Details about Agnieszka Wyłomańska

Access statistics for papers by Agnieszka Wyłomańska.

Last updated 2012-11-16. Update your information in the RePEc Author Service.

Short-id: pwy8

Working Papers

2011

1. Measures of dependence for Ornstein–Uhlenbeck processes with tempered stable distribution
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)
   Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (1)
2. Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (3)

2010

3. Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times
   MPRA Paper, University Library of Munich, Germany
4. Optimal bidding strategies on the power market based on the stochastic models
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2009

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

2008

6. The impact of forward trading on the spot power price volatility with Cournot competition
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology View citations (2)

2006

7. Simulations of the bidding strategies on the power market (Symulacje strategii wytwórców na rynku energii elektrycznej)
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2005

8. 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)

2004

9. Asymptotic behavior of measures of dependence for ARMA(1,2) models with stable innovations. Stationary and non-stationary coefficients
   HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology
10. Periodic correlation vs. integration and cointegration (Okresowa korelacja a integracja i kointegracja)
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

2003

11. On ARMA(1,q) models with bounded and periodically correlated solutions
    HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Science and Technology

Journal Articles

2012

1. Arithmetic Brownian motion subordinated by tempered stable and inverse tempered stable processes
   Physica A: Statistical Mechanics and its Applications, 2012, 391, (22), 5685-5696 View citations (3)

2011

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

2009

3. Coupled continuous-time random walk approach to the Rachev–Rüschendorf model for financial data
   Physica A: Statistical Mechanics and its Applications, 2009, 388, (4), 407-418

2008

4. Spectral measures of PARMA sequences
   Journal of Time Series Analysis, 2008, 29, (1), 1-13

2004

5. 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)