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 1 3 8 160 3 5 15 252
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 114 0 1 11 291
A review of electricity price forecasting: The past, the present and the future 0 1 2 245 1 4 7 338
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 0 1 255
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 1 2 4 181
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 1 18 0 2 4 135
A simple model of price formation 0 0 0 33 2 5 8 128
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 3 5 8 386
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 2 2 50 0 3 4 215
Analysis of ROBECO data by neural networks 0 0 0 8 1 1 3 83
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 1 161 3 7 10 330
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 1 1 18 2 4 8 48
Balancing RES generation: Profitability of an energy trader 0 0 0 73 0 2 8 148
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 4 4 80 3 12 18 134
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 2 3 251
Black swans or dragon kings? A simple test for deviations from the power law 0 1 1 115 3 6 10 404
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 1 2 4 180
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 2 6 133
Blackouts, risk, and fat-tailed distributions 0 0 0 200 0 0 3 596
Building Loss Models 0 0 0 25 1 1 4 173
Building Loss Models 0 0 0 319 1 2 5 1,432
Building loss models 0 0 0 7 2 5 6 52
Calibration window selection based on change-point detection for forecasting electricity prices 0 1 2 37 1 2 4 52
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 2 3 5 148
Computationally intensive Value at Risk calculations 0 0 0 29 1 1 1 141
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 2 3 226 2 9 14 422
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 75 2 3 5 195
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 1 2 5 1,017
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 1 107 1 2 6 394
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 3 90 4 6 25 328
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 1 3 19 19 6 9 50 50
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 2 2 4 36 4 7 15 127
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 3 57 3 7 10 87
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 2 3 10 241 6 13 28 472
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 1 55 1 3 7 173
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 3 3 6 159
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 2 3 11 447
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 0 2 77
Distributional neural networks for electricity price forecasting 0 2 4 36 1 4 10 63
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 371 1 3 7 850
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 0 175 2 5 6 351
Efficient forecasting of electricity spot prices with expert and LASSO models 1 1 2 53 6 9 13 96
Electricity Price Forecasting: The Dawn of Machine Learning 0 1 4 172 0 2 12 343
Electricity price forecasting 0 1 15 539 1 2 26 1,638
Electricity price forecasting 0 0 5 155 1 4 14 336
Electricity price forecasting: A review of the state-of-the-art with a look into the future 4 7 17 378 11 28 60 900
Energy forecasting: A review and outlook 0 0 2 300 0 9 15 801
Energy price risk management 0 0 0 60 2 3 5 228
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 52 3 4 25 128
Estimating long range dependence: finite sample properties and confidence intervals 0 0 1 91 1 3 6 343
Evaluating the performance of VaR models in energy markets 0 0 1 151 2 2 4 234
Evolution in a changing environment 0 0 0 13 2 2 6 118
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 1 6 36 87 1 10 64 137
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 2 1,272 0 1 8 2,496
FX Smile in the Heston Model 0 0 0 57 1 1 2 205
FX Smile in the Heston Model 0 0 0 34 2 3 6 194
FX Smile in the Heston Model 0 0 0 143 1 3 4 452
FX smile in the Heston model 0 0 1 100 2 3 7 308
Forecasting Electricity Prices 2 5 12 54 5 10 35 120
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 2 39 1 3 8 80
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 1 1 116 0 1 4 186
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 2 3 6 366
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 1 2 231 4 7 9 580
Forecasting the occurrence of electricity price spikes in the UK power market 0 1 4 224 1 2 9 468
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 1 1 4 304
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 1 1 11 280
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 0 4 245
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 0 0 3 159
Habitat momentum 0 0 0 7 0 0 1 65
Heavy tails and electricity prices 0 0 2 33 2 3 8 171
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 1 2 3 509
Heavy-tailed distributions in VaR calculations 0 0 2 322 3 11 15 906
Heavy-tails and regime-switching in electricity prices 0 0 1 79 5 7 14 183
How effective is advertising in duopoly markets? 0 0 0 285 1 1 1 1,049
How effective is advertising in duopoly markets? 0 0 0 9 1 1 3 81
Hurst analysis of electricity price dynamics 0 0 0 63 1 1 9 203
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 121 3 6 10 233
Impact of social interactions on demand curves for innovative products 0 1 1 70 1 3 5 105
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 1 3 5 171 4 7 15 327
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 1 2 55 2 5 8 120
Improving short term load forecast accuracy via combining sister forecasts 0 1 1 235 3 4 6 445
Inference for Markov-regime switching models of electricity spot prices 1 1 1 225 5 6 11 500
Interval forecasting of spot electricity prices 0 0 0 31 0 2 5 123
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 0 106 0 0 6 548
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 0 0 3 1,460
Loss Distributions 0 0 1 181 2 3 10 535
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 2 6 53 87 2 10 80 150
Market price of risk implied by Asian-style electricity options 0 0 0 629 0 1 1 1,425
Measuring long-range dependence in electricity prices 0 0 0 50 0 0 3 135
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 1 3 142 2 5 13 244
Modeling and forecasting electricity loads: A comparison 0 0 0 1,265 2 2 7 2,860
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 1 3 154 1 3 7 334
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 1 2 184
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 2 80 0 0 5 207
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 2 3 197
Modeling electricity prices with regime switching models 0 1 1 1,033 0 2 2 1,889
Modeling electricity prices: jump diffusion and regime switching 1 1 1 222 4 4 5 611
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 2 2 2 201
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 4 690 0 2 10 1,272
Modeling the risk process in the XploRe computing environment 0 0 0 131 1 1 4 364
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 2 3 6 253
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 3 5 209 5 11 16 486
Models for Heavy-tailed Asset Returns 1 1 1 41 5 7 12 207
Models for Heavy-tailed Asset Returns 1 1 1 202 3 5 7 460
Models for heavy-tailed asset returns 0 0 1 71 2 3 5 213
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 1 52 8 9 22 139
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 44 3 6 8 73
On detecting and modeling periodic correlation in financial data 0 0 0 280 0 1 2 635
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 2 117 1 2 10 212
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 1 2 133 2 4 7 285
Origins of scaling in FX markets 0 0 0 35 1 4 5 158
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 1 4 128
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 56 0 0 6 204
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 25 0 0 2 107
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 1 242 1 1 6 688
Performance of the estimators of stable law parameters 0 0 0 31 0 2 4 137
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 0 3 3 651
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 1 4 37 37 4 10 87 87
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 2 4 14 1 3 13 29
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 1 2 136
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 2 2 3 249
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 2 158 1 2 12 307
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 5 282 1 3 15 605
Probabilistic intraday electricity price forecasting using generative machine learning 0 18 18 18 6 11 11 11
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 1 2 2 185 2 5 9 365
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 3 6 515 3 11 21 1,090
Property insurance loss distributions 0 0 0 110 0 0 2 440
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 0 4 438 0 1 12 923
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 0 2 288
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 1 2 161 2 7 15 210
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 0 398 4 6 10 401
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 2 2 4 102
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 2 2 4 126
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 0 1 4 589
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 1 5 115
Selection of calibration windows for day-ahead electricity price forecasting 0 1 2 73 3 4 12 114
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 1 3 160 2 6 10 321
Short-term electricity price forecasting with time series models: A review and evaluation 2 3 13 509 4 7 32 1,318
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 1 60 1 7 13 156
Simulation of Risk Processes 0 1 1 98 1 3 4 302
Simulation of risk processes 0 0 0 27 1 3 4 144
Stable distributions 0 0 1 238 1 1 5 469
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 4 5 5 2 3 4 4
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 9 9 9 1 8 8 8
Structure and stylized facts of a deregulated power market 1 2 2 111 2 3 3 378
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 1 3 325 1 2 12 1,388
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 0 1 3 87
To combine or not to combine? Recent trends in electricity price forecasting 0 0 4 190 1 3 15 368
Trading on short-term path forecasts of intraday electricity prices 1 5 12 152 6 18 40 295
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 1 9 25 96 4 13 56 189
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 1 1 2 216
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 1 2 2 48 2 3 5 181
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 4 196 1 2 9 346
Variance stabilizing transformations for electricity spot price forecasting 1 2 9 201 4 12 27 757
Visualization tools for insurance risk processes 0 0 0 30 0 0 3 172
Total Working Papers 31 146 459 24,416 272 602 1,648 60,157

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 2 2 18
A conditionally exponential decay approach to scaling in finance 0 0 0 6 1 1 3 43
A new model of mass extinctions 0 0 0 2 0 1 1 24
A note on using the Hodrick–Prescott filter in electricity markets 0 0 4 37 6 6 11 129
A semiparametric factor model for electricity forward curve dynamics 0 0 0 0 1 2 9 9
An empirical comparison of alternate regime-switching models for electricity spot prices 2 2 8 104 3 4 20 305
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 0 3 59 3 4 18 197
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 20 2 3 3 96
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 2 3 6 42
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 3 5 8 47
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 2 2 5 32
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 0 31 1 3 6 116
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 3 8 1 4 10 36
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 1 3 34 3 10 17 115
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 1 13 1 1 5 51
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 1 1 5 25
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 4 51 8 11 21 180
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 14 3 8 10 79
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 5 0 0 2 13
Distributional neural networks for electricity price forecasting 0 0 6 17 3 3 18 59
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 2 3 4 52
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 64 2 4 5 158
Electricity price forecasting: A review of the state-of-the-art with a look into the future 2 9 16 156 16 44 74 537
Energy price risk management 0 0 0 9 0 1 5 66
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 3 45 3 6 13 168
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 1 5 6 6
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 1 4 17 4 8 22 80
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 1 3 4 61
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 1 1 1 202 5 6 14 563
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 2 105
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 0 3 68
How effective is advertising in duopoly markets? 0 0 1 4 0 1 2 50
Hurst analysis of electricity price dynamics 0 0 0 17 1 1 6 55
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 2 146 2 3 9 484
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 17
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 0 0 2 88
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 1 1 2 9
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 1 1 1 28
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 2 2 2 2 5 5 5
Market price of risk implied by Asian-style electricity options and futures 0 0 1 109 2 2 7 295
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 2 2 3 42
Modeling electricity prices: jump diffusion and regime switching 1 2 4 50 4 6 12 147
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 0 96
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 3 10 20 4 13 33 84
On detecting and modeling periodic correlation in financial data 0 0 0 12 1 1 1 56
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 1 10 279 2 16 42 596
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 2 2 7 36 4 6 20 133
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 1 19 1 3 8 62
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 0 18 0 3 7 64
Operational Research: methods and applications 0 0 1 1 2 2 7 9
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 0 34
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 1 3 203 1 3 6 568
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 1 1 2 20 3 4 10 75
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 3 3 2 5 13 13
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 1 2 18 3 5 15 69
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 4 53 3 5 16 178
Property insurance loss distributions 0 0 3 22 1 1 5 108
Recent advances in electricity price forecasting: A review of probabilistic forecasting 4 8 19 214 17 35 89 693
Regularized quantile regression averaging for probabilistic electricity price forecasting 3 5 13 44 17 23 49 121
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 5 68 0 1 17 263
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 2 72 1 2 8 206
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 1 2 2 19
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 1 3 0 0 2 37
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 1 2 3 45
Trading on short-term path forecasts of intraday electricity prices 0 4 12 60 2 24 51 183
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 2 3 54 4 6 17 194
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 3 31 4 6 15 123
Total Journal Articles 17 49 172 2,640 167 344 818 8,729

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) 1 3 4 457 3 10 26 1,644
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 2 13 51 1,330 16 39 114 3,119
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 1 3 129 2 3 9 456
Total Books 3 17 58 1,916 21 52 149 5,219

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 4 8
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 1 2 2 11 2 4 5 27
Total Chapters 1 2 2 11 3 6 9 40

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 4 18 961 8 12 35 2,108
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 1 2 7 1,079 3 5 15 2,681
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 4 201 2 3 12 568
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 164 1 3 11 615
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 2 3 7 6,808
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 1 2 1,669 0 2 6 4,576
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 1 1 5 484 2 3 13 1,012
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 1 2 17 2,972 4 15 65 7,826
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 0 2 29 3 4 15 96
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 3 10 139 3 8 30 408
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 4 4 15 319 6 10 49 731
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 2 4 14 191 5 9 24 543
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 0 3 18 147 6 17 89 699
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 178 1 5 15 738
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 1 2 180 0 3 9 530
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 1 3 4 902
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 1 9 856 5 16 34 2,113
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 3 5 700
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 1 1 185 0 3 6 556
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 1 104 0 2 7 386
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 0 1 1,123
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 5 20 1,076 3 13 56 3,165
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 2 5 55 5,615 9 23 142 13,940
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 2 492
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 1 170 0 3 8 397
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 1 214 1 1 2 427
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 1 2 2 243 3 4 4 532
MFE Toolbox ver. 1.0.1 for MATLAB 0 2 5 1,273 2 6 15 3,115
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 2 10 1,638 1 24 60 3,847
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 0 265 0 1 3 725
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 1 2 3 1,041 2 4 10 2,693
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 642 4 5 7 1,584
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 2 307 2 2 5 700
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 235 0 1 3 587
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 3 3 5 436 3 4 9 911
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 4 6 368 5 9 25 755
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 0 273 1 2 3 685
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 1 3 8 21 3 8 23 56
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 1 1 2 546
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 3 938 1 3 9 2,826
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 1 257 2 4 7 546
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 1 181 0 1 2 462
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,290 2 4 11 3,624
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 1 272 0 3 4 1,044
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 2 379
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 1 5 263 2 5 10 481
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 777 1 5 10 2,833
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 402 1 6 10 1,384
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 2 5 1,204
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 1 4 285
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 1 2 366 1 2 5 763
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 1 625 2 4 8 1,938
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 1 359 0 0 6 922
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 3 4 4 424 4 7 9 1,021
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 1 4 566 2 11 19 1,564
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 0 1 663
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 3 4 485
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 2 135 1 1 8 472
Total Software Items 25 62 275 34,062 113 303 966 94,179

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Statistics updated 2025-12-06