elsevier (2016) View citations (87) (2016)
60. Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (3)

2013

61. An empirical comparison of alternate schemes for combining electricity spot price forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (9)
    See also Journal Article An empirical comparison of alternative schemes for combining electricity spot price forecasts, Energy Economics, Elsevier (2014) View citations (103) (2014)
62. Computing electricity spot price prediction intervals using quantile regression and forecast averaging
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (7)
    See also Journal Article Computing electricity spot price prediction intervals using quantile regression and forecast averaging, Computational Statistics, Springer (2015) View citations (69) (2015)
63. Diffusion of innovation within an agent-based model: Spinsons, independence and advertising
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (9)
    See also Journal Article DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING, Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd. (2014) View citations (11) (2014)
64. Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
    See also Journal Article Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships, Computational Statistics, Springer (2015) View citations (22) (2015)
65. 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 Science and Technology View citations (12)
66. Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
67. 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 Science and Technology View citations (4)
68. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
    See also Journal Article Revisiting the relationship between spot and futures prices in the Nord Pool electricity market, Energy Economics, Elsevier (2014) View citations (44) (2014)
69. Rewiring the network. What helps an innovation to diffuse?
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (7)
70. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)
    See also Journal Article Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs, Energy Policy, Elsevier (2014) View citations (50) (2014)

2012

71. 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)
72. 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 (130) (2013)
73. 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)
74. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (6)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (41)
    See also Journal Article Robust estimation and forecasting of the long-term seasonal component of electricity spot prices, Energy Economics, Elsevier (2013) View citations (58) (2013)
75. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (12)

2011

76. Black swans or dragon kings? A simple test for deviations from the power law
    Papers, arXiv.org View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2011) View citations (3)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology (2011) View citations (1)
77. 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 (44) (2012)
78. 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)

2010

79. An empirical comparison of alternate regime-switching models or electricity spot prices
    MPRA Paper, University Library of Munich, Germany View citations (124)
    See also Journal Article An empirical comparison of alternate regime-switching models for electricity spot prices, Energy Economics, Elsevier (2010) View citations (128) (2010)
80. 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)
81. Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"
    MPRA Paper, University Library of Munich, Germany View citations (3)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology (1996) View citations (48)
82. FX Smile in the Heston Model
    Papers, arXiv.org View citations (15)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
    MPRA Paper, University Library of Munich, Germany (2010) View citations (20)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology (2010) View citations (17)
83. Heavy-tailed distributions in VaR calculations
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
84. Loss Distributions
    MPRA Paper, University Library of Munich, Germany View citations (16)
85. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany View citations (1)
86. Models for Heavy-tailed Asset Returns
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (16)
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2010)
87. Simulation of Risk Processes
    MPRA Paper, University Library of Munich, Germany View citations (8)
    Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (13)

2009

88. Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
89. Forecasting wholesale electricity prices: A review of time series models
    MPRA Paper, University Library of Munich, Germany View citations (3)
    See also Chapter Forecasting Wholesale Electricity Prices: A Review of Time Series Models, FindEcon Chapters: Forecasting Financial Markets and Economic Decision-Making, University of Lodz (2009) (2009)
90. 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)

2008

91. A semiparametric factor model for electricity forward curve dynamics
    MPRA Paper, University Library of Munich, Germany View citations (21)
    Also in SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk (2008)
    See also Journal Article A semiparametric factor model for electricity forward curve dynamics, Journal of Energy Markets, Journal of Energy Markets
92. Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
    (Power security: Risk > Risk management > Security)
    MPRA Paper, University Library of Munich, Germany
93. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
    MPRA Paper, University Library of Munich, Germany View citations (180)
    See also Journal Article Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models, International Journal of Forecasting, Elsevier (2008) View citations (169) (2008)
94. Heavy-tails and regime-switching in electricity prices
    MPRA Paper, University Library of Munich, Germany View citations (39)
    See also Journal Article Heavy-tails and regime-switching in electricity prices, Mathematical Methods of Operations Research, Springer (2009) View citations (53) (2009)
95. Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
    MPRA Paper, University Library of Munich, Germany View citations (5)
    Also in Papers, arXiv.org (2008) View citations (5)

2007

96. 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 View citations (2)
97. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
    MPRA Paper, University Library of Munich, Germany View citations (47)

2006

98. Convenience yields for CO₂ emission allowance futures contracts
    SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk
99. Interval forecasting of spot electricity prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (141)
100. Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
     MPRA Paper, University Library of Munich, Germany View citations (7)
101. Short-term electricity price forecasting with time series models: A review and evaluation
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (16)
102. Visualization tools for insurance risk processes
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (4)

2005

103. Blackouts, risk, and fat-tailed distributions
     Risk and Insurance, University Library of Munich, Germany
     See also Chapter Blackouts, risk, and fat-tailed distributions, Springer Books, Springer (2006) (2006)
104. FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS
     Econometrics, University Library of Munich, Germany View citations (32)
105. Heavy tails and electricity prices
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (16)
106. Market price of risk implied by Asian-style electricity options
     Econometrics, University Library of Munich, Germany View citations (3)
107. Modeling and forecasting electricity loads: A comparison
     Econometrics, University Library of Munich, Germany View citations (13)
108. Modeling catastrophe claims with left-truncated severity distributions (extended version)
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
     Also in MPRA Paper, University Library of Munich, Germany (2005)
109. Modeling electricity prices with regime switching models
     Econometrics, University Library of Munich, Germany View citations (26)
110. Modeling the risk process in the XploRe computing environment
     Risk and Insurance, University Library of Munich, Germany View citations (1)
     Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (2)
111. On detecting and modeling periodic correlation in financial data
     Econometrics, University Library of Munich, Germany View citations (4)
     See also Journal Article On detecting and modeling periodic correlation in financial data, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (16) (2004)
112. Stable distributions
     SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk View citations (17)

2004

113. Computationally intensive Value at Risk calculations
     Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (22)
114. Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie)
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
115. Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
116. Structure and stylized facts of a deregulated power market
     MPRA Paper, University Library of Munich, Germany View citations (12)

2003

117. An introduction to simulation of risk processes
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (3)
118. How effective is advertising in duopoly markets?
     Public Economics, University Library of Munich, Germany View citations (16)
     Also in Papers, arXiv.org (2002) View citations (4)
     See also Journal Article How effective is advertising in duopoly markets?, Physica A: Statistical Mechanics and its Applications, Elsevier (2003) View citations (17) (2003)
119. Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
     Econometrics, University Library of Munich, Germany View citations (11)
     Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology (2001) View citations (32)
     See also Journal Article LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME, International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd. (2001) View citations (24) (2001)
120. Modeling electricity prices: jump diffusion and regime switching
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (25)
     See also Journal Article Modeling electricity prices: jump diffusion and regime switching, Physica A: Statistical Mechanics and its Applications, Elsevier (2004) View citations (101) (2004)
121. Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
     Econometrics, University Library of Munich, Germany View citations (25)

2002

122. Modeling electricity loads in California: ARMA models with hyperbolic noise
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (34)
123. Origins of scaling in FX markets
     MPRA Paper, University Library of Munich, Germany
124. Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2001

125. A simple model of price formation
     Papers, arXiv.org View citations (9)
     See also Journal Article A SIMPLE MODEL OF PRICE FORMATION, International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd. (2002) View citations (23) (2002)
126. Estimating long range dependence: finite sample properties and confidence intervals
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (22)
     See also Journal Article Estimating long-range dependence: finite sample properties and confidence intervals, Physica A: Statistical Mechanics and its Applications, Elsevier (2002) View citations (112) (2002)
127. Measuring long-range dependence in electricity prices
     Papers, arXiv.org View citations (11)

2000

128. Energy price risk management
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (31)
     See also Journal Article Energy price risk management, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (34) (2000)
129. Hurst analysis of electricity price dynamics
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (41)
     See also Journal Article Hurst analysis of electricity price dynamics, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (43) (2000)
130. Property insurance loss distributions
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (18)
     See also Journal Article Property insurance loss distributions, Physica A: Statistical Mechanics and its Applications, Elsevier (2000) View citations (27) (2000)

1999

131. 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 Science and Technology

1998

132. Origins of the scaling behaviour in the dynamics of financial data
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
     See also Journal Article Origins of the scaling behaviour in the dynamics of financial data, Physica A: Statistical Mechanics and its Applications, Elsevier (1999) View citations (3) (1999)
133. Scaling in currency exchange: A Conditionally Exponential Decay approach
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)
     See also Journal Article Scaling in currency exchange: a conditionally exponential decay approach, Physica A: Statistical Mechanics and its Applications, Elsevier (1999) View citations (1) (1999)

1997

134. Evolution in a changing environment
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

1995

135. Analysis of ROBECO data by neural networks
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
136. Performance of the estimators of stable law parameters
     HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (1)

Journal Articles

2024

1. Operational Research: methods and applications
   Journal of the Operational Research Society, 2024, 75, (3), 423-617 View citations (5)
2. Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression
   Energy Economics, 2024, 139, (C) View citations (3)
   See also Working Paper Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression, Papers (2024) View citations (3) (2024)

2023

3. Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding?
   Operations Research and Decisions, 2023, 33, (3), 105-118 View citations (11)
4. Distributional neural networks for electricity price forecasting
   Energy Economics, 2023, 125, (C) View citations (25)
   See also Working Paper Distributional neural networks for electricity price forecasting, Papers (2022) View citations (4) (2022)
5. Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx
   International Journal of Forecasting, 2023, 39, (2), 884-900 View citations (13)
   See also Working Paper Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx, WORking papers in Management Science (WORMS) (2021) View citations (1) (2021)

2022

6. Trading on short-term path forecasts of intraday electricity prices
   Energy Economics, 2022, 112, (C) View citations (7)
   See also Working Paper Trading on short-term path forecasts of intraday electricity prices, WORking papers in Management Science (WORMS) (2020) (2020)

2021

7. Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark
   Applied Energy, 2021, 293, (C) View citations (114)
   See also Working Paper Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark, Papers (2020) View citations (2) (2020)
8. Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO
   Energies, 2021, 14, (11), 1-17 View citations (10)
   See also Working Paper Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO, WORking papers in Management Science (WORMS) (2021) View citations (10) (2021)
9. Regularized quantile regression averaging for probabilistic electricity price forecasting
   Energy Economics, 2021, 95, (C) View citations (41)
   See also Working Paper Regularized Quantile Regression Averaging for probabilistic electricity price forecasting, HSC Research Reports (2019) (2019)

2020

10. Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader
    Energies, 2020, 13, (1), 1-15 View citations (13)
11. Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts
    Energies, 2020, 13, (7), 1-16 View citations (16)
    See also Working Paper Beating the naive: Combining LASSO with naive intraday electricity price forecasts, WORking papers in Management Science (WORMS) (2020) View citations (5) (2020)
12. Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?
    International Journal of Forecasting, 2020, 36, (2), 466-479 View citations (36)
    See also Working Paper Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?, HSC Research Reports (2018) View citations (4) (2018)

2019

13. Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting
    Energies, 2019, 12, (13), 1-12 View citations (32)
    See also Working Paper Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting, WORking papers in Management Science (WORMS) (2019) View citations (34) (2019)
14. Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill
    Energy Economics, 2019, 79, (C), 45-58 View citations (18)
15. On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks
    International Journal of Forecasting, 2019, 35, (4), 1520-1532 View citations (48)
16. On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting
    Energy Economics, 2019, 79, (C), 171-182 View citations (41)
    See also Working Paper On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting, HSC Research Reports (2017) View citations (16) (2017)
17. Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations
    Data, 2019, 4, (2), 1-4 View citations (3)
18. Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO
    International Journal of Forecasting, 2019, 35, (4), 1533-1547 View citations (61)
    See also Working Paper Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO, HSC Research Reports (2018) View citations (5) (2018)

2018

19. Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks
    Energy Economics, 2018, 70, (C), 396-420 View citations (140)
    See also Working Paper Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks, Papers (2018) View citations (137) (2018)
20. Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models
    Energies, 2018, 11, (8), 1-26 View citations (41)
    See also Working Paper Efficient forecasting of electricity spot prices with expert and LASSO models, HSC Research Reports (2018) View citations (42) (2018)
21. Recent advances in electricity price forecasting: A review of probabilistic forecasting
    Renewable and Sustainable Energy Reviews, 2018, 81, (P1), 1548-1568 View citations (175)
    See also Working Paper Recent advances in electricity price forecasting: A review of probabilistic forecasting, HSC Research Reports (2016) View citations (3) (2016)
22. Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting
    Energies, 2018, 11, (9), 1-20 View citations (44)
    See also Working Paper Selection of calibration windows for day-ahead electricity price forecasting, HSC Research Reports (2018) View citations (44) (2018)
23. The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach
    Physica A: Statistical Mechanics and its Applications, 2018, 505, (C), 591-600 View citations (6)
    See also Working Paper The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach, HSC Research Reports (2017) View citations (2) (2017)

2016

24. Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting
    Energies, 2016, 9, (8), 1-22 View citations (79)
    See also Working Paper Automated variable selection and shrinkage for day-ahead electricity price forecasting, HSC Research Reports (2016) View citations (82) (2016)
25. Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period
    Journal of Futures Markets, 2016, 36, (6), 587-611 View citations (21)
    See also Working Paper Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period, HSC Research Reports (2015) View citations (1) (2015)
26. 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 View citations (22)
27. Improving short term load forecast accuracy via combining sister forecasts
    Energy, 2016, 98, (C), 40-49 View citations (38)
    See also Working Paper Improving short term load forecast accuracy via combining sister forecasts, HSC Research Reports (2015) View citations (1) (2015)
28. On the importance of the long-term seasonal component in day-ahead electricity price forecasting
    Energy Economics, 2016, 57, (C), 228-235 View citations (63)
    See also Working Paper On the importance of the long-term seasonal component in day-ahead electricity price forecasting, HSC Research Reports (2016) View citations (60) (2016)
29. Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
    International Journal of Forecasting, 2016, 32, (3), 957-965 View citations (87)
    See also Working Paper Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging, HSC Research Reports (2014) View citations (15) (2014)

2015

30. A note on using the Hodrick–Prescott filter in electricity markets
    Energy Economics, 2015, 48, (C), 1-6 View citations (22)
    See also Working Paper A note on using the Hodrick-Prescott filter in electricity markets, HSC Research Reports (2014) View citations (4) (2014)
31. Computing electricity spot price prediction intervals using quantile regression and forecast averaging
    Computational Statistics, 2015, 30, (3), 791-803 View citations (69)
    See also Working Paper Computing electricity spot price prediction intervals using quantile regression and forecast averaging, HSC Research Reports (2013) View citations (7) (2013)
32. Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
    Computational Statistics, 2015, 30, (3), 805-819 View citations (22)
    See also Working Paper Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships, HSC Research Reports (2013) View citations (4) (2013)

2014

33. An empirical comparison of alternative schemes for combining electricity spot price forecasts
    Energy Economics, 2014, 46, (C), 395-412 View citations (103)
    See also Working Paper An empirical comparison of alternate schemes for combining electricity spot price forecasts, HSC Research Reports (2013) View citations (9) (2013)
34. DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING
    Advances in Complex Systems (ACS), 2014, 17, (01), 1-22 View citations (11)
    See also Working Paper Diffusion of innovation within an agent-based model: Spinsons, independence and advertising, HSC Research Reports (2013) View citations (9) (2013)
35. 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 View citations (551)
    See also Working Paper Electricity price forecasting: A review of the state-of-the-art with a look into the future, HSC Research Reports (2014) View citations (566) (2014)
36. Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa?
    PLOS ONE, 2014, 9, (11), 1-7 View citations (12)
37. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    Energy Economics, 2014, 44, (C), 178-190 View citations (44)
    See also Working Paper Revisiting the relationship between spot and futures prices in the Nord Pool electricity market, HSC Research Reports (2013) View citations (4) (2013)
38. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
    Energy Policy, 2014, 72, (C), 164-174 View citations (50)
    See also Working Paper Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs, HSC Research Reports (2013) View citations (4) (2013)

2013

39. Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’
    Applied Stochastic Models in Business and Industry, 2013, 29, (6), 648-651
40. 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)
41. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    Energy Economics, 2013, 38, (C), 96-110 View citations (130)
    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)
42. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    Energy Economics, 2013, 39, (C), 13-27 View citations (58)
    See also Working Paper Robust estimation and forecasting of the long-term seasonal component of electricity spot prices, HSC Research Reports (2012) View citations (6) (2012)

2012

43. 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 (44)
    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)

2010

44. An empirical comparison of alternate regime-switching models for electricity spot prices
    Energy Economics, 2010, 32, (5), 1059-1073 View citations (128)
    See also Working Paper An empirical comparison of alternate regime-switching models or electricity spot prices, MPRA Paper (2010) View citations (124) (2010)

2009

45. Heavy-tails and regime-switching in electricity prices
    Mathematical Methods of Operations Research, 2009, 69, (3), 457-473 View citations (53)
    See also Working Paper Heavy-tails and regime-switching in electricity prices, MPRA Paper (2008) View citations (39) (2008)

2008

46. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
    International Journal of Forecasting, 2008, 24, (4), 744-763 View citations (169)
    See also Working Paper Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models, MPRA Paper (2008) View citations (180) (2008)
47. Market price of risk implied by Asian-style electricity options and futures
    Energy Economics, 2008, 30, (3), 1098-1115 View citations (76)

2006

48. Modelling catastrophe claims with left-truncated severity distributions
    Computational Statistics, 2006, 21, (3), 537-555 View citations (12)
49. Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models
    Studies in Nonlinear Dynamics & Econometrics, 2006, 10, (3), 36 View citations (149)

2004

50. Modeling electricity prices: jump diffusion and regime switching
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 39-48 View citations (101)
    See also Working Paper Modeling electricity prices: jump diffusion and regime switching, HSC Research Reports (2003) View citations (25) (2003)
51. On detecting and modeling periodic correlation in financial data
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 196-205 View citations (16)
    See also Working Paper On detecting and modeling periodic correlation in financial data, Econometrics (2005) View citations (4) (2005)

2003

52. How effective is advertising in duopoly markets?
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 437-444 View citations (17)
    See also Working Paper How effective is advertising in duopoly markets?, Public Economics (2003) View citations (16) (2003)

2002

53. A SIMPLE MODEL OF PRICE FORMATION
    International Journal of Modern Physics C (IJMPC), 2002, 13, (01), 115-123 View citations (23)
    See also Working Paper A simple model of price formation, Papers (2001) View citations (9) (2001)
54. Estimating long-range dependence: finite sample properties and confidence intervals
    Physica A: Statistical Mechanics and its Applications, 2002, 312, (1), 285-299 View citations (112)
    See also Working Paper Estimating long range dependence: finite sample properties and confidence intervals, HSC Research Reports (2001) View citations (22) (2001)

2001

55. A new model of mass extinctions
    Physica A: Statistical Mechanics and its Applications, 2001, 293, (3), 559-565 View citations (1)
56. LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME
    International Journal of Modern Physics C (IJMPC), 2001, 12, (02), 209-223 View citations (24)
    See also Working Paper Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime, Econometrics (2003) View citations (11) (2003)
57. Modeling electricity loads in California: a continuous-time approach
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 344-350 View citations (13)

2000

58. Energy price risk management
    Physica A: Statistical Mechanics and its Applications, 2000, 285, (1), 127-134 View citations (34)
    See also Working Paper Energy price risk management, HSC Research Reports (2000) View citations (31) (2000)
59. Hurst analysis of electricity price dynamics
    Physica A: Statistical Mechanics and its Applications, 2000, 283, (3), 462-468 View citations (43)
    See also Working Paper Hurst analysis of electricity price dynamics, HSC Research Reports (2000) View citations (41) (2000)
60. Property insurance loss distributions
    Physica A: Statistical Mechanics and its Applications, 2000, 287, (1), 269-278 View citations (27)
    See also Working Paper Property insurance loss distributions, HSC Research Reports (2000) View citations (18) (2000)

1999

61. A conditionally exponential decay approach to scaling in finance
    Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 551-561 View citations (1)
62. Origins of the scaling behaviour in the dynamics of financial data
    Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 562-569 View citations (3)
    See also Working Paper Origins of the scaling behaviour in the dynamics of financial data, HSC Research Reports (1998) View citations (2) (1998)
63. Scaling in currency exchange: a conditionally exponential decay approach
    Physica A: Statistical Mechanics and its Applications, 1999, 267, (1), 239-250 View citations (1)
    See also Working Paper Scaling in currency exchange: A Conditionally Exponential Decay approach, HSC Research Reports (1998) View citations (1) (1998)

1996

64. On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
    Statistics & Probability Letters, 1996, 28, (2), 165-171 View citations (60)

Undated

65. A semiparametric factor model for electricity forward curve dynamics
    Journal of Energy Markets
    See also Working Paper A semiparametric factor model for electricity forward curve dynamics, MPRA Paper (2008) View citations (21) (2008)

Books

2006

1. Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (346)

2000

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

1998

3. 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 Science and Technology

Edited books

2011

1. Statistical Tools for Finance and Insurance (2nd edition)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (21)

2005

2. Statistical Tools for Finance and Insurance
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (99)

Chapters

2020

1. What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market
   Chapter 10 in HANDBOOK OF ENERGY FINANCE Theories, Practices and Simulations, 2020, pp 231-245 View citations (1)

2009

2. Forecasting Wholesale Electricity Prices: A Review of Time Series Models
   Chapter 5 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 71-82
   See also Working Paper Forecasting wholesale electricity prices: A review of time series models, University Library of Munich, Germany (2009) View citations (3) (2009)

2006

3. Blackouts, risk, and fat-tailed distributions
   Springer
   See also Working Paper Blackouts, risk, and fat-tailed distributions, University Library of Munich, Germany (2005) (2005)

Software Items

2023

1. ORD_33_103_R_Data: R notebook and data to replicate the results presented in Nitka and Weron (2023) Operations Research and Decisions 33(3), 105-118
   WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology

2021

2. ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249
   WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
3. ENERGIES_14_3249_PYTHON: Market data and PYTHON codes for computing electricity spot price forecasts using LASSO-estimated AR (LEAR) models as utilized in Jedrzejewski et al. (2021) Energies 14, 3249
   WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology
4. EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF)
   WORMS Software (WORking papers in Management Science Software), Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology

2018

5. ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting"
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
6. ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting"
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2017

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

2016

8. 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 Science and Technology
9. 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 Science and Technology

2014

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

2013

12. 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 Science and Technology
13. 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 Science and Technology
14. 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 Science and Technology
15. 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 Science and Technology
16. The World According to Spinson (WAS): Standalone application for simulating agent-based models
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2012

17. CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
18. CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
19. 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
20. RUNNINGMEDIAN: MATLAB function to compute a running median of a time series
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2011

21. DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
22. 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 Science and Technology
23. HURST: MATLAB function to compute the Hurst exponent using R/S Analysis
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
24. 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
25. 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
26. 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
27. 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
28. 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
29. 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
30. 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
31. 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

2010

32. DESEASONALIZE: MATLAB function to remove short and long term seasonal components
    Statistical Software Components, Boston College Department of Economics
33. GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model
    Statistical Software Components, Boston College Department of Economics
34. 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 View citations (1)
35. HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics
36. 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
37. 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
38. HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model
    Statistical Software Components, Boston College Department of Economics
39. 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
40. 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
41. MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process
    Statistical Software Components, Boston College Department of Economics
42. PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics
43. REMST: MATLAB function to remove trend and seasonal component using the moving average method
    Statistical Software Components, Boston College Department of Economics
44. SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
    Also in Statistical Software Components, Boston College Department of Economics (2010)
45. 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
46. STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch
    Statistical Software Components, Boston College Department of Economics
47. STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT
    Statistical Software Components, Boston College Department of Economics
48. STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis
    Statistical Software Components, Boston College Department of Economics
49. STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams
    Statistical Software Components, Boston College Department of Economics View citations (1)
50. STABLERND: MATLAB function to generate random numbers from the stable distribution
    Statistical Software Components, Boston College Department of Economics
51. STF2HES: MATLAB functions for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology
52. STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2008

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

2007

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

2006

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

1998

58. Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Science and Technology

Editor

1. HSC Research Reports
   Hugo Steinhaus Center, Wroclaw University of Science and Technology
2. HSC Software
   Hugo Steinhaus Center, Wroclaw University of Science and Technology