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 1 2 2 129
A note on averaging day-ahead electricity price forecasts across calibration windows 0 2 17 154 0 4 27 241
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 113 1 4 9 284
A review of electricity price forecasting: The past, the present and the future 0 0 2 243 0 1 6 332
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 0 0 1 177
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 0 0 254
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 17 0 1 4 132
A simple model of price formation 0 0 0 33 1 1 3 121
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 1 165 1 2 5 380
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 0 2 2 408
An introduction to simulation of risk processes 0 0 2 48 0 1 3 212
Analysis of ROBECO data by neural networks 0 0 0 8 0 1 2 81
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 2 160 0 1 4 321
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 17 2 3 5 43
Balancing RES generation: Profitability of an energy trader 0 0 1 73 1 3 11 143
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 4 76 0 0 6 116
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 0 0 248
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 0 1 2 128
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 114 0 1 3 395
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 0 1 2 177
Blackouts, risk, and fat-tailed distributions 0 0 1 200 0 0 1 593
Building Loss Models 0 0 0 319 1 1 1 1,428
Building Loss Models 0 0 0 25 0 2 2 171
Building loss models 0 0 0 7 0 0 0 46
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 0 35 0 0 3 48
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 1 74 0 1 6 144
Computationally intensive Value at Risk calculations 0 0 0 29 0 0 2 140
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 1 223 0 1 6 409
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 75 0 1 2 191
Convenience yields for CO2 emission allowance futures contracts 0 0 2 335 1 3 6 1,015
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 1 1 1 107 2 3 4 391
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 2 87 0 0 6 303
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 1 2 5 34 1 6 15 118
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 0 54 0 0 3 77
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 3 10 234 2 5 20 449
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 1 1 1 55 1 3 4 169
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 0 1 2 154
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 2 186 0 1 6 437
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 1 1 76
Distributional neural networks for electricity price forecasting 0 1 1 33 0 2 9 55
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 371 1 4 6 847
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 1 175 0 0 5 345
Efficient forecasting of electricity spot prices with expert and LASSO models 0 1 1 52 1 3 5 86
Electricity Price Forecasting: The Dawn of Machine Learning 1 2 10 170 3 7 26 338
Electricity price forecasting 2 3 5 153 2 4 13 326
Electricity price forecasting 5 6 11 530 5 9 37 1,621
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 2 15 363 3 10 44 850
Energy forecasting: A review and outlook 0 1 3 299 0 1 4 787
Energy price risk management 0 0 1 60 0 1 4 224
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 2 8 50 4 11 23 114
Estimating long range dependence: finite sample properties and confidence intervals 0 0 2 90 0 1 6 338
Evaluating the performance of VaR models in energy markets 0 0 0 150 0 1 1 231
Evolution in a changing environment 0 0 0 13 1 2 2 114
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 4 20 71 71 10 34 107 107
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 1 4 1,271 1 3 13 2,491
FX Smile in the Heston Model 0 0 1 34 0 1 5 189
FX Smile in the Heston Model 0 0 0 57 1 1 2 204
FX Smile in the Heston Model 0 0 0 143 0 0 15 448
FX smile in the Heston model 0 1 1 100 2 3 3 304
Forecasting Electricity Prices 3 3 10 45 6 9 30 94
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 1 38 1 2 2 74
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 0 115 1 3 4 185
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 1 2 3 362
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 0 229 0 1 3 572
Forecasting the occurrence of electricity price spikes in the UK power market 0 1 4 221 0 4 12 463
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 1 2 2 302
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 3 139 1 5 13 274
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 0 3 241
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 1 55 2 2 3 158
Habitat momentum 0 0 0 7 0 1 1 65
Heavy tails and electricity prices 1 1 2 32 2 3 7 166
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 0 0 1 506
Heavy-tailed distributions in VaR calculations 2 2 3 322 2 3 9 894
Heavy-tails and regime-switching in electricity prices 0 0 0 78 2 2 5 171
How effective is advertising in duopoly markets? 0 0 0 9 0 0 2 78
How effective is advertising in duopoly markets? 0 0 0 285 0 0 0 1,048
Hurst analysis of electricity price dynamics 0 0 1 63 2 4 5 198
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 0 120 0 0 1 223
Impact of social interactions on demand curves for innovative products 0 0 0 69 0 1 2 101
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 1 1 5 167 2 3 7 315
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 0 3 53 0 0 5 112
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 234 0 2 2 441
Inference for Markov-regime switching models of electricity spot prices 0 0 6 224 1 5 17 494
Interval forecasting of spot electricity prices 0 0 0 31 1 2 2 120
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 0 30
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 0 1 8 543
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 1 621 0 0 5 1,457
Loss Distributions 0 0 10 180 0 3 25 528
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 8 12 46 46 9 14 84 84
Market price of risk implied by Asian-style electricity options 0 0 0 629 0 0 2 1,424
Measuring long-range dependence in electricity prices 0 0 0 50 0 0 1 132
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 2 139 1 2 4 233
Modeling and forecasting electricity loads: A comparison 0 0 0 1,265 0 1 1 2,854
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 0 151 0 2 8 329
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 1 1 183
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 2 3 80 0 3 7 205
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 1 1 195
Modeling electricity prices with regime switching models 0 0 1 1,032 0 0 4 1,887
Modeling electricity prices: jump diffusion and regime switching 0 0 1 221 0 1 4 607
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 1 3 10 689 2 4 17 1,266
Modeling the risk process in the XploRe computing environment 0 0 0 131 2 2 2 362
Modeling the risk process in the XploRe computing environment 0 0 0 2 1 1 4 56
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 0 0 4 247
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 1 6 205 0 2 11 472
Models for Heavy-tailed Asset Returns 0 0 1 201 1 1 4 454
Models for Heavy-tailed Asset Returns 0 0 1 40 2 3 5 198
Models for heavy-tailed asset returns 0 0 0 70 0 0 1 208
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 1 3 52 2 4 19 121
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 43 0 0 5 65
On detecting and modeling periodic correlation in financial data 0 0 0 280 0 0 0 633
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 1 1 2 116 4 5 10 207
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 2 131 0 2 4 280
Origins of scaling in FX markets 0 0 0 35 0 0 0 153
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 1 1 125
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 55 1 4 6 202
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 1 1 25 0 1 1 106
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 1 2 242 1 3 5 685
Performance of the estimators of stable law parameters 0 0 0 31 0 1 5 134
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 1 199 0 0 1 648
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 11 11 1 5 21 21
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 1 13 0 2 3 129
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 0 1 2 135
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 1 4 247
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 6 157 1 5 16 300
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 2 9 279 1 7 24 597
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 0 183 0 2 5 358
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 1 2 9 511 2 7 22 1,076
Property insurance loss distributions 0 0 1 110 0 1 4 439
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 1 10 435 1 4 25 915
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 1 2 287
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 0 8 159 1 3 20 198
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 398 0 3 7 394
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 1 3 99
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 1 1 2 123
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 2 3 4 588
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 2 2 112
Selection of calibration windows for day-ahead electricity price forecasting 0 0 3 71 1 2 9 104
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 1 1 7 158 1 2 11 313
Short-term electricity price forecasting with time series models: A review and evaluation 1 2 16 498 3 8 43 1,294
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 0 59 1 3 5 146
Simulation of Risk Processes 0 0 0 97 0 0 1 298
Simulation of risk processes 0 0 0 27 0 0 3 140
Stable distributions 0 0 1 237 0 2 6 466
Structure and stylized facts of a deregulated power market 0 0 0 109 0 0 0 375
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 1 4 323 1 5 8 1,381
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 1 2 3 86
To combine or not to combine? Recent trends in electricity price forecasting 1 2 7 188 2 6 15 359
Trading on short-term path forecasts of intraday electricity prices 1 5 19 145 2 8 33 263
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 3 7 34 78 9 17 85 150
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 1 2 215
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 0 46 0 2 4 178
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 5 193 2 4 13 341
Variance stabilizing transformations for electricity spot price forecasting 3 3 8 195 5 9 21 739
Visualization tools for insurance risk processes 0 0 0 30 0 2 6 171
Total Working Papers 48 109 490 24,066 139 397 1,352 58,906

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SIMPLE MODEL OF PRICE FORMATION 0 0 0 2 0 0 0 16
A conditionally exponential decay approach to scaling in finance 0 0 0 6 1 1 2 41
A new model of mass extinctions 0 0 0 2 0 0 0 23
A note on using the Hodrick–Prescott filter in electricity markets 0 2 2 35 1 3 5 121
An empirical comparison of alternate regime-switching models for electricity spot prices 0 0 6 96 1 2 11 287
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 0 4 56 2 5 14 184
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 2 20 0 0 4 93
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 1 2 3 38
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 0 0 1 39
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 0 0 2 27
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 31 1 1 3 111
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 1 3 6 2 3 17 29
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 31 0 1 7 99
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 1 12 0 1 4 47
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 1 2 21
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 1 5 48 3 4 17 163
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 1 1 1 14 1 1 3 70
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 1 1 5 0 1 1 12
Distributional neural networks for electricity price forecasting 1 3 10 14 2 4 28 45
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 0 1 48
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 3 64 0 0 4 153
Electricity price forecasting: A review of the state-of-the-art with a look into the future 2 3 20 143 6 13 54 476
Energy price risk management 0 0 0 9 2 3 5 64
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 1 42 1 1 12 156
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 2 14 3 7 17 65
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 0 2 57
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 3 201 1 2 12 551
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 1 31 0 1 4 104
Heavy-tails and regime-switching in electricity prices 0 0 0 12 1 1 2 66
How effective is advertising in duopoly markets? 0 1 1 4 0 1 3 49
Hurst analysis of electricity price dynamics 0 0 1 17 0 1 3 50
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 4 144 1 1 15 476
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 16
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 0 1 4 87
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 1 7
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 0 0 1 27
Market price of risk implied by Asian-style electricity options and futures 0 0 1 108 1 2 6 290
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 1 1 2 40
Modeling electricity prices: jump diffusion and regime switching 1 1 6 47 1 3 15 138
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 2 96
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 3 3 7 13 5 7 26 58
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 4 4 11 273 4 8 25 562
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 2 3 3 32 3 6 10 119
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 2 18 1 2 9 56
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 3 18 2 2 10 59
Operational Research: methods and applications 0 1 1 1 1 2 4 4
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 2 34
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 1 2 6 202 1 2 11 564
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 0 6 18 0 0 13 65
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 2 17 2 3 6 57
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 3 49 0 1 15 163
Property insurance loss distributions 1 2 2 21 1 2 4 105
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 3 27 198 5 17 95 621
Regularized quantile regression averaging for probabilistic electricity price forecasting 2 2 7 33 5 7 22 79
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 2 3 10 66 7 9 22 255
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 4 70 1 1 6 199
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 1 17
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 2 0 1 3 36
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 1 3 43
Trading on short-term path forecasts of intraday electricity prices 1 3 19 51 4 11 51 143
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 2 51 2 3 6 180
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 4 29 1 2 11 110
Total Journal Articles 25 43 200 2,511 78 155 646 8,066

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 1 9 454 5 8 48 1,626
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 3 10 68 1,289 7 23 129 3,028
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 1 1 5 127 1 2 11 449
Total Books 5 12 82 1,870 13 33 188 5,103

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 1 5
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 0 2 9 0 0 4 22
Total Chapters 0 0 2 9 1 1 5 32

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 2 6 23 949 2 11 47 2,084
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 1 3 12 1,075 2 4 26 2,670
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 4 197 2 4 11 560
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 163 1 1 5 605
COR: MATLAB function to compute the correlation coefficients 0 0 2 819 0 2 53 6,803
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 4 1,667 1 1 12 4,571
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 1 8 480 2 3 23 1,002
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 2 6 37 2,961 4 15 86 7,776
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 1 27 2 2 9 83
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 3 4 21 133 3 7 54 385
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 2 6 18 310 2 10 43 692
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 13 181 1 6 35 525
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 2 8 26 137 5 25 111 635
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 1 1 3 178 1 2 13 725
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 1 5 179 0 2 13 523
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 1 236 1 1 7 899
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 1 2 11 849 1 4 23 2,083
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 2 318 1 2 5 697
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 1 1 407
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 4 184 0 0 8 550
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 1 2 104 0 2 3 381
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 1 380 0 0 7 1,122
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 5 9 53 1,065 7 19 130 3,128
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 3 12 116 5,572 13 40 305 13,838
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 1 219 1 1 4 491
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 0 169 0 3 11 392
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 3 213 0 0 7 425
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 0 241 0 0 3 528
MFE Toolbox ver. 1.0.1 for MATLAB 1 2 10 1,270 1 4 26 3,104
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 3 3 21 1,631 7 14 75 3,801
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 265 0 0 6 722
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 1 1 3 1,039 1 2 11 2,685
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 1 1 2 642 2 2 12 1,579
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 1 4 306 1 2 9 697
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 234 0 1 5 585
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 1 1 4 432 1 3 14 905
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 1 5 363 1 1 8 731
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 4 273 0 0 8 682
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 2 9 15 3 4 22 37
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 2 213 0 0 2 544
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 1 9 936 0 2 22 2,819
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 2 256 1 1 4 540
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 1 2 181 0 1 4 461
REMST: MATLAB function to remove trend and seasonal component using the moving average method 1 1 2 1,290 2 3 11 3,616
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 1 1 2 272 1 1 6 1,041
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 0 8 377
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 1 2 7 260 1 3 16 474
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 2 401 1 1 12 1,375
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 1 4 777 0 2 16 2,825
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 0 2 1,199
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 0 1 146 0 0 4 281
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 1 1 2 365 1 3 5 761
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 1 624 0 0 4 1,930
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 1 1 3 359 3 3 8 919
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 3 420 0 0 12 1,012
STABLERND: MATLAB function to generate random numbers from the stable distribution 1 1 3 563 1 4 15 1,549
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 1 239 0 0 4 662
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 2 132 0 0 13 481
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 0 133 0 1 7 465
Total Software Items 39 86 484 33,873 80 226 1,426 93,439

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Statistics updated 2025-03-03