Access Statistics for Rafał Weron

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new method for automated noise cancellation in electromagnetic field measurement 0 0 0 21 0 4 5 132
A note on averaging day-ahead electricity price forecasts across calibration windows 0 0 14 154 0 0 24 241
A note on using the Hodrick-Prescott filter in electricity markets 0 0 0 113 0 2 9 285
A review of electricity price forecasting: The past, the present and the future 0 0 2 243 1 1 7 333
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 0 0 1 177
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 1 1 1 255
A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia) 0 0 0 17 0 0 2 132
A simple model of price formation 0 0 0 33 0 2 4 122
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 1 165 0 1 5 380
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 0 0 2 408
An introduction to simulation of risk processes 0 0 2 48 0 0 3 212
Analysis of ROBECO data by neural networks 0 0 0 8 0 0 2 81
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 2 160 0 0 4 321
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 17 0 3 6 44
Balancing RES generation: Profitability of an energy trader 0 0 0 73 0 3 11 145
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 1 76 0 0 2 116
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 1 1 1 249
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 114 0 0 1 395
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 0 0 2 177
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 1 3 129
Blackouts, risk, and fat-tailed distributions 0 0 1 200 1 1 2 594
Building Loss Models 0 0 0 25 0 0 2 171
Building Loss Models 0 0 0 319 1 2 2 1,429
Building loss models 0 0 0 7 0 0 0 46
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 0 35 1 1 3 49
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 0 0 5 144
Computationally intensive Value at Risk calculations 0 0 0 29 0 0 1 140
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 0 223 1 1 4 410
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 75 0 0 2 191
Convenience yields for CO2 emission allowance futures contracts 0 0 2 335 0 1 6 1,015
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 1 1 107 0 3 5 392
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 1 3 88 4 6 9 309
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 14 14 14 1 36 36 36
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 1 5 34 1 2 14 119
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 0 54 0 0 2 77
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 2 9 235 2 4 20 451
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 1 1 55 0 1 3 169
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 0 1 3 155
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 2 186 5 5 11 442
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 1 2 77
Distributional neural networks for electricity price forecasting 0 0 1 33 0 0 7 55
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 371 0 1 6 847
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 1 175 0 0 5 345
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 52 1 2 5 87
Electricity Price Forecasting: The Dawn of Machine Learning 0 2 10 171 0 4 23 339
Electricity price forecasting 0 2 5 153 1 4 14 328
Electricity price forecasting 0 7 13 532 1 8 36 1,624
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 3 14 365 1 6 40 853
Energy forecasting: A review and outlook 1 1 2 300 2 2 3 789
Energy price risk management 0 0 0 60 0 1 4 225
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] 0 1 7 50 1 6 23 116
Estimating long range dependence: finite sample properties and confidence intervals 0 0 2 90 0 1 7 339
Evaluating the performance of VaR models in energy markets 0 1 1 151 0 1 2 232
Evolution in a changing environment 0 0 0 13 0 2 3 115
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 6 73 73 1 14 111 111
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 1 1 3 1,272 2 4 11 2,494
FX Smile in the Heston Model 0 0 0 34 0 0 3 189
FX Smile in the Heston Model 0 0 0 57 0 1 1 204
FX Smile in the Heston Model 0 0 0 143 0 0 13 448
FX smile in the Heston model 0 0 1 100 0 2 3 304
Forecasting Electricity Prices 1 4 10 46 4 11 30 99
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 1 38 0 1 2 74
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 0 115 0 1 4 185
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 0 1 3 362
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 0 229 0 0 3 572
Forecasting the occurrence of electricity price spikes in the UK power market 0 0 4 221 0 0 12 463
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 1 2 3 303
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 3 139 2 4 16 277
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 0 2 241
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 1 55 0 2 3 158
Habitat momentum 0 0 0 7 0 0 1 65
Heavy tails and electricity prices 1 2 2 33 1 3 7 167
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 1 1 2 507
Heavy-tailed distributions in VaR calculations 0 2 3 322 1 3 6 895
Heavy-tails and regime-switching in electricity prices 0 0 0 78 2 4 6 173
How effective is advertising in duopoly markets? 0 0 0 9 0 1 3 79
How effective is advertising in duopoly markets? 0 0 0 285 0 0 0 1,048
Hurst analysis of electricity price dynamics 0 0 1 63 0 2 5 198
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 0 120 0 1 1 224
Impact of social interactions on demand curves for innovative products 0 0 0 69 0 0 2 101
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 2 5 168 2 5 9 318
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 1 1 2 54 2 2 4 114
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 234 0 0 2 441
Inference for Markov-regime switching models of electricity spot prices 0 0 5 224 0 1 16 494
Interval forecasting of spot electricity prices 0 0 0 31 0 1 2 120
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 1 1 31
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 1 621 0 0 5 1,457
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 1 2 9 545
Loss Distributions 1 1 9 181 1 1 20 529
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 8 25 63 63 9 34 109 109
Market price of risk implied by Asian-style electricity options 0 0 0 629 0 0 1 1,424
Measuring long-range dependence in electricity prices 0 0 0 50 0 2 3 134
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 1 2 140 1 3 5 235
Modeling and forecasting electricity loads: A comparison 0 0 0 1,265 0 0 1 2,854
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 0 151 0 0 6 329
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 0 1 183
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 2 80 0 1 6 206
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 0 1 195
Modeling electricity prices with regime switching models 0 0 1 1,032 0 0 2 1,887
Modeling electricity prices: jump diffusion and regime switching 0 0 1 221 0 0 3 607
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 0 0 199
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 1 2 9 690 1 4 16 1,268
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 1 4 56
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 2 2 362
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 2 2 6 249
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 1 7 206 2 2 13 474
Models for Heavy-tailed Asset Returns 0 0 0 201 0 1 3 454
Models for Heavy-tailed Asset Returns 0 0 1 40 2 4 7 200
Models for heavy-tailed asset returns 0 0 0 70 0 1 2 209
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 3 52 1 3 16 122
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 0 43 0 0 4 65
On detecting and modeling periodic correlation in financial data 0 0 0 280 0 0 0 633
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 2 116 1 5 11 208
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 1 131 0 0 3 280
Origins of scaling in FX markets 0 0 0 35 1 1 1 154
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 0 1 125
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 25 0 1 2 107
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 55 1 2 7 203
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 2 242 0 2 6 686
Performance of the estimators of stable law parameters 0 0 0 31 0 0 5 134
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 0 0 0 648
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 4 20 20 20 10 40 40 40
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 10 11 0 4 22 24
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 1 13 0 0 3 129
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 0 0 1 135
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 0 3 247
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 1 4 157 1 2 13 301
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 1 2 11 281 1 3 23 599
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 0 183 0 1 5 359
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 1 2 5 512 2 4 18 1,078
Property insurance loss distributions 0 0 0 110 0 0 2 439
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 0 10 435 1 2 22 916
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 1 1 3 288
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 0 6 159 0 2 16 199
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 398 0 1 8 395
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 1 4 100
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 0 2 4 588
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 1 2 3 124
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 1 2 112
Selection of calibration windows for day-ahead electricity price forecasting 0 0 3 71 1 3 9 106
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 1 2 4 159 1 2 8 314
Short-term electricity price forecasting with time series models: A review and evaluation 3 7 20 504 3 11 42 1,302
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 0 59 0 1 4 146
Simulation of Risk Processes 0 0 0 97 1 1 1 299
Simulation of risk processes 0 0 0 27 0 0 2 140
Stable distributions 0 0 1 237 0 0 6 466
Structure and stylized facts of a deregulated power market 0 0 0 109 0 0 0 375
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 1 4 324 1 4 10 1,384
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 0 1 3 86
To combine or not to combine? Recent trends in electricity price forecasting 0 1 7 188 1 4 16 361
Trading on short-term path forecasts of intraday electricity prices 1 3 16 147 3 7 30 268
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 2 8 27 83 3 16 71 157
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 0 2 215
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 0 46 0 0 4 178
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 2 4 194 1 4 12 343
Variance stabilizing transformations for electricity spot price forecasting 0 3 7 195 0 7 17 741
Visualization tools for insurance risk processes 0 0 0 30 0 0 5 171
Total Working Papers 31 138 501 24,156 102 391 1,407 59,158

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SIMPLE MODEL OF PRICE FORMATION 0 0 0 2 0 0 0 16
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 1 2 41
A new model of mass extinctions 0 0 0 2 0 0 0 23
A note on using the Hodrick–Prescott filter in electricity markets 1 1 3 36 1 2 6 122
A semiparametric factor model for electricity forward curve dynamics 0 0 0 0 0 3 7 7
An empirical comparison of alternate regime-switching models for electricity spot prices 2 2 5 98 4 5 11 291
An empirical comparison of alternative schemes for combining electricity spot price forecasts 1 1 3 57 2 4 13 186
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 2 20 0 0 4 93
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 0 1 3 38
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 1 1 1 40
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 0 0 2 27
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 31 0 1 3 111
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 2 6 0 2 12 29
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 1 31 1 2 7 101
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 1 12 0 0 4 47
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 2 2 4 23
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 2 3 5 50 2 5 16 165
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 1 1 14 0 1 3 70
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 5 0 0 1 12
Distributional neural networks for electricity price forecasting 1 3 10 16 1 7 26 50
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 0 1 48
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 64 0 0 2 153
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 2 17 143 1 9 50 479
Energy price risk management 0 0 0 9 0 2 5 64
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 1 42 1 2 12 157
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 2 15 0 4 17 66
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 0 2 57
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 3 201 0 1 11 551
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 1 31 0 0 4 104
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 1 2 66
How effective is advertising in duopoly markets? 0 0 1 4 0 0 2 49
Hurst analysis of electricity price dynamics 0 0 1 17 0 0 3 50
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 3 144 0 1 12 476
Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO 0 0 0 5 0 0 1 16
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 0 0 3 87
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 1 7
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 0 0 1 27
Market price of risk implied by Asian-style electricity options and futures 0 0 1 108 0 1 6 290
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 1 2 40
Modeling electricity prices: jump diffusion and regime switching 1 2 3 48 1 2 10 139
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 2 96
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 1 4 8 14 4 10 27 63
On detecting and modeling periodic correlation in financial data 0 0 0 12 0 0 1 55
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 4 9 14 278 5 11 27 569
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 2 3 32 2 5 12 121
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 2 18 0 2 8 57
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 3 18 0 2 10 59
Operational Research: methods and applications 0 0 1 1 1 2 3 5
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 2 34
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 1 5 202 0 1 8 564
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 0 5 18 0 1 11 66
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 1 1 0 2 7 7
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 1 2 17 0 2 6 57
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 2 2 5 51 2 2 15 165
Property insurance loss distributions 0 2 3 22 0 2 4 106
Recent advances in electricity price forecasting: A review of probabilistic forecasting 3 4 24 201 6 13 85 629
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 3 5 34 1 7 21 81
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 1 4 11 68 2 10 23 258
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 1 4 71 1 3 7 201
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 1 17
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 2 0 0 2 36
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 0 3 43
Trading on short-term path forecasts of intraday electricity prices 0 2 14 52 1 7 38 146
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 2 51 0 3 6 181
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 2 29 0 1 7 110
Total Journal Articles 19 53 183 2,539 42 147 608 8,144

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku) 0 1 6 454 0 6 43 1,627
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 1 11 57 1,297 4 18 106 3,039
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 1 2 5 128 1 2 10 450
Total Books 2 14 68 1,879 5 26 159 5,116

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Blackouts, risk, and fat-tailed distributions 0 0 0 0 1 2 2 6
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 0 0 5
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 1 9 0 0 3 22
Total Chapters 0 0 1 9 1 2 5 33

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method 3 6 22 953 3 8 42 2,090
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 2 12 1,076 1 5 26 2,673
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 1 5 198 0 3 11 561
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 163 0 2 6 606
COR: MATLAB function to compute the correlation coefficients 0 0 1 819 0 0 32 6,803
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 1 5 1,668 0 3 14 4,573
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 1 1 7 481 3 5 21 1,005
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 2 5 31 2,964 7 14 75 7,786
ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 0 1 2 28 1 5 8 86
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 1 4 17 134 4 10 51 392
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 4 15 312 4 8 40 698
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 3 13 183 3 5 36 529
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 0 5 25 140 6 21 104 651
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 1 2 178 1 3 11 727
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 4 179 0 0 10 523
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 1 236 0 1 5 899
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 1 4 12 852 3 6 25 2,088
HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) 0 0 0 318 0 1 3 697
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 0 1 407
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 2 184 0 1 6 551
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 2 104 0 2 5 383
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 0 3 1,122
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 1 7 52 1,067 3 16 122 3,137
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 6 18 99 5,587 13 39 246 13,864
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 0 219 0 1 3 491
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods 0 0 0 169 0 0 11 392
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods 0 0 3 213 0 0 5 425
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 0 241 0 0 3 528
MFE Toolbox ver. 1.0.1 for MATLAB 1 2 6 1,271 1 3 19 3,106
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 1 6 20 1,634 7 19 68 3,813
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 265 0 0 5 722
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 1 3 1,039 1 3 12 2,687
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 1 1 642 0 2 10 1,579
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 1 1 4 307 1 2 8 698
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 0 234 0 0 4 585
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 1 2 432 1 2 9 906
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 1 3 363 0 15 20 745
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 1 273 0 0 4 682
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 0 3 7 16 1 8 21 42
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 2 213 0 0 2 544
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 8 936 1 1 20 2,820
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 0 256 0 1 2 540
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 1 181 0 0 2 461
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 1 2 1,290 0 3 11 3,617
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 1 1 272 0 1 5 1,041
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 0 0 175 0 1 9 378
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 1 2 6 261 1 2 15 475
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 1 3 402 0 3 11 1,377
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 4 777 1 2 11 2,827
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 0 2 1,199
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 0 0 146 0 0 3 281
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 1 2 365 0 1 5 761
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 1 1 1 625 2 2 5 1,932
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 1 1 359 2 6 8 922
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 3 420 1 1 12 1,013
STABLERND: MATLAB function to generate random numbers from the stable distribution 1 2 3 564 1 2 11 1,550
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 1 239 0 0 3 662
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 2 132 0 0 12 481
The World According to Spinson (WAS): Standalone application for simulating agent-based models 1 1 1 134 2 2 5 467
Total Software Items 24 90 422 33,924 75 241 1,259 93,600

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Statistics updated 2025-05-12