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 4 5 8 140
A note on averaging day-ahead electricity price forecasts across calibration windows 1 1 8 162 3 7 27 268
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 114 2 2 16 301
A review of electricity price forecasting: The past, the present and the future 1 1 3 246 4 8 17 350
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 3 4 6 261
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 3 5 21 198
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 3 3 7 139
A simple model of price formation 0 0 0 33 5 6 15 137
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 0 3 14 394
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 3 4 12 420
An introduction to simulation of risk processes 0 0 2 50 3 5 11 223
Analysis of ROBECO data by neural networks 0 0 0 8 2 4 7 88
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 1 161 2 8 26 347
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 2 19 0 4 13 57
Balancing RES generation: Profitability of an energy trader 0 0 0 73 4 9 13 158
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 4 80 7 7 33 149
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 1 1 7 256
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 115 2 2 16 411
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 1 2 9 186
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 5 13 142
Blackouts, risk, and fat-tailed distributions 0 0 0 200 0 3 8 602
Building Loss Models 0 0 0 25 2 2 9 180
Building Loss Models 0 0 0 319 1 1 10 1,439
Building loss models 0 0 0 7 1 1 11 57
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 2 37 3 3 12 61
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 3 9 15 159
Computationally intensive Value at Risk calculations 0 0 0 29 3 7 16 156
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 3 226 1 3 20 430
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 1 1 76 5 10 27 218
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 3 5 1,020
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 0 107 2 3 9 401
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 1 4 92 4 11 40 349
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 0 5 19 5 8 29 65
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 3 37 3 10 27 146
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 2 5 59 2 6 20 97
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 2 2 11 246 10 14 49 500
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 1 56 2 5 12 181
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 1 2 21 176
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 5 11 24 466
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 1 4 11 88
Distributional neural networks for electricity price forecasting 0 1 5 38 3 7 22 77
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 372 2 5 20 867
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 1 1 176 3 5 20 365
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 53 2 4 19 106
Electricity Price Forecasting: The Dawn of Machine Learning 0 2 7 178 5 9 21 360
Electricity price forecasting 1 2 12 544 9 19 48 1,672
Electricity price forecasting 0 0 4 157 3 6 21 349
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 6 25 390 12 38 107 960
Energy forecasting: A review and outlook 0 0 0 300 2 2 23 812
Energy price risk management 0 0 0 60 4 7 14 239
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 1 4 54 5 7 26 142
Estimating long range dependence: finite sample properties and confidence intervals 0 0 1 91 5 7 16 355
Evaluating the performance of VaR models in energy markets 0 0 0 151 1 7 15 247
Evolution in a changing environment 0 0 0 13 1 3 11 126
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 1 1 19 92 5 7 46 157
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 1 1 1,273 3 8 20 2,514
FX Smile in the Heston Model 1 1 1 58 4 7 11 215
FX Smile in the Heston Model 1 1 2 145 5 10 19 467
FX Smile in the Heston Model 0 0 0 34 4 7 16 205
FX smile in the Heston model 0 0 0 100 2 4 12 316
Forecasting Electricity Prices 1 4 14 60 9 24 115 214
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 2 4 42 5 11 22 96
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 116 6 6 15 200
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 7 10 18 380
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 2 231 4 7 27 599
Forecasting the occurrence of electricity price spikes in the UK power market 0 0 6 227 1 1 15 478
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 2 4 15 318
From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS 16 41 41 41 11 42 42 42
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 7 8 16 293
Goodness-of-fit testing for regime-switching models 0 0 0 140 2 4 10 251
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 3 4 11 169
Habitat momentum 0 0 0 7 1 4 10 75
Heavy tails and electricity prices 0 1 1 34 3 7 14 181
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 5 9 19 526
Heavy-tailed distributions in VaR calculations 0 0 0 322 2 5 22 917
Heavy-tails and regime-switching in electricity prices 0 0 1 79 1 4 18 191
How effective is advertising in duopoly markets? 0 0 0 9 2 3 7 86
How effective is advertising in duopoly markets? 0 0 0 285 3 5 15 1,063
Hurst analysis of electricity price dynamics 0 0 0 63 3 4 14 212
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 121 2 3 16 240
Impact of social interactions on demand curves for innovative products 0 0 1 70 3 4 12 113
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 0 4 172 4 6 21 339
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 0 2 56 3 5 19 133
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 235 4 5 16 457
Inference for Markov-regime switching models of electricity spot prices 0 0 1 225 9 11 23 517
Interval forecasting of spot electricity prices 0 0 0 31 1 3 11 131
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 3 5 8 39
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 0 2 11 1,468
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 2 8 16 561
Loss Distributions 0 0 0 181 2 5 16 545
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 1 2 27 90 4 17 65 174
Market price of risk implied by Asian-style electricity options 0 1 1 630 5 10 21 1,445
Measuring long-range dependence in electricity prices 0 0 0 50 1 1 6 140
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 2 142 3 6 18 253
Modeling and forecasting electricity loads: A comparison 0 0 1 1,266 2 4 15 2,869
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 4 155 4 5 20 349
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 5 8 9 192
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 4 5 11 217
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 5 5 10 205
Modeling electricity prices with regime switching models 0 1 3 1,035 2 9 20 1,907
Modeling electricity prices: jump diffusion and regime switching 0 0 1 222 3 4 15 622
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 2 3 11 210
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 0 690 0 4 13 1,281
Modeling the risk process in the XploRe computing environment 0 0 0 131 2 3 9 371
Modeling the risk process in the XploRe computing environment 0 0 0 2 4 4 8 64
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 3 4 11 260
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 4 9 215 4 10 26 500
Models for Heavy-tailed Asset Returns 0 0 1 202 4 7 19 473
Models for Heavy-tailed Asset Returns 0 0 1 41 4 8 22 222
Models for heavy-tailed asset returns 1 2 3 73 3 6 16 225
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 1 2 54 9 23 45 167
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 44 8 12 26 91
On detecting and modeling periodic correlation in financial data 0 0 0 280 2 4 9 642
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 1 117 0 0 11 219
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 2 133 5 7 20 300
Origins of scaling in FX markets 0 0 0 35 1 2 10 164
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 3 4 10 135
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 56 2 3 10 213
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 0 1 2 109
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 3 8 21 707
Performance of the estimators of stable law parameters 0 0 1 32 1 1 6 140
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 5 6 14 662
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 0 0 19 39 4 12 73 113
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 5 16 4 5 13 37
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 1 1 14 2 3 3 132
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 2 3 6 141
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 5 6 14 261
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 2 2 3 160 4 9 35 336
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 2 283 10 13 26 625
Probabilistic intraday electricity price forecasting using generative machine learning 0 1 21 21 1 5 18 18
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 2 185 1 7 19 378
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 1 7 519 6 13 40 1,118
Property insurance loss distributions 0 0 1 111 4 5 10 449
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 0 4 439 6 9 25 941
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 2 2 120 2 9 14 302
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 0 4 163 6 9 53 252
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 1 3 401 1 12 37 432
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 4 8 18 118
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 1 3 10 134
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 2 4 13 601
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 6 8 13 125
Selection of calibration windows for day-ahead electricity price forecasting 0 0 3 74 2 7 20 126
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 1 160 4 4 13 327
Short-term electricity price forecasting with time series models: A review and evaluation 0 1 11 515 3 12 38 1,340
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 1 60 4 6 22 168
Simulation of Risk Processes 0 0 1 98 2 6 16 315
Simulation of risk processes 0 0 0 27 0 0 10 150
Stable distributions 0 0 1 238 1 1 19 485
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 0 5 5 2 3 15 15
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 4 14 14 3 9 20 20
Structure and stylized facts of a deregulated power market 0 0 2 111 3 6 14 389
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 1 2 3 327 7 11 26 1,410
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 1 1 1 33 3 8 13 99
To combine or not to combine? Recent trends in electricity price forecasting 0 1 3 191 7 8 20 381
Trading on short-term path forecasts of intraday electricity prices 1 1 7 154 10 15 53 321
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 1 4 21 104 2 7 50 207
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 1 1 1 98 4 6 10 225
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 2 48 4 4 10 188
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 2 196 4 7 17 360
Variance stabilizing transformations for electricity spot price forecasting 1 3 10 205 9 18 45 786
Visualization tools for insurance risk processes 0 0 0 30 1 4 10 181
Total Working Papers 39 111 446 24,602 546 1,077 3,177 62,335

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 2 3 10 26
A conditionally exponential decay approach to scaling in finance 0 0 0 6 1 1 6 47
A new model of mass extinctions 0 0 0 2 5 5 9 32
A note on using the Hodrick–Prescott filter in electricity markets 0 0 1 37 4 5 17 139
A semiparametric factor model for electricity forward curve dynamics 0 0 1 1 4 6 15 22
An empirical comparison of alternate regime-switching models for electricity spot prices 0 1 8 106 8 15 36 327
An empirical comparison of alternative schemes for combining electricity spot price forecasts 1 2 4 61 1 5 26 212
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 20 2 12 27 120
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 7 8 16 54
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 3 4 16 56
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 5 9 19 46
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 1 1 1 32 4 6 16 127
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 2 8 2 4 16 45
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 1 4 35 4 5 27 128
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 1 3 15 1 6 18 65
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 3 3 7 30
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 2 2 3 53 5 10 36 201
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 0 14 3 7 22 92
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 5 0 1 8 20
Distributional neural networks for electricity price forecasting 0 1 2 18 4 14 37 87
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 1 2 9 57
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 65 0 2 16 169
Electricity price forecasting: A review of the state-of-the-art with a look into the future 6 13 28 171 23 61 161 640
Energy price risk management 0 0 0 9 0 1 10 74
Estimating long-range dependence: finite sample properties and confidence intervals 1 1 6 48 4 4 20 177
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 5 8 25 25
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 4 19 10 22 56 122
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 4 5 14 71
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 202 4 8 25 576
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 4 5 9 113
Heavy-tails and regime-switching in electricity prices 0 0 0 12 1 6 10 76
How effective is advertising in duopoly markets? 0 0 0 4 1 1 21 70
Hurst analysis of electricity price dynamics 0 0 0 17 0 0 8 58
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 2 146 7 11 25 501
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 3 5 7 23
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 1 2 9 96
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 4 11
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 1 1 3 3 5 8 35
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 0 2 2 9 12 25 25
Market price of risk implied by Asian-style electricity options and futures 0 0 1 109 2 2 16 306
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 1 4 44
Modeling electricity prices: jump diffusion and regime switching 0 1 4 52 2 5 22 161
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 1 5 9 105
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 6 20 4 9 50 113
On detecting and modeling periodic correlation in financial data 0 0 0 12 1 2 8 63
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 1 3 281 6 10 48 617
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 4 36 1 2 23 144
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 14 71
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 1 1 1 19 4 8 22 81
Operational Research: methods and applications 0 0 0 1 3 8 15 20
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 2 3 37
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 1 203 4 9 20 584
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 2 4 22 9 12 35 101
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 2 3 4 10 26 33
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 1 18 9 14 35 92
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 2 4 8 59 4 11 64 229
Property insurance loss distributions 0 0 1 23 0 1 9 115
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 1 17 218 7 19 108 737
Regularized quantile regression averaging for probabilistic electricity price forecasting 1 1 15 49 5 16 81 162
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 70 5 6 22 280
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 1 72 6 7 20 221
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 12 29
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 2 4 3 3 6 42
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 1 2 10 53
Trading on short-term path forecasts of intraday electricity prices 0 2 11 63 4 12 70 216
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 1 1 4 55 3 5 23 204
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 3 32 8 19 34 144
Total Journal Articles 19 40 166 2,705 245 492 1,655 9,799

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku) 0 1 6 460 1 9 39 1,666
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 5 28 69 1,366 18 59 240 3,279
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 1 129 2 4 15 465
Statistical Tools for Finance and Insurance 0 0 0 0 4 5 11 11
Total Books 5 29 76 1,955 25 77 305 5,421

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 2 7 13
Building loss models 0 0 0 0 1 4 7 7
FX smile in the Heston model 0 0 0 0 3 3 3 3
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 0 1 6
Heston's Model and the Smile 0 0 0 0 1 1 3 3
Loss Distributions 0 0 0 0 2 3 10 10
Modeling of the Risk Process 0 0 0 0 1 1 2 2
Models for heavy-tailed asset returns 0 0 0 0 0 0 1 1
Stable Distributions 0 0 0 0 2 3 3 3
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 2 11 4 4 13 35
Total Chapters 0 0 2 11 14 21 50 83

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 0 1 9 962 3 8 42 2,132
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 0 3 1,079 7 12 24 2,697
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 1 4 202 1 4 19 580
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 164 2 4 16 622
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 4 8 22 6,825
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 1 1,669 2 2 8 4,581
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 3 484 1 5 19 1,024
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 1 2 12 2,976 7 16 108 7,894
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 3 31 7 9 28 114
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 1 8 142 3 6 28 420
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 1 9 321 1 2 42 740
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 2 3 11 194 5 7 24 553
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 0 5 17 157 13 33 105 756
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 1 1 179 7 12 30 757
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 1 3 182 2 5 17 540
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 2 2 8 907
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 1 5 857 3 5 37 2,125
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 1 3 9 706
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 3 3 6 413
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 2 2 11 562
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 104 4 4 13 396
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 2 3 6 1,128
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 1 11 1,078 4 17 56 3,193
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 0 6 39 5,626 4 26 139 14,003
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 3 3 7 498
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 1 2 15 407
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 3 7 432
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 2 243 2 4 13 541
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 2 1,273 4 8 21 3,127
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 0 5 1,639 4 8 58 3,871
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 1 1 1 266 5 7 11 733
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 2 1,041 2 2 12 2,699
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 1 1 643 2 6 13 1,592
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 0 307 1 6 10 708
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 235 1 4 11 596
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 3 8 440 1 7 21 927
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 6 369 1 1 18 763
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 1 1 274 3 6 12 694
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 1 7 23 5 10 29 71
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 3 5 9 553
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 3 939 1 3 15 2,835
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 2 258 1 3 12 552
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 3 3 184 1 6 12 473
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,291 0 1 15 3,632
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 0 272 3 8 15 1,056
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 1 2 177 3 4 8 386
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 0 2 263 2 3 11 486
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 0 5 18 2,845
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 1 1 403 2 4 14 1,391
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 4 4 13 1,212
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 2 2 148 3 6 11 292
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 1 366 1 3 12 773
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 0 625 2 8 16 1,948
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 0 359 3 10 15 937
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 4 424 3 4 15 1,028
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 0 3 567 6 9 26 1,576
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 1 4 7 669
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 3 6 12 493
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 1 135 6 6 13 480
Total Software Items 5 38 204 34,128 174 377 1,344 94,944

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Statistics updated 2026-05-06