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 0 5 132
A note on averaging day-ahead electricity price forecasts across calibration windows 0 1 13 155 1 4 26 245
A note on using the Hodrick-Prescott filter in electricity markets 0 1 1 114 1 2 10 287
A review of electricity price forecasting: The past, the present and the future 1 1 2 244 1 2 4 334
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 1 1 255
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 0 0 1 177
A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia) 1 1 1 18 1 1 3 133
A simple model of price formation 0 0 0 33 0 1 5 123
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 1 165 0 0 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 1 1 3 82
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 0 160 0 0 2 321
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 17 0 0 6 44
Balancing RES generation: Profitability of an energy trader 0 0 0 73 0 0 8 145
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 1 76 1 3 4 119
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 1 1 249
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 114 0 1 2 396
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 0 1 3 129
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 1 1 2 178
Blackouts, risk, and fat-tailed distributions 0 0 1 200 0 3 4 596
Building Loss Models 0 0 0 319 0 1 2 1,429
Building Loss Models 0 0 0 25 0 0 2 171
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 0 1 2 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 0 140
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 1 1 1 224 1 3 5 412
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 1 335 0 0 5 1,015
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 1 107 0 0 5 392
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 2 4 90 5 12 16 317
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 1 15 15 0 3 38 38
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 4 34 0 1 12 119
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 1 1 55 1 1 2 78
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 3 9 237 3 8 20 457
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 1 55 0 0 3 169
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 1 1 4 156
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 1 186 0 6 9 443
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 0 2 77
Distributional neural networks for electricity price forecasting 1 1 2 34 2 2 8 57
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 371 0 0 5 847
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 0 175 1 1 4 346
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 52 0 1 4 87
Electricity Price Forecasting: The Dawn of Machine Learning 0 0 6 171 0 1 18 340
Electricity price forecasting 1 3 15 535 1 5 28 1,628
Electricity price forecasting 1 2 6 155 2 5 14 332
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 2 8 367 3 9 35 861
Energy forecasting: A review and outlook 0 1 2 300 1 3 4 790
Energy price risk management 0 0 0 60 0 0 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 0 4 50 0 1 19 116
Estimating long range dependence: finite sample properties and confidence intervals 0 0 2 90 0 0 6 339
Evaluating the performance of VaR models in energy markets 0 0 1 151 0 0 2 232
Evolution in a changing environment 0 0 0 13 0 0 3 115
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 2 3 76 76 2 4 114 114
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 1 3 1,272 1 3 11 2,495
FX Smile in the Heston Model 0 0 0 143 0 0 13 448
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 0 1 204
FX smile in the Heston model 0 0 1 100 1 1 4 305
Forecasting Electricity Prices 1 3 10 48 2 11 31 106
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 1 38 1 1 3 75
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 0 115 0 0 4 185
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 0 0 2 362
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 1 1 230 0 1 4 573
Forecasting the occurrence of electricity price spikes in the UK power market 1 1 2 222 1 2 11 465
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 0 1 3 303
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 2 139 0 3 15 278
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 2 2 243
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 0 0 2 158
Habitat momentum 0 0 0 7 0 0 1 65
Heavy tails and electricity prices 0 1 2 33 0 1 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 0 1 2 507
Heavy-tailed distributions in VaR calculations 0 0 3 322 0 1 5 895
Heavy-tails and regime-switching in electricity prices 0 1 1 79 0 3 7 174
How effective is advertising in duopoly markets? 0 0 0 9 0 1 4 80
How effective is advertising in duopoly markets? 0 0 0 285 0 0 0 1,048
Hurst analysis of electricity price dynamics 0 0 0 63 3 3 7 201
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 1 1 1 121 1 2 3 226
Impact of social interactions on demand curves for innovative products 0 0 0 69 0 0 1 101
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 0 3 168 1 3 8 319
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 1 1 54 0 2 3 114
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 4 224 0 0 15 494
Interval forecasting of spot electricity prices 0 0 0 31 0 0 2 120
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 1 31
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 1 1 4 1,458
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 0 1 9 545
Loss Distributions 0 1 5 181 2 3 13 531
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 4 21 64 76 11 34 108 134
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 1 4 135
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 2 140 0 1 5 235
Modeling and forecasting electricity loads: A comparison 0 0 0 1,265 3 4 5 2,858
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 1 2 2 153 1 2 7 331
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 0 5 206
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 0 1,032 0 0 1 1,887
Modeling electricity prices: jump diffusion and regime switching 0 0 0 221 0 0 2 607
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 0 1 5 690 0 1 12 1,268
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 1 3 363
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 0 1 56
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 1 3 5 250
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 1 6 206 1 3 13 475
Models for Heavy-tailed Asset Returns 0 0 1 40 0 2 6 200
Models for Heavy-tailed Asset Returns 0 0 0 201 0 0 3 454
Models for heavy-tailed asset returns 0 1 1 71 0 1 3 210
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 3 52 3 4 16 125
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 1 1 44 0 1 5 66
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 0 2 116 0 2 12 209
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 1 1 2 132 1 1 4 281
Origins of scaling in FX markets 0 0 0 35 0 1 1 154
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 2 3 127
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 25 0 0 2 107
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 1 2 56 0 2 8 204
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 2 242 0 1 7 687
Performance of the estimators of stable law parameters 0 0 0 31 1 1 5 135
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 0 9 25 25 5 31 61 61
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 3 12 0 1 18 25
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 13 0 0 2 129
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 0 2 157 2 4 14 304
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 8 281 1 2 19 600
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 0 183 0 0 5 359
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 1 5 512 0 3 17 1,079
Property insurance loss distributions 0 0 0 110 0 0 1 439
Recent advances in electricity price forecasting: A review of probabilistic forecasting 3 3 8 438 4 5 19 920
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 1 3 288
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 0 4 159 0 0 10 199
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 398 0 0 7 395
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 0 3 100
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 0 1 3 124
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 0 0 4 588
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 1 3 113
Selection of calibration windows for day-ahead electricity price forecasting 0 1 3 72 0 3 10 108
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 1 4 159 0 1 6 314
Short-term electricity price forecasting with time series models: A review and evaluation 1 4 17 505 2 7 38 1,306
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 0 59 0 0 3 146
Simulation of Risk Processes 0 0 0 97 0 1 1 299
Simulation of risk processes 0 0 0 27 0 0 0 140
Stable distributions 1 1 2 238 1 1 5 467
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 0 4 324 0 1 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 0 3 86
To combine or not to combine? Recent trends in electricity price forecasting 1 2 9 190 2 5 19 365
Trading on short-term path forecasts of intraday electricity prices 0 1 14 147 0 6 29 271
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 1 4 23 85 5 15 66 169
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 4 195 1 2 11 344
Variance stabilizing transformations for electricity spot price forecasting 1 1 7 196 1 1 17 742
Visualization tools for insurance risk processes 0 0 0 30 0 0 5 171
Total Working Papers 28 96 464 24,221 91 298 1,376 59,354

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 0 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 0 2 4 37 0 2 7 123
A semiparametric factor model for electricity forward curve dynamics 0 0 0 0 0 0 7 7
An empirical comparison of alternate regime-switching models for electricity spot prices 0 4 5 100 1 8 13 295
An empirical comparison of alternative schemes for combining electricity spot price forecasts 1 3 4 59 2 7 16 191
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 1 20 0 0 3 93
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 0 0 3 38
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 0 1 1 40
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 0 0 0 27
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 31 1 2 5 113
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 1 1 3 7 2 2 13 31
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 2 3 33 1 5 11 105
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 0 12 1 2 5 49
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 3 5 24
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 2 4 50 2 5 16 168
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 14 0 0 3 70
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 5 0 1 2 13
Distributional neural networks for electricity price forecasting 0 1 9 16 4 5 20 54
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 1 3 154
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 2 10 145 3 7 41 485
Energy price risk management 0 0 0 9 0 0 5 64
Estimating long-range dependence: finite sample properties and confidence intervals 0 2 2 44 0 4 13 160
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 3 16 2 6 22 72
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 1 3 58
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 201 1 4 12 555
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 0 0 3 104
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 0 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 0 17 2 3 5 53
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 2 2 3 146 4 5 13 481
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 2 8 292
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 0 2 40
Modeling electricity prices: jump diffusion and regime switching 0 1 3 48 0 1 9 139
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 1 96
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 1 2 8 15 1 7 28 66
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 0 4 12 278 2 12 30 576
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 3 32 0 5 14 124
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 0 18 0 0 5 57
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 2 18 0 0 7 59
Operational Research: methods and applications 0 0 1 1 1 3 5 7
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 0 5 202 0 1 9 565
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 0 2 18 2 3 10 69
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 1 1 2 2 1 1 8 8
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 1 17 2 4 9 61
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 2 4 51 1 6 17 169
Property insurance loss distributions 0 0 3 22 0 0 4 106
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 5 16 203 9 25 77 648
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 3 8 37 2 9 29 89
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 1 10 68 1 4 21 260
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 1 5 72 0 4 10 204
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 1 1 3 0 1 3 37
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 3 14 55 1 9 39 154
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 1 51 3 3 8 184
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 2 30 4 4 10 114
Total Journal Articles 8 47 161 2,567 56 178 633 8,280

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 0 4 454 5 5 38 1,632
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 11 17 55 1,313 13 29 105 3,064
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 1 2 128 1 3 8 452
Total Books 11 18 61 1,895 19 37 151 5,148

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 0 1 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 1 4 23
Total Chapters 0 0 1 9 0 2 6 34

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 1 5 21 955 2 6 38 2,093
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 0 10 1,076 0 1 23 2,673
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 1 2 6 200 1 2 12 563
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 1 1 164 2 3 8 609
COR: MATLAB function to compute the correlation coefficients 0 0 1 819 1 1 12 6,804
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 2 1,668 0 1 8 4,574
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 1 2 7 482 1 4 18 1,006
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 3 7 32 2,969 9 21 74 7,800
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 29 1 3 7 88
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 0 2 12 135 1 6 44 394
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 2 14 313 6 13 43 707
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 2 13 184 1 4 28 530
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 0 0 24 140 3 16 101 661
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 2 178 2 4 13 730
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 2 179 2 2 7 525
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 1 236 0 0 2 899
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 3 4 11 855 6 9 25 2,094
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 0 2 697
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 1 184 0 1 4 552
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 1 6 384
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 0 1 1,122
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 1 4 46 1,070 3 14 109 3,148
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 8 23 90 5,604 14 48 212 13,899
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 0 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 1 1 1 170 2 2 12 394
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 1 213 0 0 3 425
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 0 1 5 1,271 0 1 14 3,106
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 1 10 1,634 0 9 46 3,815
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 265 1 1 5 723
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 1,039 2 3 9 2,689
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 642 0 0 10 1,579
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 1 3 307 0 1 6 698
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 1 1 1 235 1 1 4 586
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 1 1 2 433 1 2 7 907
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 1 3 364 1 1 20 746
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 0 273 0 0 2 682
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 0 6 16 0 2 17 43
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 5 936 0 1 15 2,820
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 1 1 1 257 1 2 4 542
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 0 2 1,290 1 1 12 3,618
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 1 272 0 0 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 0 4 378
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 1 4 261 0 1 11 475
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 3 777 0 1 10 2,827
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 3 402 0 0 7 1,377
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 1 3 1,200
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 1 2 4 283
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 2 365 0 0 5 761
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 1 1 625 0 2 5 1,932
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 1 359 0 2 8 922
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 1 420 0 2 8 1,014
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 1 2 564 0 2 8 1,551
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 0 2 2 135 1 6 9 471
Total Software Items 24 68 369 33,968 67 206 1,096 93,731

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Statistics updated 2025-07-04