Access Statistics for Rafał Weron

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new method for automated noise cancellation in electromagnetic field measurement 0 0 0 21 0 0 5 132
A note on averaging day-ahead electricity price forecasts across calibration windows 2 2 12 159 2 2 18 249
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 114 1 4 12 291
A review of electricity price forecasting: The past, the present and the future 1 1 2 245 2 3 6 337
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 0 3 4 180
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 0 1 255
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 2 4 135
A simple model of price formation 0 0 0 33 3 3 6 126
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 2 3 5 383
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 0 0 2 408
An introduction to simulation of risk processes 2 2 3 50 3 3 5 215
Analysis of ROBECO data by neural networks 0 0 0 8 0 0 3 82
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 1 161 2 4 7 327
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 1 1 18 1 2 6 46
Balancing RES generation: Profitability of an energy trader 0 0 0 73 2 2 9 148
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 2 4 5 80 6 9 16 131
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 2 2 3 251
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 1 1 3 179
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 2 5 132
Black swans or dragon kings? A simple test for deviations from the power law 0 1 1 115 2 5 7 401
Blackouts, risk, and fat-tailed distributions 0 0 0 200 0 0 3 596
Building Loss Models 0 0 0 25 0 1 3 172
Building Loss Models 0 0 0 319 1 2 4 1,431
Building loss models 0 0 0 7 2 4 4 50
Calibration window selection based on change-point detection for forecasting electricity prices 1 1 2 37 1 1 3 51
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 1 2 4 146
Computationally intensive Value at Risk calculations 0 0 0 29 0 0 0 140
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 2 2 3 226 5 7 13 420
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 75 0 1 3 193
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 1 5 1,016
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 1 107 1 1 5 393
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 3 90 1 4 21 324
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 1 3 18 18 2 5 44 44
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 2 34 0 4 11 123
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 2 3 57 4 6 7 84
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 1 9 239 6 8 23 466
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 1 55 1 3 6 172
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 0 0 3 156
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 1 2 9 445
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 0 2 77
Distributional neural networks for electricity price forecasting 1 2 4 36 2 4 9 62
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 371 2 2 6 849
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 0 175 3 3 4 349
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 52 3 3 7 90
Electricity Price Forecasting: The Dawn of Machine Learning 0 1 5 172 1 2 14 343
Electricity price forecasting 0 0 5 155 2 3 13 335
Electricity price forecasting 1 3 15 539 1 4 26 1,637
Electricity price forecasting: A review of the state-of-the-art with a look into the future 3 5 14 374 10 23 54 889
Energy forecasting: A review and outlook 0 0 2 300 2 10 15 801
Energy price risk management 0 0 0 60 1 1 3 226
Erratum to 'Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark' [Appl. Energy 293 (2021) 116983] 0 1 5 52 1 4 24 125
Estimating long range dependence: finite sample properties and confidence intervals 0 0 3 91 2 2 7 342
Evaluating the performance of VaR models in energy markets 0 0 1 151 0 0 2 232
Evolution in a changing environment 0 0 0 13 0 1 4 116
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 5 8 40 86 7 19 73 136
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 2 1,272 1 1 8 2,496
FX Smile in the Heston Model 0 0 0 57 0 0 1 204
FX Smile in the Heston Model 0 0 0 34 1 3 4 192
FX Smile in the Heston Model 0 0 0 143 1 3 3 451
FX smile in the Heston model 0 0 1 100 1 1 5 306
Forecasting Electricity Prices 0 4 11 52 0 7 32 115
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 2 39 2 3 7 79
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 1 1 1 116 1 1 4 186
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 1 1 4 364
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 1 1 2 231 2 3 5 576
Forecasting the occurrence of electricity price spikes in the UK power market 1 1 4 224 1 1 8 467
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 0 0 3 303
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 1 139 0 1 12 279
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 2 4 245
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 0 1 3 159
Habitat momentum 0 0 0 7 0 0 1 65
Heavy tails and electricity prices 0 0 2 33 1 1 8 169
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 0 1 2 508
Heavy-tailed distributions in VaR calculations 0 0 2 322 8 8 12 903
Heavy-tails and regime-switching in electricity prices 0 0 1 79 1 3 9 178
How effective is advertising in duopoly markets? 0 0 0 285 0 0 0 1,048
How effective is advertising in duopoly markets? 0 0 0 9 0 0 2 80
Hurst analysis of electricity price dynamics 0 0 0 63 0 0 8 202
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 121 3 4 7 230
Impact of social interactions on demand curves for innovative products 1 1 1 70 2 2 4 104
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 2 2 4 170 3 4 11 323
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 1 1 2 55 3 3 6 118
Improving short term load forecast accuracy via combining sister forecasts 1 1 1 235 1 1 3 442
Inference for Markov-regime switching models of electricity spot prices 0 0 2 224 1 1 10 495
Interval forecasting of spot electricity prices 0 0 0 31 1 3 5 123
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 1 31
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 0 2 3 1,460
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 0 0 8 548
Loss Distributions 0 0 1 181 0 2 10 533
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 4 8 54 85 4 12 85 148
Market price of risk implied by Asian-style electricity options 0 0 0 629 1 1 1 1,425
Measuring long-range dependence in electricity prices 0 0 0 50 0 0 3 135
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 1 1 3 142 2 4 11 242
Modeling and forecasting electricity loads: A comparison 0 0 0 1,265 0 0 5 2,858
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 1 3 154 1 2 6 333
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 1 1 2 184
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 2 80 0 0 5 207
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 1 2 3 197
Modeling electricity prices with regime switching models 1 1 1 1,033 2 2 3 1,889
Modeling electricity prices: jump diffusion and regime switching 0 0 0 221 0 0 1 607
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 0 0 199
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 4 690 2 3 12 1,272
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 0 1 56
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 0 3 363
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 1 1 5 251
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 2 5 208 3 6 12 481
Models for Heavy-tailed Asset Returns 0 0 0 40 2 2 7 202
Models for Heavy-tailed Asset Returns 0 0 0 201 1 3 4 457
Models for heavy-tailed asset returns 0 0 1 71 0 1 4 211
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 1 52 0 3 17 131
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 44 3 3 5 70
On detecting and modeling periodic correlation in financial data 0 0 0 280 1 1 2 635
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 1 1 3 117 1 1 11 211
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 1 1 2 133 1 2 5 283
Origins of scaling in FX markets 0 0 0 35 2 3 4 157
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 1 1 4 128
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 2 56 0 0 7 204
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 25 0 0 2 107
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 1 242 0 0 5 687
Performance of the estimators of stable law parameters 0 0 0 31 1 2 6 137
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 1 3 3 651
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 3 5 36 36 4 11 83 83
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 2 2 4 14 2 3 15 28
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 13 0 0 2 129
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 1 1 2 136
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 0 1 247
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 1 2 158 0 2 11 306
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 1 1 5 282 2 2 14 604
Probabilistic intraday electricity price forecasting using generative machine learning 1 18 18 18 0 5 5 5
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 1 1 1 184 3 3 8 363
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 3 3 6 515 8 8 19 1,087
Property insurance loss distributions 0 0 0 110 0 0 2 440
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 0 4 438 0 3 16 923
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 0 2 288
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 2 2 161 5 7 14 208
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 398 2 2 8 397
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 0 3 100
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 0 0 3 124
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 1 1 4 589
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 1 4 114
Selection of calibration windows for day-ahead electricity price forecasting 1 1 3 73 1 3 10 111
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 1 1 4 160 2 4 9 319
Short-term electricity price forecasting with time series models: A review and evaluation 0 2 14 507 0 4 32 1,314
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 1 60 5 8 12 155
Simulation of Risk Processes 1 1 1 98 2 2 3 301
Simulation of risk processes 0 0 0 27 2 2 3 143
Stable distributions 0 0 2 238 0 1 5 468
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 1 5 5 5 1 2 2 2
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 2 9 9 9 1 7 7 7
Structure and stylized facts of a deregulated power market 1 1 1 110 1 1 1 376
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 1 4 325 0 2 12 1,387
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 1 1 4 87
To combine or not to combine? Recent trends in electricity price forecasting 0 0 5 190 2 2 16 367
Trading on short-term path forecasts of intraday electricity prices 3 4 13 151 8 18 37 289
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 3 9 24 95 3 11 55 185
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 0 1 215
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 1 1 1 47 1 1 5 179
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 5 196 1 1 10 345
Variance stabilizing transformations for electricity spot price forecasting 1 3 10 200 6 10 25 753
Visualization tools for insurance risk processes 0 0 0 30 0 1 4 172
Total Working Papers 68 140 471 24,385 226 435 1,487 59,885

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 2 2 18
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 1 2 42
A new model of mass extinctions 0 0 0 2 0 1 1 24
A note on using the Hodrick–Prescott filter in electricity markets 0 0 4 37 0 0 6 123
A semiparametric factor model for electricity forward curve dynamics 0 0 0 0 1 1 8 8
An empirical comparison of alternate regime-switching models for electricity spot prices 0 1 6 102 1 2 18 302
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 0 3 59 1 1 16 194
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 20 1 1 2 94
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 1 1 5 40
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 2 3 5 44
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 0 1 3 30
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 0 31 2 2 5 115
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 1 3 8 3 4 10 35
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 1 1 3 34 2 7 15 112
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 1 13 0 0 6 50
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 0 4 24
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 5 51 0 4 15 172
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 14 2 6 8 76
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 5 0 0 2 13
Distributional neural networks for electricity price forecasting 0 0 6 17 0 0 16 56
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 1 1 3 50
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 64 2 2 4 156
Electricity price forecasting: A review of the state-of-the-art with a look into the future 5 7 15 154 19 32 64 521
Energy price risk management 0 0 0 9 1 2 6 66
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 3 45 3 4 11 165
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 3 4 5 5
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 3 16 2 4 21 76
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 2 2 4 60
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 0 201 1 1 10 558
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 0 1 3 105
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 0 4 68
How effective is advertising in duopoly markets? 0 0 1 4 1 1 2 50
Hurst analysis of electricity price dynamics 0 0 0 17 0 0 5 54
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 2 146 1 1 8 482
Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO 0 0 0 5 0 0 1 17
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 0 1 3 88
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 1 2 8
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 0 0 1 27
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 2 2 2 2 3 3 3 3
Market price of risk implied by Asian-style electricity options and futures 0 0 1 109 0 0 6 293
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 0 2 40
Modeling electricity prices: jump diffusion and regime switching 1 1 3 49 1 4 9 143
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 1 96
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 2 4 10 20 6 12 31 80
On detecting and modeling periodic correlation in financial data 0 0 0 12 0 0 1 55
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 1 11 279 12 15 42 594
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 5 34 2 3 17 129
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 1 1 19 2 3 8 61
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 0 18 2 3 8 64
Operational Research: methods and applications 0 0 1 1 0 0 5 7
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 1 34
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 1 1 3 203 2 2 6 567
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 0 2 19 1 2 8 72
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 3 3 2 3 11 11
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 2 18 2 3 12 66
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 4 53 0 4 15 175
Property insurance loss distributions 0 0 3 22 0 1 5 107
Recent advances in electricity price forecasting: A review of probabilistic forecasting 2 6 15 210 11 21 77 676
Regularized quantile regression averaging for probabilistic electricity price forecasting 1 3 10 41 4 14 33 104
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 6 68 1 2 19 263
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 3 72 1 1 8 205
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 1 1 1 18
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 1 3 0 0 3 37
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 1 1 3 44
Trading on short-term path forecasts of intraday electricity prices 3 5 13 60 20 26 52 181
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 1 2 3 54 1 5 13 190
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 3 31 2 3 12 119
Total Journal Articles 21 40 162 2,623 131 226 718 8,562

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 2 5 456 4 7 27 1,641
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 7 15 54 1,328 13 36 105 3,103
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 1 1 3 129 1 1 7 454
Total Books 10 18 62 1,913 18 44 139 5,198

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Blackouts, risk, and fat-tailed distributions 0 0 0 0 1 1 3 7
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 0 0 5
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 1 1 10 0 2 3 25
Total Chapters 0 1 1 10 1 3 6 37

Software Item File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method 1 3 17 958 3 6 31 2,100
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 2 8 1,078 1 4 16 2,678
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 5 201 1 1 11 566
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 164 2 4 10 614
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 1 2 6 6,806
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 1 2 1,669 0 2 6 4,576
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 5 483 1 2 12 1,010
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 1 2 22 2,971 9 16 69 7,822
ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 0 0 2 29 1 1 12 93
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 2 2 9 138 4 5 34 405
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 1 13 315 2 13 48 725
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 4 14 189 1 7 22 538
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 1 4 21 147 5 17 100 693
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 178 2 6 17 737
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 1 2 180 1 4 10 530
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 1 2 3 901
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 1 1 11 856 11 14 31 2,108
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 5 700
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 0 1 407
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 1 2 185 2 4 7 556
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 2 104 2 2 8 386
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 1 2 1,123
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 4 5 24 1,076 7 12 69 3,162
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 2 7 59 5,613 10 23 142 13,931
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 0 219 0 0 2 492
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods 0 0 1 170 2 3 8 397
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods 0 1 1 214 0 1 1 426
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 1 1 1 242 1 1 1 529
MFE Toolbox ver. 1.0.1 for MATLAB 1 2 6 1,273 2 4 14 3,113
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 2 4 11 1,638 18 29 61 3,846
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 0 265 1 2 3 725
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 1 1 2 1,040 2 2 9 2,691
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 642 1 1 3 1,580
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 2 307 0 0 3 698
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 235 0 1 3 587
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 2 433 0 1 6 908
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 2 3 5 367 2 4 21 750
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 0 273 1 2 2 684
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 2 3 9 20 3 6 25 53
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 0 0 1 545
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 1 4 938 1 4 10 2,825
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 1 257 2 2 5 544
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 1 181 1 1 2 462
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,290 1 2 11 3,622
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 1 272 2 3 4 1,044
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 0 0 175 0 1 3 379
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 1 1 6 263 3 3 11 479
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 402 2 6 9 1,383
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 777 2 5 9 2,832
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 2 2 5 1,204
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 0 0 146 0 0 3 284
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 1 1 2 366 1 1 4 762
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 1 625 2 3 6 1,936
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 1 359 0 0 6 922
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 1 1 1 421 3 3 5 1,017
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 2 4 566 8 11 18 1,562
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 0 1 663
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 3 3 484
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 2 135 0 0 7 471
Total Software Items 25 55 289 34,037 132 258 957 94,066

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Statistics updated 2025-11-08