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.

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Working Papers

2017

1. 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 Technology
2. 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 View citations (1)
3. Variance stabilizing transformations for electricity spot price forecasting
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology

2016

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

2015

11. 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 View citations (1)
    See also Journal Article in Journal of Futures Markets (2016)
12. Difficulty is critical: Psychological factors in modeling diffusion of green products and practices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
13. Improving short term load forecast accuracy via combining sister forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
    See also Journal Article in Energy (2016)
14. Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (8)
15. 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 View citations (2)
16. 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

2014

17. A note on using the Hodrick-Prescott filter in electricity markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
    See also Journal Article in Energy Economics (2015)
18. A review of electricity price forecasting: The past, the present and the future
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
19. Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
20. 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 View citations (97)
    See also Journal Article in International Journal of Forecasting (2014)
21. Evaluating the performance of VaR models in energy markets
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
22. Forecasting the occurrence of electricity price spikes in the UK power market
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
23. 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 View citations (6)
24. Modeling consumer opinions towards dynamic pricing: An agent-based approach
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
25. Modelling price spikes in electricity markets - the impact of load, weather and capacity
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
26. Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (9)
    See also Journal Article in International Journal of Forecasting (2016)
27. Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)

2013

28. An empirical comparison of alternate schemes for combining electricity spot price forecasts
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (6)
    See also Journal Article in Energy Economics (2014)
29. Computing electricity spot price prediction intervals using quantile regression and forecast averaging
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (6)
    See also Journal Article in Computational Statistics (2015)
30. Diffusion of innovation within an agent-based model: Spinsons, independence and advertising
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (7)
    See also Journal Article in Advances in Complex Systems (ACS) (2014)
31. 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 View citations (3)
    See also Journal Article in Computational Statistics (2015)
32. 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 View citations (10)
33. Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
34. 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 View citations (3)
35. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
    See also Journal Article in Energy Economics (2014)
36. Rewiring the network. What helps an innovation to diffuse?
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
37. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
    See also Journal Article in Energy Policy (2014)

2012

38. A new method for automated noise cancellation in electromagnetic field measurement
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
39. 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 in Energy Economics (2013)
40. Inference for Markov-regime switching models of electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
41. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2012) View citations (19)
    See also Journal Article in Energy Economics (2013)
42. The relationship between spot and futures CO2 emission allowance prices in the EU-ETS
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (10)

2011

43. Black swans or dragon kings? A simple test for deviations from the power law
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
    Also in MPRA Paper, University Library of Munich, Germany (2011)
    Papers, arXiv.org (2011)
44. Efficient estimation of Markov regime-switching models: An application to electricity spot prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (14)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (9)
    See also Journal Article in AStA Advances in Statistical Analysis (2012)
45. Goodness-of-fit testing for the marginal distribution of regime-switching models
    MPRA Paper, University Library of Munich, Germany View citations (7)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (2)

2010

46. An empirical comparison of alternate regime-switching models or electricity spot prices
    MPRA Paper, University Library of Munich, Germany View citations (50)
    See also Journal Article in Energy Economics (2010)
47. Building Loss Models
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (10)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (3)
48. Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"
    MPRA Paper, University Library of Munich, Germany View citations (2)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (1996) View citations (18)
49. FX Smile in the Heston Model
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (3)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (13)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2010) View citations (11)
    Papers, arXiv.org (2010)
50. Heavy-tailed distributions in VaR calculations
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
51. Loss Distributions
    MPRA Paper, University Library of Munich, Germany View citations (14)
52. Modeling electricity spot prices: Regime switching models with price-capped spike distributions
    MPRA Paper, University Library of Munich, Germany View citations (1)
53. Models for Heavy-tailed Asset Returns
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (14)
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 (2010) View citations (7)
54. 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 (10)

2009

55. Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
56. Forecasting wholesale electricity prices: A review of time series models
    MPRA Paper, University Library of Munich, Germany View citations (2)
57. 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 (11)

2008

58. A semiparametric factor model for electricity forward curve dynamics
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (16)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (14)
59. Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
    (Power security: Risk > Risk management > Security)
    MPRA Paper, University Library of Munich, Germany
60. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
    MPRA Paper, University Library of Munich, Germany View citations (73)
    See also Journal Article in International Journal of Forecasting (2008)
61. Heavy-tails and regime-switching in electricity prices
    MPRA Paper, University Library of Munich, Germany View citations (31)
    See also Journal Article in Mathematical Methods of Operations Research (2009)
62. Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland
    Papers, arXiv.org View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2008) View citations (2)

2007

63. 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)
64. Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices
    MPRA Paper, University Library of Munich, Germany View citations (37)

2006

65. Convenience Yields for CO2 Emission Allowance Futures Contracts
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (32)
66. Interval forecasting of spot electricity prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (14)
67. Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market
    MPRA Paper, University Library of Munich, Germany View citations (3)
68. Short-term electricity price forecasting with time series models: A review and evaluation
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (9)
69. Visualization tools for insurance risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (4)

2005

70. Blackouts, risk, and fat-tailed distributions
    Risk and Insurance, EconWPA
71. FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS
    Econometrics, EconWPA View citations (17)
72. Heavy tails and electricity prices
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (7)
73. Market price of risk implied by Asian-style electricity options
    Econometrics, EconWPA View citations (3)
74. Modeling and forecasting electricity loads: A comparison
    Econometrics, EconWPA View citations (12)
75. Modeling catastrophe claims with left-truncated severity distributions (extended version)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (2)
    Also in MPRA Paper, University Library of Munich, Germany (2005)
76. Modeling electricity prices with regime switching models
    Econometrics, EconWPA View citations (22)
77. Modeling the risk process in the XploRe computing environment
    Risk and Insurance, EconWPA
    Also in Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) (2004) View citations (1)
78. On detecting and modeling periodic correlation in financial data
    Econometrics, EconWPA View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
79. Stable Distributions
    SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (27)

2004

80. Computationally intensive Value at Risk calculations
    Papers, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE) View citations (20)
81. Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
82. Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology
83. Structure and stylized facts of a deregulated power market
    MPRA Paper, University Library of Munich, Germany View citations (10)

2003

84. An introduction to simulation of risk processes
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (3)
85. How effective is advertising in duopoly markets?
    Public Economics, EconWPA View citations (10)
    Also in Papers, arXiv.org (2002) View citations (4)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2003)
86. Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime
    Econometrics, EconWPA View citations (11)
    Also in HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology (2001) View citations (17)
    See also Journal Article in International Journal of Modern Physics C (IJMPC) (2001)
87. Modeling electricity prices: jump diffusion and regime switching
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (22)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2004)
88. Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
    Econometrics, EconWPA View citations (17)

2002

89. Modeling electricity loads in California: ARMA models with hyperbolic noise
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (17)
90. Origins of scaling in FX markets
    MPRA Paper, University Library of Munich, Germany
91. 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

2001

92. A simple model of price formation
    Papers, arXiv.org View citations (7)
    See also Journal Article in International Journal of Modern Physics C (IJMPC) (2002)
93. Estimating long range dependence: finite sample properties and confidence intervals
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (20)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2002)
94. Measuring long-range dependence in electricity prices
    Papers, arXiv.org View citations (10)

2000

95. Energy price risk management
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (18)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
96. Hurst analysis of electricity price dynamics
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (31)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)
97. Property insurance loss distributions
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology View citations (9)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2000)

1999

98. 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

1998

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

1997

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

1995

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

Journal Articles

2016

1. Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting
   Energies, 2016, 9, (8), 1-22 View citations (6)
   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 View citations (2)
   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 View citations (1)
4. Improving short term load forecast accuracy via combining sister forecasts
   Energy, 2016, 98, (C), 40-49 View citations (6)
   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 View citations (7)
   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 View citations (20)
   See also Working Paper (2014)

2015

7. A note on using the Hodrick–Prescott filter in electricity markets
   Energy Economics, 2015, 48, (C), 1-6 View citations (7)
   See also Working Paper (2014)
8. Computing electricity spot price prediction intervals using quantile regression and forecast averaging
   Computational Statistics, 2015, 30, (3), 791-803 View citations (13)
   See also Working Paper (2013)
9. Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships
   Computational Statistics, 2015, 30, (3), 805-819 View citations (4)
   See also Working Paper (2013)

2014

10. An empirical comparison of alternative schemes for combining electricity spot price forecasts
    Energy Economics, 2014, 46, (C), 395-412 View citations (23)
    See also Working Paper (2013)
11. DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING
    Advances in Complex Systems (ACS), 2014, 17, (01), 1-22 View citations (5)
    See also Working Paper (2013)
12. 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 (79)
    See also Working Paper (2014)
13. Revisiting the relationship between spot and futures prices in the Nord Pool electricity market
    Energy Economics, 2014, 44, (C), 178-190 View citations (10)
    See also Working Paper (2013)
14. Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs
    Energy Policy, 2014, 72, (C), 164-174 View citations (15)
    See also Working Paper (2013)

2013

15. 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 (1)
16. Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling
    Energy Economics, 2013, 38, (C), 96-110 View citations (39)
    See also Working Paper (2012)
17. Robust estimation and forecasting of the long-term seasonal component of electricity spot prices
    Energy Economics, 2013, 39, (C), 13-27 View citations (28)
    See also Working Paper (2012)

2012

18. 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 (18)
    See also Working Paper (2011)

2010

19. An empirical comparison of alternate regime-switching models for electricity spot prices
    Energy Economics, 2010, 32, (5), 1059-1073 View citations (66)
    See also Working Paper (2010)

2009

20. Heavy-tails and regime-switching in electricity prices
    Mathematical Methods of Operations Research, 2009, 69, (3), 457-473 View citations (15)
    See also Working Paper (2008)

2008

21. Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models
    International Journal of Forecasting, 2008, 24, (4), 744-763 View citations (77)
    See also Working Paper (2008)
22. Market price of risk implied by Asian-style electricity options and futures
    Energy Economics, 2008, 30, (3), 1098-1115 View citations (61)

2006

23. Modelling catastrophe claims with left-truncated severity distributions
    Computational Statistics, 2006, 21, (3), 537-555 View citations (7)
24. 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 View citations (80)

2004

25. Modeling electricity prices: jump diffusion and regime switching
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 39-48 View citations (63)
    See also Working Paper (2003)
26. On detecting and modeling periodic correlation in financial data
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (1), 196-205 View citations (6)
    See also Working Paper (2005)

2003

27. How effective is advertising in duopoly markets?
    Physica A: Statistical Mechanics and its Applications, 2003, 324, (1), 437-444 View citations (12)
    See also Working Paper (2003)

2002

28. A SIMPLE MODEL OF PRICE FORMATION
    International Journal of Modern Physics C (IJMPC), 2002, 13, (01), 115-123 View citations (1)
    See also Working Paper (2001)
29. Estimating long-range dependence: finite sample properties and confidence intervals
    Physica A: Statistical Mechanics and its Applications, 2002, 312, (1), 285-299 View citations (39)
    See also Working Paper (2001)

2001

30. A new model of mass extinctions
    Physica A: Statistical Mechanics and its Applications, 2001, 293, (3), 559-565
31. 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 View citations (2)
    See also Working Paper (2003)
32. Modeling electricity loads in California: a continuous-time approach
    Physica A: Statistical Mechanics and its Applications, 2001, 299, (1), 344-350 View citations (10)

2000

33. Energy price risk management
    Physica A: Statistical Mechanics and its Applications, 2000, 285, (1), 127-134 View citations (18)
    See also Working Paper (2000)
34. Hurst analysis of electricity price dynamics
    Physica A: Statistical Mechanics and its Applications, 2000, 283, (3), 462-468 View citations (28)
    See also Working Paper (2000)
35. Property insurance loss distributions
    Physica A: Statistical Mechanics and its Applications, 2000, 287, (1), 269-278 View citations (14)
    See also Working Paper (2000)

1999

36. A conditionally exponential decay approach to scaling in finance
    Physica A: Statistical Mechanics and its Applications, 1999, 264, (3), 551-561 View citations (1)
37. 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 (1998)
38. 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 (1998)

1996

39. On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
    Statistics & Probability Letters, 1996, 28, (2), 165-171 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 View citations (203)

2000

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

Edited books

2011

1. Statistical Tools for Finance and Insurance (2nd edition)
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (5)

2005

2. Statistical Tools for Finance and Insurance
   HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology View citations (67)

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

2016

2. 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
3. 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

2014

4. 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
5. DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation)
   HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2013

6. 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
7. 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
8. 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
9. 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
10. The World According to Spinson (WAS): Standalone application for simulating agent-based models
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2012

11. CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
12. CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
13. 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
14. RUNNINGMEDIAN: MATLAB function to compute a running median of a time series
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2011

15. DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
16. 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
17. HURST: MATLAB function to compute the Hurst exponent using R/S Analysis
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
18. 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
19. 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
20. 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
21. 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
22. 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
23. 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
24. PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
25. PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2010

26. DESEASONALIZE: MATLAB function to remove short and long term seasonal components
    Statistical Software Components, Boston College Department of Economics
27. GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model
    Statistical Software Components, Boston College Department of Economics
28. 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)
29. HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics
30. 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
31. 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
32. HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model
    Statistical Software Components, Boston College Department of Economics
33. 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
34. 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
35. MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process
    Statistical Software Components, Boston College Department of Economics
36. PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model
    Statistical Software Components, Boston College Department of Economics
37. REMST: MATLAB function to remove trend and seasonal component using the moving average method
    Statistical Software Components, Boston College Department of Economics
38. SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
    Statistical Software Components, Boston College Department of Economics
    Also in HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology (2010)
39. 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
40. STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch
    Statistical Software Components, Boston College Department of Economics
41. STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT
    Statistical Software Components, Boston College Department of Economics
42. STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis
    Statistical Software Components, Boston College Department of Economics
43. 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)
44. STABLERND: MATLAB function to generate random numbers from the stable distribution
    Statistical Software Components, Boston College Department of Economics
45. STF2HES: MATLAB functions for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
46. STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology

2008

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

2007

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

2006

50. PERIODOG: MATLAB function to compute and plot the periodogram of a time series
    HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology
51. 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

1998

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

Editor

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