Access Statistics for Rafał Weron

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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 1 21 0 3 11 113
A note on averaging day-ahead electricity price forecasts across calibration windows 0 7 66 72 3 14 85 93
A note on using the Hodrick-Prescott filter in electricity markets 0 0 5 97 1 3 21 208
A review of electricity price forecasting: The past, the present and the future 0 0 8 230 0 0 18 276
A semiparametric factor model for electricity forward curve dynamics 0 0 1 96 1 1 4 228
A semiparametric factor model for electricity forward curve dynamics 0 0 1 68 1 2 7 168
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 0 13 0 0 10 106
A simple model of price formation 0 0 1 30 0 1 4 102
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 5 163 0 0 6 360
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 4 146 1 3 16 328
An introduction to simulation of risk processes 0 0 0 35 0 2 14 174
Analysis of ROBECO data by neural networks 0 1 2 6 0 1 9 65
Automated variable selection and shrinkage for day-ahead electricity price forecasting 2 4 16 109 6 17 57 189
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 1 28 1 1 3 229
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 67 0 1 4 158
Black swans or dragon kings? A simple test for deviations from the power law 0 0 2 109 0 2 9 362
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 40 0 0 4 112
Blackouts, risk, and fat-tailed distributions 0 0 0 195 0 0 4 580
Building Loss Models 3 11 42 260 19 61 238 1,021
Building Loss Models 0 0 2 5 0 0 8 33
Building Loss Models 0 0 1 22 0 0 7 151
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 2 2 9 65 6 7 29 99
Computationally intensive Value at Risk calculations 0 0 0 24 1 2 5 120
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 1 14 200 2 6 40 335
Convenience Yields for CO2 Emission Allowance Futures Contracts 0 0 1 317 1 1 8 947
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 55 1 1 3 122
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 1 1 3 95 2 5 15 346
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 2 71 2 2 14 235
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 6 46 1 4 18 35
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 1 15 183 0 6 48 318
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 1 3 49 0 2 16 124
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 68 0 1 7 125
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 2 6 167 0 3 16 386
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 8 0 0 3 63
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 2 4 14 343 3 6 30 754
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 2 4 164 0 2 6 310
Efficient forecasting of electricity spot prices with expert and LASSO models 1 1 37 40 5 6 33 38
Electricity price forecasting 18 21 21 21 17 22 22 22
Electricity price forecasting 10 32 213 213 35 101 382 382
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 5 25 300 3 12 68 610
Energy price risk management 0 1 2 53 0 1 3 194
Estimating long range dependence: finite sample properties and confidence intervals 0 1 4 76 3 7 17 290
Evaluating the performance of VaR models in energy markets 0 0 10 142 2 4 29 187
Evolution in a changing environment 0 0 0 12 0 0 1 101
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 1 2 8 1,231 2 3 26 2,383
FX Smile in the Heston Model 0 0 0 55 0 1 6 182
FX Smile in the Heston Model 0 0 1 94 1 2 7 266
FX Smile in the Heston Model 0 0 3 138 1 2 10 407
FX Smile in the Heston Model 0 1 2 29 0 3 5 142
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 109 0 0 6 162
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 1 4 168 0 4 9 330
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 1 2 3 208 2 6 13 494
Forecasting the occurrence of electricity price spikes in the UK power market 0 1 16 167 4 11 58 331
Forecasting wholesale electricity prices: A review of time series models 0 0 2 123 0 0 5 286
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 1 2 129 0 2 8 208
Goodness-of-fit testing for regime-switching models 0 0 2 136 0 2 12 219
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 1 52 1 1 8 144
Habitat momentum 0 0 2 6 2 4 24 36
Heavy tails and electricity prices 0 0 1 21 2 2 6 119
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 1 1 2 222 4 4 8 488
Heavy-tailed distributions in VaR calculations 0 1 8 269 2 7 32 728
Heavy-tails and regime-switching in electricity prices 0 0 0 78 0 1 6 151
How effective is advertising in duopoly markets? 0 0 0 9 0 0 2 74
How effective is advertising in duopoly markets? 0 0 0 284 0 0 8 1,019
Hurst analysis of electricity price dynamics 0 1 3 49 0 2 11 158
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 114 0 1 15 200
Impact of social interactions on demand curves for innovative products 0 0 1 67 0 1 8 81
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 3 4 25 121 9 20 69 161
Improving short term load forecast accuracy via combining sister forecasts 1 2 9 211 3 6 43 349
Inference for Markov-regime switching models of electricity spot prices 0 0 5 194 0 2 26 407
Interval forecasting of spot electricity prices 0 0 1 29 0 1 8 92
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 4 99 0 3 22 474
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 614 0 6 13 1,420
Loss Distributions 0 0 2 157 0 2 14 433
Market price of risk implied by Asian-style electricity options 0 1 2 628 0 3 9 1,411
Measuring long-range dependence in electricity prices 0 0 1 41 0 0 2 108
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 1 5 115 2 5 14 177
Modeling and forecasting electricity loads: A comparison 0 1 3 1,254 1 6 22 2,779
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 1 2 7 137 2 3 13 279
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 1 22 0 0 7 164
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 1 4 65 0 3 13 157
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 1 48 0 0 7 166
Modeling electricity prices with regime switching models 0 0 6 1,016 0 1 14 1,836
Modeling electricity prices: jump diffusion and regime switching 0 5 12 197 1 11 36 527
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 3 104 0 1 8 192
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 2 14 653 4 8 34 1,164
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 0 3 345
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 0 2 48
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 1 43 0 0 6 232
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 3 13 141 4 9 35 305
Models for Heavy-tailed Asset Returns 0 0 0 64 3 4 7 178
Models for Heavy-tailed Asset Returns 0 1 5 193 1 5 14 358
Models for Heavy-tailed Asset Returns 1 1 1 34 1 2 7 148
On detecting and modeling periodic correlation in financial data 0 0 1 270 0 0 9 610
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 1 3 10 103 1 3 26 156
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 4 21 86 1 14 54 156
Origins of scaling in FX markets 0 0 0 34 0 0 2 142
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 0 4 111
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 22 0 0 1 86
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 53 0 0 2 179
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 1 2 4 215 2 4 9 602
Performance of the estimators of stable law parameters 0 1 4 23 0 1 11 103
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 1 192 0 1 8 631
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 12 0 1 11 107
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 1 15 1 1 6 124
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 48 0 0 5 226
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 9 70 75 4 19 94 105
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 4 18 225 6 15 53 412
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 1 7 167 1 2 22 262
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 1 5 26 432 2 17 72 867
Property insurance loss distributions 0 1 5 93 2 4 26 392
Recent advances in electricity price forecasting: A review of probabilistic forecasting 2 10 58 338 16 45 172 680
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 3 118 0 0 7 276
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 1 1 3 383 2 3 13 334
Rewiring the network. What helps an innovation to diffuse? 0 0 2 110 0 1 8 79
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 64 0 1 4 111
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 1 2 7 245 1 3 26 504
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 0 3 89
Selection of calibration windows for day-ahead electricity price forecasting 0 2 48 48 0 7 38 38
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 1 12 105 0 2 26 184
Short-term electricity price forecasting with time series models: A review and evaluation 3 10 36 318 9 27 110 831
Simulation of Risk Processes 0 0 1 95 2 11 14 285
Simulation of risk processes 0 0 0 24 1 10 12 120
Stable Distributions 0 1 3 218 1 4 18 386
Structure and stylized facts of a deregulated power market 0 0 2 106 2 3 9 351
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 2 10 31 152 13 41 113 518
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 1 1 27 1 5 17 49
To combine or not to combine? Recent trends in electricity price forecasting 2 2 13 132 3 8 38 191
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 1 2 95 1 3 14 179
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 2 39 1 4 28 123
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 6 19 113 113 13 33 149 149
Variance stabilizing transformations for electricity spot price forecasting 1 5 16 125 3 9 36 339
Visualization tools for insurance risk processes 0 0 1 25 0 0 8 126
Total Working Papers 72 228 1,258 19,564 258 775 3,371 44,930

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SIMPLE MODEL OF PRICE FORMATION 0 0 0 2 0 1 4 6
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 0 2 22
A new model of mass extinctions 0 0 0 2 0 0 1 21
A note on using the Hodrick–Prescott filter in electricity markets 0 0 1 27 1 2 8 89
An empirical comparison of alternate regime-switching models for electricity spot prices 1 2 5 64 2 5 16 208
An empirical comparison of alternative schemes for combining electricity spot price forecasts 1 1 1 32 2 2 11 104
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 1 1 1 11 2 3 8 56
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 1 1 1 1 3 3 3
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 1 2 2 2 4 5 5 5
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 1 17 3 4 10 48
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 0 3 0 0 4 14
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 0 1 1 4 8
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 8 10 0 3 20 36
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 0 7 2 4 8 39
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 1 0 0 2 2
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 3 4 3 3 18 25
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 1 1 54 0 2 7 127
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 2 5 70 5 12 36 188
Energy price risk management 1 1 2 7 1 1 5 39
Estimating long-range dependence: finite sample properties and confidence intervals 1 1 2 21 2 5 10 68
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 1 9 2 2 5 42
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 2 4 8 140 5 13 24 394
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 25 0 1 6 80
Heavy-tails and regime-switching in electricity prices 0 0 1 7 0 0 8 36
How effective is advertising in duopoly markets? 0 0 0 3 0 0 2 38
Hurst analysis of electricity price dynamics 0 0 1 11 0 1 6 33
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 109 1 2 10 359
Improving short term load forecast accuracy via combining sister forecasts 0 1 3 15 1 4 12 56
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 1 2 0 0 5 13
Market price of risk implied by Asian-style electricity options and futures 0 1 8 97 2 4 15 248
Modeling electricity loads in California: a continuous-time approach 0 0 0 10 0 0 4 31
Modeling electricity prices: jump diffusion and regime switching 0 2 3 25 1 5 12 77
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 30 0 0 2 82
On detecting and modeling periodic correlation in financial data 0 0 1 10 0 0 6 40
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 3 4 9 211 3 5 19 442
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 2 18 1 2 12 67
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 1 1 0 1 1 1
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 1 1 3 24
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 1 3 164 2 5 19 460
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 3 4 26 0 3 19 84
Property insurance loss distributions 0 0 0 10 0 1 6 53
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 5 18 25 2 15 65 88
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 3 29 1 4 24 150
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 3 60 1 2 10 165
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 1 1 2 15
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 1 1 1 0 1 17 17
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 1 2 2 1 3 8 12
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 4 35 0 1 13 125
Total Journal Articles 12 37 112 1,421 54 133 517 4,340

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 3 44 233 2 17 141 918
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 6 15 78 926 14 36 172 2,146
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 1 8 100 3 6 27 367
Total Books 6 19 130 1,259 19 59 340 3,431

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 6 24 104 656 13 50 211 1,437
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 1 12 50 982 5 26 108 2,429
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 1 11 162 1 4 21 466
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 3 10 143 3 6 18 459
COR: MATLAB function to compute the correlation coefficients 4 9 34 761 50 119 330 5,746
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 4 12 70 1,471 29 70 264 3,892
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 2 6 34 401 6 23 83 775
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 25 63 246 2,359 49 159 571 5,999
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 8 23 64 64 16 44 140 140
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 5 17 55 55 11 42 150 150
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 1 5 153 3 7 36 631
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 1 5 40 90 3 10 77 200
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 1 2 6 214 1 10 29 775
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 5 11 59 678 7 18 107 1,708
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 5 305 0 1 11 653
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 1 3 140 0 1 9 389
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 1 1 1 174 1 1 6 514
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 3 98 0 0 13 354
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 9 329 1 5 46 954
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 15 47 174 402 42 130 510 1,128
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 45 121 481 4,235 91 287 1,126 10,037
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 2 3 13 196 2 6 29 435
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods 1 3 19 146 2 5 30 303
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods 1 2 16 173 1 2 30 332
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 1 3 16 217 1 3 33 467
MFE Toolbox ver. 1.0.1 for MATLAB 3 8 58 1,115 6 20 162 2,527
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 4 14 71 1,381 11 35 160 3,132
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 1 2 6 247 1 4 21 664
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 4 9 43 951 7 23 113 2,407
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 4 8 43 576 9 24 106 1,391
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 1 3 21 269 1 5 46 605
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 1 14 191 0 9 43 487
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 1 3 25 353 1 3 45 705
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 7 27 301 3 10 48 619
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 1 2 17 228 3 5 31 596
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 5 198 0 0 11 495
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 4 9 41 817 6 26 133 2,396
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 1 2 18 210 1 2 29 462
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 1 6 149 1 2 16 401
REMST: MATLAB function to remove trend and seasonal component using the moving average method 4 7 49 1,209 10 36 179 3,266
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 1 4 23 229 1 14 61 837
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 8 9 20 115 13 16 52 233
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 5 8 28 134 8 15 69 264
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 5 368 6 13 43 1,211
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 2 8 49 647 8 26 178 2,201
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 1 5 17 495 2 6 40 1,156
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 2 6 29 88 2 6 63 163
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 8 275 1 6 42 568
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 2 8 16 580 13 33 102 1,674
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 1 6 273 1 3 21 726
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 3 6 15 352 5 10 34 830
STABLERND: MATLAB function to generate random numbers from the stable distribution 2 4 17 498 5 14 66 1,325
STF2HES: MATLAB functions for "FX smile in the Heston model" 4 7 15 223 6 13 35 609
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 1 3 120 0 1 13 422
The World According to Spinson (WAS): Standalone application for simulating agent-based models 3 5 11 111 3 15 39 338
Total Software Items 190 518 2,234 27,307 472 1,424 5,989 73,083

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Statistics updated 2019-09-09