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 1 21 3 3 10 118
A note on averaging day-ahead electricity price forecasts across calibration windows 5 10 36 85 8 15 72 119
A note on using the Hodrick-Prescott filter in electricity markets 1 3 5 101 3 7 26 224
A review of electricity price forecasting: The past, the present and the future 0 0 5 232 2 3 12 284
A semiparametric factor model for electricity forward curve dynamics 0 0 0 68 1 2 6 170
A semiparametric factor model for electricity forward curve dynamics 0 0 1 96 1 1 5 229
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 1 1 14 0 2 6 109
A simple model of price formation 0 0 1 30 0 0 5 104
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 4 163 2 4 10 366
An empirical comparison of alternate schemes for combining electricity spot price forecasts 1 2 5 149 5 12 26 345
An introduction to simulation of risk processes 0 0 0 35 1 3 11 180
Analysis of ROBECO data by neural networks 0 0 1 6 2 2 8 68
Automated variable selection and shrinkage for day-ahead electricity price forecasting 2 5 15 117 6 15 63 219
Balancing RES generation: Profitability of an energy trader 8 38 38 38 14 32 32 32
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 28 0 2 4 231
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 40 2 4 8 117
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 67 1 1 6 161
Black swans or dragon kings? A simple test for deviations from the power law 0 1 2 111 1 4 10 369
Blackouts, risk, and fat-tailed distributions 0 0 0 195 0 0 1 580
Building Loss Models 6 20 48 284 22 102 278 1,168
Building Loss Models 1 1 2 6 2 3 10 38
Building Loss Models 1 1 3 24 4 4 10 157
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 6 66 1 5 26 107
Computationally intensive Value at Risk calculations 1 1 1 25 2 2 5 122
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 3 4 11 205 6 9 34 349
Convenience Yields for CO2 Emission Allowance Futures Contracts 1 1 2 318 2 3 15 955
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 55 3 7 11 131
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 4 96 0 2 16 352
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 4 74 1 5 18 244
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 3 47 1 7 24 49
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 4 8 188 7 14 35 334
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 2 49 2 4 16 134
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 1 1 69 3 5 14 134
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 6 168 1 3 17 392
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 1 1 1 9 2 2 6 66
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 3 7 20 353 4 10 32 770
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 2 164 1 3 8 315
Efficient forecasting of electricity spot prices with expert and LASSO models 1 3 8 44 3 8 27 51
Electricity price forecasting 31 47 87 87 47 80 138 138
Electricity price forecasting 11 31 139 260 30 111 410 557
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 5 20 307 7 17 59 640
Energy price risk management 0 1 2 54 2 4 6 198
Estimating long range dependence: finite sample properties and confidence intervals 0 2 7 80 3 8 24 302
Evaluating the performance of VaR models in energy markets 0 2 7 144 3 13 40 208
Evolution in a changing environment 0 0 0 12 0 0 2 102
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 8 1,232 2 3 22 2,387
FX Smile in the Heston Model 0 0 0 55 1 4 9 188
FX Smile in the Heston Model 0 1 3 30 2 5 10 148
FX Smile in the Heston Model 1 1 1 95 3 5 12 273
FX Smile in the Heston Model 0 1 3 139 1 3 12 412
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 1 2 110 0 2 8 166
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 3 169 2 2 11 334
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 3 5 211 5 10 20 505
Forecasting the occurrence of electricity price spikes in the UK power market 0 2 17 173 5 14 62 354
Forecasting wholesale electricity prices: A review of time series models 0 0 3 124 2 2 9 291
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 1 129 1 6 11 216
Goodness-of-fit testing for regime-switching models 0 0 0 136 1 2 8 221
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 52 3 3 9 147
Habitat momentum 0 0 1 6 3 6 20 47
Heavy tails and electricity prices 0 0 1 21 1 3 9 123
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 1 2 223 2 5 9 493
Heavy-tailed distributions in VaR calculations 0 1 9 275 5 14 49 756
Heavy-tails and regime-switching in electricity prices 0 0 0 78 1 2 7 155
How effective is advertising in duopoly markets? 0 0 0 9 1 1 3 75
How effective is advertising in duopoly markets? 0 0 0 284 1 2 8 1,022
Hurst analysis of electricity price dynamics 0 0 3 49 1 4 13 163
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 115 4 4 14 206
Impact of social interactions on demand curves for innovative products 0 1 1 68 0 1 5 82
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 2 5 27 131 6 22 83 196
Improving short term load forecast accuracy via combining sister forecasts 2 7 14 219 6 13 46 370
Inference for Markov-regime switching models of electricity spot prices 0 0 6 197 4 7 28 420
Interval forecasting of spot electricity prices 0 0 1 30 1 2 6 95
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 2 5 101 3 7 22 483
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 614 2 2 17 1,427
Loss Distributions 0 0 0 157 2 3 15 437
Market price of risk implied by Asian-style electricity options 0 0 1 628 0 2 8 1,414
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 1 1 3 116 1 2 13 182
Modeling and forecasting electricity loads: A comparison 1 2 6 1,257 4 41 61 2,825
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 1 5 139 4 6 19 290
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 22 2 5 10 170
Modeling consumer opinions towards dynamic pricing: An agent-based approach 1 2 4 67 2 8 16 165
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 48 1 4 9 172
Modeling electricity prices with regime switching models 0 2 6 1,019 1 4 13 1,843
Modeling electricity prices: jump diffusion and regime switching 1 1 13 201 2 7 38 543
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 1 104 0 1 4 193
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 2 10 655 3 12 35 1,178
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 3 4 51
Modeling the risk process in the XploRe computing environment 0 0 0 131 2 4 8 350
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 1 2 44 1 3 9 235
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 3 12 149 3 8 34 321
Models for Heavy-tailed Asset Returns 0 1 1 65 0 1 8 179
Models for Heavy-tailed Asset Returns 0 1 2 35 2 5 12 154
Models for Heavy-tailed Asset Returns 0 1 6 194 4 5 19 365
On detecting and modeling periodic correlation in financial data 0 0 2 271 1 3 10 615
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 2 7 105 2 9 25 172
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 3 8 23 98 4 16 57 184
Origins of scaling in FX markets 0 0 0 34 1 1 2 143
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 1 1 3 113
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 22 1 2 3 88
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 53 2 2 5 183
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 3 215 2 5 15 609
Performance of the estimators of stable law parameters 0 0 2 23 0 2 8 108
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 1 192 1 1 8 634
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 12 1 2 9 109
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 1 1 16 2 3 8 128
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 48 2 3 5 230
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 4 12 35 91 7 28 97 150
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 2 4 17 232 9 22 64 445
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 1 1 8 168 3 6 30 274
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 4 6 20 441 8 13 52 886
Property insurance loss distributions 2 4 8 98 4 8 24 405
Recent advances in electricity price forecasting: A review of probabilistic forecasting 4 12 48 355 9 22 141 723
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 2 118 2 3 7 280
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 38 66 66 66 10 16 16 16
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 1 4 7 388 2 7 15 343
Rewiring the network. What helps an innovation to diffuse? 0 0 3 111 2 3 9 83
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 64 3 4 8 115
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 8 247 1 11 28 519
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 4 8 95
Selection of calibration windows for day-ahead electricity price forecasting 2 4 10 52 3 9 28 50
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 2 4 12 113 5 12 34 202
Short-term electricity price forecasting with time series models: A review and evaluation 3 10 41 335 10 30 123 884
Simulation of Risk Processes 0 0 0 95 1 1 13 286
Simulation of risk processes 0 0 0 24 1 1 14 123
Stable Distributions 0 1 5 220 0 3 20 394
Structure and stylized facts of a deregulated power market 1 1 2 107 2 3 12 357
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 6 16 50 183 35 85 202 655
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 2 28 3 5 15 55
To combine or not to combine? Recent trends in electricity price forecasting 3 5 20 142 7 18 54 221
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 3 97 6 12 23 195
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 1 39 2 7 22 132
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 2 10 81 134 13 39 165 217
Variance stabilizing transformations for electricity spot price forecasting 2 5 18 134 10 42 77 398
Visualization tools for insurance risk processes 0 0 0 25 1 1 7 128
Total Working Papers 169 413 1,206 20,153 494 1,288 3,947 46,915


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 5 7
A conditionally exponential decay approach to scaling in finance 0 0 0 6 1 2 5 26
A new model of mass extinctions 0 0 0 2 0 0 2 22
A note on using the Hodrick–Prescott filter in electricity markets 0 0 3 29 1 2 13 97
An empirical comparison of alternate regime-switching models for electricity spot prices 1 1 5 65 5 5 22 217
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 0 3 34 4 6 17 115
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 1 1 4 14 3 6 15 66
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 1 1 3 6 9 9
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 0 3 3 3 3
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 4 4 2 5 15 15
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 18 1 2 15 56
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 0 3 2 5 10 21
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 0 1 2 7 12
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 2 10 14 2 6 26 47
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 8 2 2 15 48
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 1 1 1 3 3
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 2 5 1 2 14 30
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 54 2 3 7 131
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 2 8 74 8 14 40 207
Energy price risk management 0 0 2 7 5 7 12 46
Estimating long-range dependence: finite sample properties and confidence intervals 0 1 4 23 2 6 18 78
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 1 1 10 1 4 9 47
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 3 10 144 2 9 34 407
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 25 0 2 6 84
Heavy-tails and regime-switching in electricity prices 0 0 1 7 1 5 12 44
How effective is advertising in duopoly markets? 0 0 0 3 1 1 3 40
Hurst analysis of electricity price dynamics 0 0 1 11 0 0 7 35
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 109 1 3 12 365
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 15 0 1 10 58
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 0 0
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 1 1 3 15
Market price of risk implied by Asian-style electricity options and futures 0 1 6 99 3 14 25 264
Modeling electricity loads in California: a continuous-time approach 0 0 0 10 0 1 3 33
Modeling electricity prices: jump diffusion and regime switching 0 1 4 27 2 3 15 83
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 30 0 0 1 82
On detecting and modeling periodic correlation in financial data 0 0 1 10 3 5 11 47
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 2 12 216 1 3 23 453
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 3 19 1 3 15 75
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 1 1 1 1 2 2 2 2
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 2 4 4 3 11 15 15
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 2 2 8 30
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 3 165 5 7 27 473
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 4 27 1 4 14 90
Property insurance loss distributions 0 0 0 10 0 2 9 58
Recent advances in electricity price forecasting: A review of probabilistic forecasting 4 7 22 36 10 19 78 129
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 1 2 30 2 5 20 157
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 1 60 1 3 11 170
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 1 1 3 16
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 1 1 1 2 12 21
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 1 2 2 6 14 20
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 2 2 4 38 3 6 19 137
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 0 0 3 3 3 3
Total Journal Articles 10 30 135 1,480 102 214 697 4,709


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 9 34 244 6 22 99 950
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 4 19 73 956 14 46 166 2,218
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 3 3 8 103 5 8 27 379
Total Books 9 31 115 1,303 25 76 292 3,547


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 11 23 93 692 19 46 186 1,509
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 5 5 39 992 8 16 95 2,459
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 1 11 168 1 7 27 481
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 1 1 13 149 6 15 39 487
COR: MATLAB function to compute the correlation coefficients 2 8 29 770 66 191 556 6,090
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 5 18 68 1,497 20 55 255 3,990
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 4 9 31 412 8 20 79 801
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 15 47 234 2,440 45 148 606 6,245
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 16 72 92 10 45 162 212
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 7 55 73 8 28 146 199
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 2 3 6 157 3 8 32 644
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 1 3 21 95 10 28 75 237
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 2 7 216 2 12 46 799
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 7 17 58 702 10 32 117 1,762
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 3 305 4 13 22 669
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 2 140 1 3 7 392
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 174 2 5 7 519
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 1 98 2 3 7 358
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 3 5 332 2 10 33 968
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 23 56 207 509 61 186 630 1,443
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 30 91 471 4,396 82 253 1,133 10,479
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 1 13 199 1 8 32 447
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods 0 2 11 149 3 13 31 320
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods 1 4 18 180 5 14 35 351
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 11 218 0 1 20 469
MFE Toolbox ver. 1.0.1 for MATLAB 4 12 45 1,133 12 41 137 2,591
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 6 24 75 1,416 15 54 181 3,220
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 4 247 3 4 20 670
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 3 11 39 969 10 35 117 2,465
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 4 6 34 588 9 23 93 1,423
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 13 272 1 2 27 610
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 1 1 11 195 4 7 37 501
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 3 4 26 365 5 10 40 725
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 2 20 307 3 7 39 633
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 1 1 10 231 2 5 22 604
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 1 2 199 1 3 5 498
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 4 10 37 830 10 42 138 2,454
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 1 14 214 0 4 24 471
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 4 150 0 1 12 405
REMST: MATLAB function to remove trend and seasonal component using the moving average method 6 16 60 1,233 21 52 181 3,340
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 3 20 235 11 29 86 883
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 3 4 24 123 6 10 52 252
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 3 4 18 140 7 12 52 280
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 5 10 40 660 12 28 143 2,246
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 1 6 11 378 12 36 75 1,263
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 1 3 18 499 2 5 32 1,164
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 1 5 29 97 2 12 56 184
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 5 14 22 292 13 27 61 602
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 1 18 586 9 39 133 1,749
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 2 10 16 285 4 27 40 758
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 10 22 364 2 17 45 853
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 1 13 500 4 14 55 1,350
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 1 11 224 0 3 26 614
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 2 120 0 2 9 426
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 1 8 112 0 5 33 347
Total Software Items 163 479 2,146 28,119 559 1,716 6,349 75,911


Statistics updated 2020-02-04