Access Statistics for Rafał Weron

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new method for automated noise cancellation in electromagnetic field measurement 0 0 0 21 4 4 14 146
A note on averaging day-ahead electricity price forecasts across calibration windows 0 2 11 170 10 16 47 296
A note on using the Hodrick-Prescott filter in electricity markets 0 0 0 114 1 2 15 306
A review of electricity price forecasting: The past, the present and the future 1 1 2 247 6 12 30 367
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 1 8 263
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 3 3 22 202
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 18 3 3 8 143
A simple model of price formation 0 0 0 33 1 1 14 140
An empirical comparison of alternate regime-switching models or electricity spot prices 1 1 1 166 1 1 15 398
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 3 7 23 431
An introduction to simulation of risk processes 0 0 0 50 2 3 12 227
Analysis of ROBECO data by neural networks 0 0 0 8 4 4 11 93
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 1 3 164 2 7 31 358
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 19 3 4 19 65
Balancing RES generation: Profitability of an energy trader 0 1 1 74 2 4 14 162
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 1 1 81 3 6 27 158
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 0 5 256
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 2 3 15 147
Black swans or dragon kings? A simple test for deviations from the power law 0 1 1 70 1 2 9 188
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 115 0 1 11 412
Blackouts, risk, and fat-tailed distributions 0 0 0 200 0 0 7 603
Building Loss Models 0 0 0 319 2 2 12 1,443
Building Loss Models 0 0 0 25 4 4 12 184
Building loss models 0 0 0 7 5 7 14 64
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 0 37 3 5 15 66
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 3 4 18 164
Computationally intensive Value at Risk calculations 0 0 0 29 0 3 19 159
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 0 226 4 7 20 440
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 1 76 4 9 35 228
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 3 3 10 1,026
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 0 107 2 2 12 405
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 2 92 2 3 30 354
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 1 1 3 21 2 3 29 73
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 1 1 5 39 5 5 30 153
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 3 60 0 0 14 98
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 3 12 251 5 12 53 519
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 2 57 2 2 12 184
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 2 4 27 183
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 2 4 27 472
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 4 4 15 92
Distributional neural networks for electricity price forecasting 0 0 3 39 1 3 23 85
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 372 4 5 25 874
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 2 177 2 3 20 369
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 53 4 6 23 113
Electricity Price Forecasting: The Dawn of Machine Learning 0 1 9 181 3 6 29 372
Electricity price forecasting 0 1 3 158 2 3 19 354
Electricity price forecasting 0 2 11 550 5 12 67 1,704
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 3 25 399 18 42 142 1,031
Energy forecasting: A review and outlook 0 0 0 300 4 4 15 816
Energy price risk management 0 0 0 60 1 4 18 244
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 0 4 56 1 3 30 155
Estimating long range dependence: finite sample properties and confidence intervals 0 0 0 91 0 1 15 357
Evaluating the performance of VaR models in energy markets 1 1 1 152 4 5 21 253
Evolution in a changing environment 0 0 0 13 2 3 13 129
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 6 92 2 2 32 168
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 1 1,273 2 2 21 2,517
FX Smile in the Heston Model 0 0 2 145 2 3 27 478
FX Smile in the Heston Model 0 0 0 34 2 5 20 212
FX Smile in the Heston Model 0 0 1 58 1 2 13 217
FX smile in the Heston model 0 0 0 100 3 6 17 323
Forecasting Electricity Prices 0 4 13 65 2 19 132 247
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 4 43 4 7 37 116
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 0 116 1 6 24 210
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 1 2 179 2 4 23 387
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 0 231 2 3 27 603
Forecasting the occurrence of electricity price spikes in the UK power market 0 0 3 227 4 9 23 490
Forecasting wholesale electricity prices: A review of time series models 0 1 1 128 2 5 21 324
From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS 5 15 104 104 21 42 178 178
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 2 4 19 298
Goodness-of-fit testing for regime-switching models 0 0 0 140 2 3 9 254
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 4 5 16 175
Habitat momentum 0 0 0 7 3 3 15 80
Heavy tails and electricity prices 1 1 2 35 2 4 18 187
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 2 3 21 529
Heavy-tailed distributions in VaR calculations 0 0 1 323 3 5 23 926
Heavy-tails and regime-switching in electricity prices 0 0 1 80 1 1 19 197
How effective is advertising in duopoly markets? 0 0 0 285 1 2 18 1,066
How effective is advertising in duopoly markets? 0 0 0 9 2 3 9 89
Hurst analysis of electricity price dynamics 0 0 0 63 4 5 15 217
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 0 121 1 2 12 242
Impact of social interactions on demand curves for innovative products 0 0 0 70 6 7 16 120
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 0 2 172 2 2 19 342
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 0 1 56 2 6 25 143
Improving short term load forecast accuracy via combining sister forecasts 1 1 1 236 1 2 18 460
Inference for Markov-regime switching models of electricity spot prices 0 0 2 226 3 4 31 526
Interval forecasting of spot electricity prices 0 0 0 31 1 1 12 135
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 3 3 11 42
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 1 1 1 622 3 4 16 1,476
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 3 3 17 565
Loss Distributions 0 0 0 181 2 3 18 551
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 2 6 13 98 4 9 44 192
Market price of risk implied by Asian-style electricity options 0 0 1 630 3 3 25 1,450
Measuring long-range dependence in electricity prices 0 0 0 50 0 0 5 140
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 0 142 3 4 17 259
Modeling and forecasting electricity loads: A comparison 0 0 1 1,266 2 2 16 2,874
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 1 155 4 4 22 355
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 4 4 14 198
Modeling consumer opinions towards dynamic pricing: An agent-based approach 1 1 1 81 3 4 15 222
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 0 8 205
Modeling electricity prices with regime switching models 0 0 2 1,035 2 2 24 1,913
Modeling electricity prices: jump diffusion and regime switching 0 0 1 222 1 2 20 627
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 1 1 15 214
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 1 2 692 0 4 21 1,293
Modeling the risk process in the XploRe computing environment 0 0 0 131 1 1 10 373
Modeling the risk process in the XploRe computing environment 0 0 0 2 2 3 12 68
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 3 5 15 266
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 0 8 216 5 9 34 515
Models for Heavy-tailed Asset Returns 0 0 3 204 1 2 21 478
Models for Heavy-tailed Asset Returns 0 0 2 42 1 1 22 224
Models for heavy-tailed asset returns 0 0 3 74 6 6 25 236
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 2 54 0 3 44 175
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 45 2 3 28 98
On detecting and modeling periodic correlation in financial data 0 0 0 280 4 4 11 646
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 1 118 6 7 16 227
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 0 133 1 2 20 303
Origins of scaling in FX markets 0 0 0 35 1 1 8 165
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 1 1 10 138
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 56 4 4 14 218
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 2 3 5 112
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 3 3 24 711
Performance of the estimators of stable law parameters 0 0 2 33 4 4 9 146
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 1 4 15 666
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 1 2 5 41 6 9 41 124
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 2 16 3 4 14 42
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 1 14 1 2 5 134
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 2 3 8 144
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 1 1 50 1 5 19 266
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 3 161 3 4 36 342
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 3 4 286 1 6 29 633
Probabilistic intraday electricity price forecasting using generative machine learning 0 0 3 21 2 2 22 27
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 2 186 3 4 26 389
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 2 2 6 521 5 9 43 1,130
Property insurance loss distributions 0 0 1 111 3 3 12 452
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 5 11 449 8 20 50 973
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 3 121 4 4 21 309
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 3 5 166 3 7 59 267
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 3 401 0 4 41 438
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 3 4 24 124
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 1 1 1 66 3 4 15 139
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 2 4 18 607
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 4 4 17 131
Selection of calibration windows for day-ahead electricity price forecasting 0 0 1 74 4 9 30 141
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 0 160 5 7 16 335
Short-term electricity price forecasting with time series models: A review and evaluation 0 0 11 518 5 7 39 1,353
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 0 60 2 4 19 174
Simulation of Risk Processes 0 0 0 98 0 2 19 320
Simulation of risk processes 0 0 0 27 3 5 13 156
Stable distributions 0 0 0 238 1 3 21 489
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 1 1 1 6 3 5 19 21
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 0 5 14 1 4 18 25
Structure and stylized facts of a deregulated power market 0 0 1 111 3 3 16 392
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 1 5 330 1 2 35 1,422
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 1 1 2 34 3 4 17 104
To combine or not to combine? Recent trends in electricity price forecasting 0 0 2 192 1 2 18 385
Trading on short-term path forecasts of intraday electricity prices 1 2 5 156 7 11 48 337
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 0 3 17 112 9 13 47 232
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 1 98 4 4 15 230
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 1 48 2 3 13 192
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 4 200 9 11 32 377
Variance stabilizing transformations for electricity spot price forecasting 2 3 9 209 7 13 58 811
Visualization tools for insurance risk processes 0 0 0 30 2 2 12 184
Total Working Papers 28 83 417 24,802 463 778 3,787 63,672

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 1 2 10 28
A conditionally exponential decay approach to scaling in finance 0 0 0 6 3 3 8 50
A new model of mass extinctions 0 0 0 2 1 2 10 34
A note on using the Hodrick–Prescott filter in electricity markets 0 0 0 37 3 4 21 144
A semiparametric factor model for electricity forward curve dynamics 0 0 1 1 2 2 16 24
An empirical comparison of alternate regime-switching models for electricity spot prices 1 3 10 112 7 14 54 356
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 2 5 64 3 6 29 223
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 1 21 1 2 36 130
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 2 3 18 58
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 2 4 16 60
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 3 5 22 52
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 32 1 1 15 130
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 1 9 0 3 19 54
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 1 35 2 7 27 139
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 2 4 17 3 9 28 78
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 4 5 13 37
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 4 55 4 7 42 214
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 15 4 5 25 101
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 5 3 4 11 24
Distributional neural networks for electricity price forecasting 0 1 3 20 6 9 50 106
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 2 3 11 61
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 1 1 2 66 3 4 22 178
Electricity price forecasting: A review of the state-of-the-art with a look into the future 3 12 48 202 16 56 241 762
Energy price risk management 0 0 0 9 0 0 12 78
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 3 48 9 13 29 194
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 2 4 25 30
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 5 14 30 11 24 110 186
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 0 13 73
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 1 2 3 204 4 6 27 585
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 1 2 11 116
Heavy-tails and regime-switching in electricity prices 0 0 0 12 3 3 11 79
How effective is advertising in duopoly markets? 0 0 0 4 2 3 23 73
Hurst analysis of electricity price dynamics 0 0 1 18 1 2 8 62
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 3 5 6 152 7 13 40 522
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 1 3 10 27
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 4 6 15 103
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 1 1 4 12
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 1 3 1 1 10 37
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 0 2 4 4 6 32 35
Market price of risk implied by Asian-style electricity options and futures 1 1 2 111 3 3 19 312
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 3 3 8 48
Modeling electricity prices: jump diffusion and regime switching 0 0 4 53 2 4 26 169
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 1 1 11 107
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 1 1 2 22 5 9 54 134
On detecting and modeling periodic correlation in financial data 0 1 1 13 1 2 11 66
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 0 4 283 3 4 39 633
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 3 37 6 7 26 155
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 1 1 20 0 2 15 76
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 2 20 2 2 21 85
Operational Research: methods and applications 0 0 0 1 3 3 18 25
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 1 1 4 38
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 0 203 2 4 24 591
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 1 1 6 25 3 4 41 113
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 0 3 1 2 30 41
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 2 20 1 3 37 103
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 7 60 4 8 70 245
Property insurance loss distributions 0 0 1 23 4 4 12 119
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 6 24 234 19 37 134 810
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 0 9 50 2 4 71 175
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 70 0 3 25 288
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 72 2 3 21 226
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 2 2 14 32
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 2 5 3 4 11 48
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 2 2 13 57
Trading on short-term path forecasts of intraday electricity prices 2 3 7 67 5 14 57 238
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 1 55 0 0 14 204
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 2 33 5 6 38 157
Total Journal Articles 16 47 194 2,817 212 388 1,988 10,550

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 0 5 461 2 3 31 1,672
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 10 20 81 1,409 15 38 262 3,365
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 1 1 130 2 4 15 469
Statistical Tools for Finance and Insurance 0 0 0 0 4 6 18 18
Total Books 10 21 87 2,000 23 51 326 5,524

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 2 8 15
Building loss models 0 0 0 0 2 2 9 9
FX smile in the Heston model 0 0 0 0 1 1 4 4
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 0 1 6
Heston's Model and the Smile 0 0 0 0 6 6 11 11
Loss Distributions 0 0 0 0 4 4 15 15
Modeling of the Risk Process 0 0 0 0 1 1 3 3
Models for heavy-tailed asset returns 0 0 0 0 4 6 8 8
Stable Distributions 0 0 0 0 2 2 8 8
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 1 11 0 1 12 37
Total Chapters 0 0 1 11 21 25 79 116

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 0 4 962 3 5 39 2,139
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 1 1 3 1,081 2 2 22 2,700
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 1 202 2 2 17 583
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 0 164 4 5 15 629
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 2 7 29 6,835
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 0 1,669 1 2 9 4,585
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 1 484 3 67 83 1,093
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 0 0 6 2,977 3 3 84 7,906
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 31 1 2 25 118
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 0 5 143 1 4 26 431
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 0 6 321 2 2 17 742
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 0 5 194 1 3 19 557
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 2 4 19 166 4 11 93 786
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 179 2 2 23 760
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 2 182 2 3 15 545
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 0 0 7 908
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 1 2 858 1 3 21 2,129
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 0 0 6 706
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 3 3 11 418
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 0 185 3 3 10 566
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 1 1 105 1 2 13 399
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 2 2 7 1,130
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 1 1 4 1,080 4 5 37 3,199
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 1 1 16 5,629 7 16 96 14,027
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 4 5 14 506
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 0 170 2 2 14 411
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 0 214 2 3 9 435
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 1 243 1 2 14 543
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 0 1,273 2 2 16 3,129
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 0 1 1,639 3 4 34 3,880
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 266 3 5 13 738
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 1,041 3 5 14 2,705
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 643 1 2 14 1,594
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 0 307 1 2 12 710
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 0 235 1 1 10 597
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 7 440 0 56 75 983
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 2 369 1 2 15 765
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 1 274 1 2 14 698
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 1 5 25 3 4 25 78
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 214 1 1 10 555
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 1 939 1 2 12 2,837
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 1 258 1 2 10 554
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 3 184 1 3 15 477
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,291 3 4 15 3,637
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 0 272 1 1 14 1,058
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 0 2 177 1 1 8 387
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 0 0 263 1 1 8 487
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 403 3 3 11 1,394
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 0 1 14 2,846
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 2 3 12 1,216
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 0 2 148 2 3 14 298
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 1 367 2 3 16 778
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 0 625 2 4 16 1,952
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 0 359 3 3 19 941
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 3 424 0 0 13 1,030
STABLERND: MATLAB function to generate random numbers from the stable distribution 1 2 3 569 2 5 20 1,582
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 1 2 8 671
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 2 3 13 497
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 0 135 0 58 70 541
Total Software Items 7 12 117 34,154 111 354 1,335 95,401

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Statistics updated 2026-11-12