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 3 3 7 135
A note on averaging day-ahead electricity price forecasts across calibration windows 0 2 7 161 7 12 20 261
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 114 7 8 16 299
A review of electricity price forecasting: The past, the present and the future 0 0 2 245 3 5 10 342
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 2 2 3 257
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 7 13 16 193
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 1 1 4 136
A simple model of price formation 0 0 0 33 3 5 11 131
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 3 8 12 391
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 4 8 8 416
An introduction to simulation of risk processes 0 0 2 50 1 3 6 218
Analysis of ROBECO data by neural networks 0 0 0 8 0 2 3 84
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 1 161 5 12 18 339
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 1 1 2 19 5 7 12 53
Balancing RES generation: Profitability of an energy trader 0 0 0 73 1 1 7 149
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 4 80 8 11 26 142
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 3 4 7 255
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 4 5 7 184
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 4 5 9 137
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 115 2 8 14 409
Blackouts, risk, and fat-tailed distributions 0 0 0 200 2 3 6 599
Building Loss Models 0 0 0 25 2 6 7 178
Building Loss Models 0 0 0 319 3 7 11 1,438
Building loss models 0 0 0 7 4 6 10 56
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 2 37 5 7 10 58
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 2 4 6 150
Computationally intensive Value at Risk calculations 0 0 0 29 4 9 9 149
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 3 226 5 7 18 427
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 75 12 15 17 208
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 1 3 1,017
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 1 107 2 5 9 398
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 1 4 91 7 14 35 338
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 1 19 19 6 13 57 57
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 3 4 37 3 13 19 136
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 3 57 4 7 14 91
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 3 5 11 244 10 20 39 486
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 1 2 56 1 4 8 176
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 5 18 20 174
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 7 10 18 455
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 5 7 8 84
Distributional neural networks for electricity price forecasting 1 1 4 37 6 8 15 70
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 1 1 1 372 6 13 16 862
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 0 175 6 11 15 360
Efficient forecasting of electricity spot prices with expert and LASSO models 0 1 1 53 4 12 17 102
Electricity Price Forecasting: The Dawn of Machine Learning 4 4 7 176 6 8 16 351
Electricity price forecasting 1 2 6 157 5 8 19 343
Electricity price forecasting 2 3 17 542 10 16 37 1,653
Electricity price forecasting: A review of the state-of-the-art with a look into the future 4 10 22 384 14 33 75 922
Energy forecasting: A review and outlook 0 0 1 300 7 9 23 810
Energy price risk management 0 0 0 60 3 6 8 232
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 53 4 10 25 135
Estimating long range dependence: finite sample properties and confidence intervals 0 0 1 91 3 6 10 348
Evaluating the performance of VaR models in energy markets 0 0 1 151 5 8 9 240
Evolution in a changing environment 0 0 0 13 2 7 10 123
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 3 5 24 91 10 14 53 150
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 1 1,272 8 10 16 2,506
FX Smile in the Heston Model 0 0 0 34 3 6 9 198
FX Smile in the Heston Model 0 0 0 57 2 4 5 208
FX Smile in the Heston Model 0 1 1 144 4 6 9 457
FX smile in the Heston model 0 0 0 100 2 6 10 312
Forecasting Electricity Prices 2 4 14 56 28 75 102 190
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 1 2 40 4 6 12 85
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 116 5 8 10 194
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 3 6 9 370
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 2 231 10 16 20 592
Forecasting the occurrence of electricity price spikes in the UK power market 2 3 6 227 7 10 14 477
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 10 11 13 314
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 3 6 12 285
Goodness-of-fit testing for regime-switching models 0 0 0 140 2 2 6 247
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 5 6 9 165
Habitat momentum 0 0 0 7 5 6 6 71
Heavy tails and electricity prices 0 0 2 33 2 5 10 174
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 11 517
Heavy-tailed distributions in VaR calculations 0 0 2 322 4 9 20 912
Heavy-tails and regime-switching in electricity prices 0 0 1 79 2 9 18 187
How effective is advertising in duopoly markets? 0 0 0 285 7 10 10 1,058
How effective is advertising in duopoly markets? 0 0 0 9 2 3 5 83
Hurst analysis of electricity price dynamics 0 0 0 63 2 6 12 208
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 121 4 7 14 237
Impact of social interactions on demand curves for innovative products 0 0 1 70 2 5 8 109
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 1 2 6 172 5 10 20 333
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 1 3 56 5 10 16 128
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 235 4 10 11 452
Inference for Markov-regime switching models of electricity spot prices 0 1 1 225 5 11 13 506
Interval forecasting of spot electricity prices 0 0 0 31 4 5 9 128
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 3 3 4 34
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 1 6 9 1,466
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 2 5 10 553
Loss Distributions 0 0 1 181 5 7 12 540
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 3 50 88 3 9 82 157
Market price of risk implied by Asian-style electricity options 0 0 0 629 9 10 11 1,435
Measuring long-range dependence in electricity prices 0 0 0 50 4 4 7 139
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 3 142 3 5 15 247
Modeling and forecasting electricity loads: A comparison 0 1 1 1,266 3 7 11 2,865
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 1 4 155 5 11 15 344
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 0 1 184
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 4 5 7 212
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 2 3 5 200
Modeling electricity prices with regime switching models 0 1 2 1,034 7 9 11 1,898
Modeling electricity prices: jump diffusion and regime switching 0 1 1 222 5 11 11 618
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 3 8 8 207
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 2 690 4 5 13 1,277
Modeling the risk process in the XploRe computing environment 0 0 0 131 1 5 8 368
Modeling the risk process in the XploRe computing environment 0 0 0 2 4 4 5 60
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 3 5 9 256
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 3 6 211 3 9 18 490
Models for Heavy-tailed Asset Returns 0 1 1 202 3 9 13 466
Models for Heavy-tailed Asset Returns 0 1 1 41 6 12 18 214
Models for heavy-tailed asset returns 0 0 1 71 4 8 11 219
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 1 1 1 53 3 13 25 144
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 44 3 9 14 79
On detecting and modeling periodic correlation in financial data 0 0 0 280 2 3 5 638
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 2 117 6 8 16 219
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 2 133 6 10 13 293
Origins of scaling in FX markets 0 0 0 35 4 5 9 162
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 2 3 6 131
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 56 5 6 9 210
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 1 1 2 108
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 10 12 15 699
Performance of the estimators of stable law parameters 0 1 1 32 0 2 5 139
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 3 5 8 656
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 0 3 39 39 8 18 101 101
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 1 1 4 15 3 4 12 32
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 13 0 0 0 129
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 1 2 3 138
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 1 8 8 255
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 2 158 2 21 28 327
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 1 1 4 283 5 8 16 612
Probabilistic intraday electricity price forecasting using generative machine learning 2 2 20 20 2 8 13 13
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 1 2 185 3 8 13 371
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 1 3 8 518 4 18 31 1,105
Property insurance loss distributions 0 1 1 111 3 4 5 444
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 1 4 439 8 9 18 932
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 5 5 6 293
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 2 4 163 14 35 46 243
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 2 2 2 400 15 23 26 420
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 7 10 11 110
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 4 7 9 131
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 7 8 11 597
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 3 6 117
Selection of calibration windows for day-ahead electricity price forecasting 0 1 3 74 2 8 16 119
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 3 160 1 4 11 323
Short-term electricity price forecasting with time series models: A review and evaluation 4 7 17 514 9 14 37 1,328
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 1 60 2 7 17 162
Simulation of Risk Processes 0 0 1 98 4 8 11 309
Simulation of risk processes 0 0 0 27 4 7 10 150
Stable distributions 0 0 1 238 12 16 18 484
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 0 5 5 8 10 12 12
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 1 1 10 10 3 4 11 11
Structure and stylized facts of a deregulated power market 0 1 2 111 4 7 8 383
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 0 2 325 5 12 19 1,399
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 4 4 6 91
To combine or not to combine? Recent trends in electricity price forecasting 0 0 3 190 4 6 16 373
Trading on short-term path forecasts of intraday electricity prices 0 2 9 153 5 17 45 306
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 2 5 25 100 6 15 59 200
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 3 4 4 219
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 1 2 48 2 5 6 184
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 4 196 7 8 14 353
Variance stabilizing transformations for electricity spot price forecasting 0 2 10 202 5 15 34 768
Visualization tools for insurance risk processes 0 0 0 30 4 5 6 177
Total Working Papers 44 106 473 24,491 726 1,373 2,491 61,258

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 5 5 7 23
A conditionally exponential decay approach to scaling in finance 0 0 0 6 2 4 6 46
A new model of mass extinctions 0 0 0 2 1 3 4 27
A note on using the Hodrick–Prescott filter in electricity markets 0 0 2 37 4 11 14 134
A semiparametric factor model for electricity forward curve dynamics 0 1 1 1 5 8 12 16
An empirical comparison of alternate regime-switching models for electricity spot prices 1 3 9 105 4 10 26 312
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 0 3 59 6 13 25 207
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 20 7 14 15 108
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 3 6 9 46
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 4 8 13 52
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 3 7 10 37
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 0 31 4 6 11 121
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 2 8 2 6 14 41
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 3 34 8 11 24 123
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 1 2 14 3 9 12 59
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 2 3 6 27
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 4 51 8 19 31 191
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 14 6 9 16 85
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 5 1 6 7 19
Distributional neural networks for electricity price forecasting 0 0 4 17 7 17 30 73
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 1 5 7 55
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 1 1 1 65 8 11 14 167
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 4 17 158 17 58 109 579
Energy price risk management 0 0 0 9 5 7 11 73
Estimating long-range dependence: finite sample properties and confidence intervals 1 2 5 47 3 8 18 173
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 3 12 17 17
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 2 4 18 10 24 38 100
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 5 6 9 66
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 1 1 202 4 10 18 568
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 1 3 4 108
Heavy-tails and regime-switching in electricity prices 0 0 0 12 2 2 5 70
How effective is advertising in duopoly markets? 0 0 0 4 10 19 20 69
Hurst analysis of electricity price dynamics 0 0 0 17 3 4 8 58
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 2 146 5 8 15 490
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 1 2 18
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 4 6 7 94
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 2 3 4 11
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 1 3 3 30
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 0 2 2 5 10 13 13
Market price of risk implied by Asian-style electricity options and futures 0 0 1 109 9 11 15 304
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 3 4 43
Modeling electricity prices: jump diffusion and regime switching 0 2 5 51 2 13 19 156
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 3 4 4 100
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 10 20 15 24 51 104
On detecting and modeling periodic correlation in financial data 0 0 0 12 3 6 6 61
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 1 11 280 4 13 49 607
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 2 6 36 9 13 26 142
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 1 19 4 7 13 68
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 0 18 5 9 16 73
Operational Research: methods and applications 0 0 0 1 2 5 9 12
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 1 1 1 35
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 2 203 3 8 12 575
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 1 2 20 6 17 24 89
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 3 3 5 12 18 23
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 2 18 6 12 23 78
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 2 2 6 55 19 43 55 218
Property insurance loss distributions 0 1 3 23 4 7 10 114
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 7 20 217 11 42 102 718
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 7 17 48 9 42 72 146
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 2 2 6 70 11 11 26 274
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 2 72 3 9 16 214
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 7 11 12 29
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 1 2 4 1 2 3 39
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 4 7 8 51
Trading on short-term path forecasts of intraday electricity prices 0 1 11 61 18 23 65 204
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 3 54 3 9 21 199
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 3 31 2 6 16 125
Total Journal Articles 9 42 179 2,665 343 745 1,310 9,307

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 6 459 3 16 36 1,657
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 4 10 52 1,338 31 117 199 3,220
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 3 129 2 7 13 461
Total Books 5 13 61 1,926 36 140 248 5,338

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 3 4 7 11
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 1 1 6
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 1 2 11 2 6 9 31
Total Chapters 0 1 2 11 5 11 17 48

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 3 14 961 1 24 42 2,124
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 1 5 1,079 3 7 17 2,685
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 4 201 0 10 18 576
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 164 2 4 14 618
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 7 11 14 6,817
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 2 1,669 3 3 9 4,579
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 1 4 484 2 9 19 1,019
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 1 3 15 2,974 16 56 106 7,878
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 2 4 31 4 12 24 105
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 3 11 141 2 9 32 414
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 5 12 320 4 13 48 738
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 2 11 191 2 8 22 546
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 3 5 17 152 12 30 93 723
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 178 6 8 21 745
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 1 1 2 181 4 5 12 535
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 2 4 7 905
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 0 8 856 4 12 38 2,120
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 2 3 7 703
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 2 3 3 410
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 3 4 10 560
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 104 3 6 11 392
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 1 2 3 1,125
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 1 1 17 1,077 3 14 55 3,176
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 3 7 51 5,620 17 46 152 13,977
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 5 495
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 6 8 13 405
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 4 429
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 1 2 243 1 8 9 537
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 4 1,273 3 6 16 3,119
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 1 11 1,639 4 17 69 3,863
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 0 265 1 1 4 726
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 1 3 1,041 4 6 13 2,697
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 642 2 6 9 1,586
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 307 1 4 6 702
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 235 3 5 7 592
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 4 6 437 8 12 16 920
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 2 7 369 3 12 32 762
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 0 273 0 4 6 688
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 2 9 22 3 8 27 61
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 2 3 4 548
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 1 1 3 939 2 7 13 2,832
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 1 1 2 258 2 5 10 549
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 0 181 1 5 6 467
REMST: MATLAB function to remove trend and seasonal component using the moving average method 1 1 2 1,291 2 9 17 3,631
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 1 272 1 4 8 1,048
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 1 1 176 1 3 5 382
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 0 4 263 1 4 10 483
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 4 8 15 2,840
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 402 2 4 13 1,387
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 3 4 9 1,208
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 0 0 146 0 2 5 286
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 2 366 5 8 10 770
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 1 625 1 4 10 1,940
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 1 359 0 5 11 927
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 3 4 424 0 7 12 1,024
STABLERND: MATLAB function to generate random numbers from the stable distribution 1 1 5 567 2 5 19 1,567
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 2 3 665
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 3 6 487
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 2 135 1 3 9 474
Total Software Items 14 53 256 34,090 179 501 1,208 94,567

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Statistics updated 2026-02-12