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 0 126
A note on averaging day-ahead electricity price forecasts across calibration windows 1 7 13 128 1 9 21 198
A note on using the Hodrick-Prescott filter in electricity markets 1 1 3 109 1 1 11 270
A review of electricity price forecasting: The past, the present and the future 0 0 2 239 0 0 8 321
A semiparametric factor model for electricity forward curve dynamics 0 0 0 68 0 0 1 173
A semiparametric factor model for electricity forward curve dynamics 1 1 3 107 1 1 4 248
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 16 0 0 3 125
A simple model of price formation 0 0 0 31 0 0 2 116
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 164 0 0 0 375
An empirical comparison of alternate schemes for combining electricity spot price forecasts 2 2 3 158 3 5 7 402
An introduction to simulation of risk processes 0 0 0 43 0 0 3 206
Analysis of ROBECO data by neural networks 0 0 0 8 0 0 2 77
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 1 2 156 0 2 7 307
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 14 1 4 7 35
Balancing RES generation: Profitability of an energy trader 0 0 3 68 1 1 7 119
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 3 69 0 1 6 103
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 0 2 246
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 68 0 1 2 173
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 42 0 0 1 126
Black swans or dragon kings? A simple test for deviations from the power law 1 1 1 113 1 1 3 385
Blackouts, risk, and fat-tailed distributions 0 0 1 199 0 0 2 592
Building Loss Models 0 0 1 319 0 0 10 1,427
Building Loss Models 0 0 0 25 1 1 1 168
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 33 33 0 4 39 39
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 1 73 0 1 2 138
Computationally intensive Value at Risk calculations 0 0 4 29 1 1 7 137
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 1 2 5 220 2 4 12 396
Convenience Yields for CO2 Emission Allowance Futures Contracts 0 1 4 328 0 1 8 1,001
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 2 5 73 1 7 16 184
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 3 106 0 1 8 382
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 1 4 82 0 2 15 283
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 1 28 0 2 12 98
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 2 52 0 0 5 69
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 1 5 218 0 1 11 413
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 0 54 0 0 3 162
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 0 0 1 152
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 2 183 0 0 4 430
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 1 10 0 0 1 75
Distributional neural networks for electricity price forecasting 3 4 21 21 5 7 21 21
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 2 5 367 0 4 12 819
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 1 172 0 1 2 336
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 51 0 1 4 79
Electricity Price Forecasting: The Dawn of Machine Learning 3 6 144 144 5 12 281 281
Electricity price forecasting 2 2 11 140 2 3 18 295
Electricity price forecasting 2 5 41 500 6 11 142 1,532
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 1 4 343 1 2 19 783
Energy forecasting: A review and outlook 0 3 11 293 0 5 31 763
Energy price risk management 0 0 2 58 0 0 3 215
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] 1 3 11 22 1 6 37 62
Estimating long range dependence: finite sample properties and confidence intervals 0 0 2 88 0 0 4 329
Evaluating the performance of VaR models in energy markets 1 1 1 150 2 2 3 229
Evolution in a changing environment 0 0 0 12 0 0 1 110
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 1 9 1,262 1 2 22 2,462
FX Smile in the Heston Model 0 0 0 99 0 0 2 299
FX Smile in the Heston Model 0 0 0 57 0 0 2 198
FX Smile in the Heston Model 0 0 0 33 0 0 5 178
FX Smile in the Heston Model 0 0 0 141 0 1 4 425
Forecasting Electricity Prices 2 2 26 26 4 5 37 37
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 2 37 0 1 5 71
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 0 114 0 0 3 179
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 1 175 0 0 1 353
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 2 227 0 3 13 562
Forecasting the occurrence of electricity price spikes in the UK power market 1 2 7 210 2 3 15 440
Forecasting wholesale electricity prices: A review of time series models 0 0 0 126 0 1 1 299
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 2 4 136 0 3 12 255
Goodness-of-fit testing for regime-switching models 0 0 1 140 0 0 3 233
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 53 0 0 0 154
Habitat momentum 0 0 0 7 0 0 2 64
Heavy tails and electricity prices 1 1 2 27 2 2 6 149
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 0 0 1 505
Heavy-tailed distributions in VaR calculations 1 2 10 306 1 5 30 858
Heavy-tails and regime-switching in electricity prices 0 0 0 78 0 0 0 164
How effective is advertising in duopoly markets? 0 0 0 9 0 0 0 76
How effective is advertising in duopoly markets? 0 0 1 285 0 0 1 1,048
Hurst analysis of electricity price dynamics 0 2 2 60 0 2 4 187
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 120 0 0 2 221
Impact of social interactions on demand curves for innovative products 0 0 0 69 0 1 2 97
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 1 8 161 0 1 15 302
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 2 4 47 0 3 19 102
Improving short term load forecast accuracy via combining sister forecasts 0 1 3 231 0 1 8 433
Inference for Markov-regime switching models of electricity spot prices 0 0 2 216 0 1 8 468
Interval forecasting of spot electricity prices 0 0 0 31 0 0 1 111
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 0 30
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 618 0 1 3 1,448
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 1 105 0 1 7 526
Loss Distributions 0 0 1 167 0 1 11 481
Market price of risk implied by Asian-style electricity options 0 0 0 629 0 0 0 1,421
Measuring long-range dependence in electricity prices 0 0 2 48 0 0 2 129
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 1 1 3 135 1 1 8 226
Modeling and forecasting electricity loads: A comparison 0 1 2 1,264 1 2 6 2,852
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 2 2 148 0 2 5 311
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 0 1 182
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 76 0 0 1 195
Modeling electricity loads in California: ARMA models with hyperbolic noise 2 2 2 53 2 3 7 192
Modeling electricity prices with regime switching models 0 0 1 1,027 1 1 4 1,877
Modeling electricity prices: jump diffusion and regime switching 0 0 5 217 0 1 13 595
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 0 1 199
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 1 3 675 0 2 8 1,241
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 0 2 360
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 0 0 52
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 44 0 0 0 236
Modelling price spikes in electricity markets - the impact of load, weather and capacity 3 3 9 195 5 9 28 446
Models for Heavy-tailed Asset Returns 0 0 1 39 0 1 8 193
Models for Heavy-tailed Asset Returns 0 2 2 200 1 6 35 424
Models for Heavy-tailed Asset Returns 0 1 2 70 0 1 5 205
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 10 46 1 3 26 86
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 3 41 0 0 5 54
On detecting and modeling periodic correlation in financial data 0 0 1 274 0 1 4 627
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 2 113 0 0 3 195
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 1 3 122 0 1 13 265
Origins of scaling in FX markets 0 0 0 35 1 1 1 153
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 0 0 124
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 54 0 0 1 195
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 23 0 0 9 103
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 2 5 235 0 2 9 666
Performance of the estimators of stable law parameters 0 0 0 28 1 2 4 125
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 1 3 196 0 1 5 645
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 12 0 1 1 125
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 0 0 1 133
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 0 0 243
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 2 6 146 2 4 16 271
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 3 4 9 260 3 6 17 550
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 2 6 181 0 2 10 350
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 1 3 9 498 3 10 26 1,044
Property insurance loss distributions 0 0 0 109 0 0 0 433
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 1 12 420 0 3 30 878
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 0 0 284
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 3 12 137 1 7 33 155
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 1 396 0 1 7 385
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 0 0 96
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 1 266 0 0 6 583
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 0 0 1 119
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 0 1 109
Selection of calibration windows for day-ahead electricity price forecasting 0 0 2 65 0 1 4 87
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 1 1 4 146 1 1 12 291
Short-term electricity price forecasting with time series models: A review and evaluation 2 8 40 447 6 18 100 1,173
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 1 1 15 53 1 2 32 131
Simulation of Risk Processes 0 0 0 97 0 0 1 294
Simulation of risk processes 0 0 1 27 0 0 2 135
Stable Distributions 1 1 7 235 1 4 19 450
Structure and stylized facts of a deregulated power market 0 0 0 109 1 1 3 375
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 0 6 319 2 3 50 1,359
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 0 1 2 83
To combine or not to combine? Recent trends in electricity price forecasting 4 4 7 176 4 4 17 333
Trading on short-term path forecasts of intraday electricity prices 5 8 44 89 12 20 72 175
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 1 1 213
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 1 44 0 0 2 171
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 22 173 2 4 40 301
Variance stabilizing transformations for electricity spot price forecasting 3 7 17 183 5 19 68 681
Visualization tools for insurance risk processes 0 0 0 30 0 3 11 164
Total Working Papers 54 126 734 23,109 104 299 1,876 56,340

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 1 13
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 0 1 38
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 0 1 32 1 1 4 114
An empirical comparison of alternate regime-switching models for electricity spot prices 0 0 3 83 0 0 5 264
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 1 2 44 1 2 6 151
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 17 0 1 1 85
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 5 1 3 4 34
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 4 0 0 0 36
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 1 8 0 1 2 24
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 1 5 28 0 1 11 102
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 1 4 4 29 1 4 9 89
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 1 2 11 0 1 2 40
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 0 0 19
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 7 38 1 6 21 126
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 11 0 0 2 65
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 3 0 0 0 10
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 1 2 46
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 60 0 1 3 145
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 7 20 106 6 18 65 359
Energy price risk management 0 0 0 8 0 1 4 56
Estimating long-range dependence: finite sample properties and confidence intervals 1 1 5 35 2 7 21 121
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 5 10 1 2 23 43
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 1 2 55
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 1 6 191 0 2 11 524
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 29 0 0 0 98
Heavy-tails and regime-switching in electricity prices 0 0 0 11 0 0 1 63
How effective is advertising in duopoly markets? 0 0 0 3 0 0 2 46
Hurst analysis of electricity price dynamics 0 0 0 14 0 1 2 44
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 6 132 2 3 15 437
Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO 0 0 1 5 0 0 4 14
Improving short term load forecast accuracy via combining sister forecasts 0 0 2 19 0 0 5 77
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 1 6
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 0 0 1 25
Market price of risk implied by Asian-style electricity options and futures 1 1 1 102 1 1 1 277
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 0 0 38
Modeling electricity prices: jump diffusion and regime switching 1 1 6 39 1 1 13 116
Modelling catastrophe claims with left-truncated severity distributions 1 1 2 33 1 1 3 91
On detecting and modeling periodic correlation in financial data 0 0 1 12 0 0 1 54
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 4 12 251 1 4 20 517
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 3 28 0 2 8 103
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 3 3 14 0 4 9 39
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 1 1 11 0 2 4 44
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 0 32
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 2 193 0 3 8 544
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 1 1 4 4 3 5 14 14
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 6 10 3 3 16 40
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 5 42 1 3 10 131
Property insurance loss distributions 0 0 0 17 0 1 6 93
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 5 29 153 5 17 76 467
Regularized quantile regression averaging for probabilistic electricity price forecasting 1 2 4 11 2 4 10 36
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 1 51 0 0 5 220
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 1 2 65 0 2 5 189
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 0 16
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 2 0 0 1 33
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 0 1 40
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 2 44 0 0 4 160
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 8 22 0 0 23 87
Total Journal Articles 11 38 164 2,093 34 110 469 6,773

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) 2 10 46 437 4 18 99 1,548
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 9 12 57 1,148 16 28 128 2,740
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 1 2 120 1 4 8 430
Total Books 11 23 105 1,705 21 50 235 4,718

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 0 0 4
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 1 3 3
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 0 6 0 0 0 12
Total Chapters 0 0 0 6 0 1 3 19

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 5 11 46 890 14 31 112 1,961
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 3 10 1,051 1 9 28 2,619
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 1 4 8 188 1 5 15 534
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 1 3 157 0 1 7 587
COR: MATLAB function to compute the correlation coefficients 1 1 5 803 5 9 42 6,579
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 5 25 1,649 7 19 92 4,517
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 1 3 13 461 5 12 38 957
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 8 21 96 2,848 25 69 270 7,460
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 13 23 1 7 29 64
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 8 55 74 10 39 146 199
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 2 8 36 267 5 25 79 589
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 6 12 152 4 19 41 446
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 4 8 44 82 21 46 203 380
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 2 171 1 2 13 703
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 3 3 7 165 4 4 26 482
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 1 3 233 1 3 20 884
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 3 3 25 818 4 7 40 2,016
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 3 314 0 1 4 689
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 144 0 0 0 404
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 2 5 180 1 4 8 540
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 1 1 100 0 1 5 374
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 1 8 369 3 8 28 1,077
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 12 22 110 958 26 63 335 2,838
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 20 44 189 5,250 52 125 502 13,019
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 1 216 1 1 3 481
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 3 168 0 0 5 376
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 6 207 2 2 12 407
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 1 1 3 237 1 2 8 519
MFE Toolbox ver. 1.0.1 for MATLAB 2 7 30 1,245 5 13 78 3,027
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 3 7 31 1,591 10 19 80 3,665
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 1 3 260 1 2 7 710
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 1 3 8 1,029 2 4 22 2,654
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 1 1 10 638 2 4 19 1,545
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 1 1 9 301 2 3 17 682
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 1 2 10 229 2 3 14 570
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 1 1 12 411 3 8 31 830
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 1 9 348 2 2 14 706
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 1 3 10 267 2 5 16 666
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 1 2 3 208 1 4 11 536
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 2 3 15 918 4 8 39 2,766
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 1 1 5 248 2 2 11 525
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 1 2 9 177 2 4 13 452
REMST: MATLAB function to remove trend and seasonal component using the moving average method 1 2 6 1,282 3 8 38 3,581
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 9 262 0 4 24 1,023
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 0 12 170 2 3 23 360
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 1 2 17 251 2 3 32 443
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 1 6 28 763 7 27 147 2,752
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 1 7 396 2 5 34 1,352
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 1 509 0 2 6 1,195
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 3 3 12 136 3 4 16 258
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 1 48 358 0 5 70 731
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 1 10 620 0 2 22 1,917
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 39 345 1 3 84 890
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 1 3 15 404 4 8 31 975
STABLERND: MATLAB function to generate random numbers from the stable distribution 1 2 29 549 4 8 68 1,504
STF2HES: MATLAB functions for "FX smile in the Heston model" 1 2 4 237 1 2 8 653
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 3 129 1 1 6 464
The World According to Spinson (WAS): Standalone application for simulating agent-based models 1 1 8 130 1 1 24 446
Total Software Items 89 217 1,144 32,586 266 681 3,116 89,579

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