Access Statistics for Rafał Weron

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A new method for automated noise cancellation in electromagnetic field measurement 0 0 0 21 0 2 10 142
A note on averaging day-ahead electricity price forecasts across calibration windows 1 6 11 168 3 12 33 280
A note on using the Hodrick-Prescott filter in electricity markets 0 0 0 114 0 3 17 304
A review of electricity price forecasting: The past, the present and the future 0 0 2 246 0 5 21 355
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 1 7 262
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 0 1 22 199
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 0 1 7 140
A simple model of price formation 0 0 0 33 0 2 16 139
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 1 3 17 397
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 0 4 16 424
An introduction to simulation of risk processes 0 0 2 50 0 1 12 224
Analysis of ROBECO data by neural networks 0 0 0 8 0 1 7 89
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 2 2 163 0 4 28 351
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 2 19 2 4 17 61
Balancing RES generation: Profitability of an energy trader 0 0 0 73 0 0 12 158
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 4 80 2 3 30 152
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 0 7 256
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 0 2 14 144
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 0 0 8 186
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 115 0 0 15 411
Blackouts, risk, and fat-tailed distributions 0 0 0 200 1 1 7 603
Building Loss Models 0 0 0 319 0 2 12 1,441
Building Loss Models 0 0 0 25 0 0 9 180
Building loss models 0 0 0 7 0 0 11 57
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 1 37 0 0 11 61
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 1 1 16 160
Computationally intensive Value at Risk calculations 0 0 0 29 0 0 16 156
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 226 1 3 20 433
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 1 76 0 1 27 219
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 1 3 8 1,023
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 0 107 1 2 11 403
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 2 92 0 2 31 351
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 1 5 20 0 5 31 70
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 1 4 38 0 2 29 148
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 5 60 0 1 20 98
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 2 10 248 1 7 49 507
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 1 2 57 0 1 13 182
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 1 3 23 179
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 0 2 25 468
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 0 11 88
Distributional neural networks for electricity price forecasting 0 1 5 39 0 5 24 82
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 372 2 2 22 869
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 1 1 2 177 1 1 20 366
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 53 1 1 20 107
Electricity Price Forecasting: The Dawn of Machine Learning 1 2 9 180 2 6 25 366
Electricity price forecasting 0 0 2 157 0 2 19 351
Electricity price forecasting 2 4 12 548 4 20 59 1,692
Electricity price forecasting: A review of the state-of-the-art with a look into the future 3 6 27 396 7 29 123 989
Energy forecasting: A review and outlook 0 0 0 300 0 0 21 812
Energy price risk management 0 0 0 60 0 1 15 240
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 2 5 56 4 10 31 152
Estimating long range dependence: finite sample properties and confidence intervals 0 0 0 91 0 1 16 356
Evaluating the performance of VaR models in energy markets 0 0 0 151 0 1 16 248
Evolution in a changing environment 0 0 0 13 0 0 11 126
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 14 92 3 9 49 166
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 1 1,273 0 1 20 2,515
FX Smile in the Heston Model 0 0 1 58 0 0 11 215
FX Smile in the Heston Model 0 0 0 34 0 2 18 207
FX Smile in the Heston Model 0 0 2 145 0 8 27 475
FX smile in the Heston model 0 0 0 100 0 1 12 317
Forecasting Electricity Prices 0 1 13 61 2 14 120 228
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 1 5 43 4 13 33 109
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 116 1 4 19 204
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 1 1 178 0 3 20 383
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 231 0 1 27 600
Forecasting the occurrence of electricity price spikes in the UK power market 0 0 4 227 0 3 15 481
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 0 1 16 319
From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS 10 48 89 89 19 94 136 136
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 0 1 16 294
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 0 8 251
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 0 1 12 170
Habitat momentum 0 0 0 7 0 2 12 77
Heavy tails and electricity prices 0 0 1 34 0 2 15 183
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 19 526
Heavy-tailed distributions in VaR calculations 0 1 1 323 0 4 26 921
Heavy-tails and regime-switching in electricity prices 1 1 1 80 1 5 21 196
How effective is advertising in duopoly markets? 0 0 0 285 0 1 16 1,064
How effective is advertising in duopoly markets? 0 0 0 9 0 0 6 86
Hurst analysis of electricity price dynamics 0 0 0 63 0 0 10 212
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 0 121 0 0 14 240
Impact of social interactions on demand curves for innovative products 0 0 1 70 0 0 11 113
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 0 4 172 0 1 21 340
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 0 2 56 0 4 22 137
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 235 0 1 17 458
Inference for Markov-regime switching models of electricity spot prices 1 1 2 226 2 5 28 522
Interval forecasting of spot electricity prices 0 0 0 31 0 3 14 134
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 8 39
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 1 4 14 1,472
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 0 1 14 562
Loss Distributions 0 0 0 181 1 3 17 548
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 2 15 92 2 9 47 183
Market price of risk implied by Asian-style electricity options 0 0 1 630 1 2 23 1,447
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 1 142 0 2 17 255
Modeling and forecasting electricity loads: A comparison 0 0 1 1,266 0 3 14 2,872
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 2 155 0 2 20 351
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 2 11 194
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 0 1 11 218
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 0 10 205
Modeling electricity prices with regime switching models 0 0 3 1,035 2 4 24 1,911
Modeling electricity prices: jump diffusion and regime switching 0 0 1 222 1 3 18 625
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 2 3 14 213
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 1 1 1 691 2 8 20 1,289
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 1 9 372
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 1 9 65
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 0 1 11 261
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 1 10 216 1 6 31 506
Models for Heavy-tailed Asset Returns 0 1 2 42 0 1 23 223
Models for Heavy-tailed Asset Returns 0 2 3 204 0 3 22 476
Models for heavy-tailed asset returns 0 1 3 74 3 5 20 230
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 2 54 0 5 44 172
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 1 1 1 45 3 4 28 95
On detecting and modeling periodic correlation in financial data 0 0 0 280 0 0 8 642
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 1 1 2 118 1 1 10 220
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 1 133 0 1 20 301
Origins of scaling in FX markets 0 0 0 35 0 0 10 164
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 1 2 10 137
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 0 0 2 109
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 56 0 1 10 214
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 0 1 21 708
Performance of the estimators of stable law parameters 0 1 2 33 1 2 7 142
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 0 0 14 662
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 0 0 8 39 1 2 43 115
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 4 16 0 1 13 38
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 1 14 0 0 3 132
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 0 0 6 141
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 0 14 261
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 3 160 2 2 34 338
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 2 283 1 2 25 627
Probabilistic intraday electricity price forecasting using generative machine learning 0 0 21 21 2 7 25 25
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 1 3 186 2 7 25 385
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 0 7 519 0 3 42 1,121
Property insurance loss distributions 0 0 1 111 0 0 9 449
Recent advances in electricity price forecasting: A review of probabilistic forecasting 4 5 6 444 9 12 33 953
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 1 3 121 0 3 17 305
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 0 4 163 4 8 59 260
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 3 401 1 2 39 434
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 2 20 120
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 1 2 15 603
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 0 1 11 135
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 2 14 127
Selection of calibration windows for day-ahead electricity price forecasting 0 0 2 74 0 6 24 132
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 1 160 0 1 13 328
Short-term electricity price forecasting with time series models: A review and evaluation 1 3 13 518 1 6 36 1,346
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 0 60 0 2 23 170
Simulation of Risk Processes 0 0 1 98 1 3 19 318
Simulation of risk processes 0 0 0 27 0 1 10 151
Stable distributions 0 0 0 238 0 1 19 486
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 0 5 5 1 1 16 16
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 0 14 14 0 1 21 21
Structure and stylized facts of a deregulated power market 0 0 2 111 0 0 14 389
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 1 2 5 329 7 10 35 1,420
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 1 33 0 1 14 100
To combine or not to combine? Recent trends in electricity price forecasting 1 1 2 192 1 2 18 383
Trading on short-term path forecasts of intraday electricity prices 0 0 7 154 4 5 55 326
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 1 5 23 109 4 12 45 219
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 1 98 0 1 11 226
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 2 48 0 1 11 189
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 3 4 199 1 6 22 366
Variance stabilizing transformations for electricity spot price forecasting 0 1 9 206 3 12 55 798
Visualization tools for insurance risk processes 0 0 0 30 0 1 11 182
Total Working Papers 33 117 474 24,719 136 559 3,444 62,894

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 10 26
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 0 6 47
A new model of mass extinctions 0 0 0 2 0 0 9 32
A note on using the Hodrick–Prescott filter in electricity markets 0 0 0 37 0 1 17 140
A semiparametric factor model for electricity forward curve dynamics 0 0 1 1 0 0 15 22
An empirical comparison of alternate regime-switching models for electricity spot prices 0 3 8 109 3 15 42 342
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 1 3 62 2 5 24 217
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 1 1 21 3 8 35 128
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 0 1 16 55
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 0 0 15 56
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 1 1 18 47
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 32 0 2 16 129
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 1 1 2 9 3 6 20 51
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 35 1 4 27 132
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 2 15 2 4 19 69
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 1 2 8 32
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 2 5 55 2 6 39 207
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 1 1 15 0 4 26 96
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 5 0 0 7 20
Distributional neural networks for electricity price forecasting 0 1 2 19 5 10 41 97
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 1 1 9 58
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 65 4 5 20 174
Electricity price forecasting: A review of the state-of-the-art with a look into the future 6 19 43 190 19 66 217 706
Energy price risk management 0 0 0 9 1 4 14 78
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 3 48 1 4 20 181
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 0 1 25 26
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 2 6 9 25 9 40 90 162
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 1 2 15 73
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 202 1 3 22 579
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 0 1 10 114
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 0 8 76
How effective is advertising in duopoly markets? 0 0 0 4 0 0 21 70
Hurst analysis of electricity price dynamics 0 1 1 18 0 2 6 60
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 1 1 147 4 8 28 509
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 1 7 24
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 0 1 10 97
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 4 11
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 1 3 1 1 9 36
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 2 4 4 0 4 29 29
Market price of risk implied by Asian-style electricity options and futures 0 1 1 110 1 3 16 309
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 1 1 5 45
Modeling electricity prices: jump diffusion and regime switching 0 1 5 53 1 4 26 165
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 1 10 106
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 1 5 21 3 12 57 125
On detecting and modeling periodic correlation in financial data 0 0 0 12 1 1 9 64
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 2 5 283 6 12 50 629
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 1 1 3 37 4 4 22 148
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 1 19 1 3 16 74
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 1 1 2 20 2 2 22 83
Operational Research: methods and applications 0 0 0 1 1 2 15 22
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 3 37
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 1 203 1 3 22 587
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 2 5 24 0 8 39 109
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 1 3 2 6 31 39
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 2 3 20 1 8 37 100
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 8 60 2 8 66 237
Property insurance loss distributions 0 0 1 23 0 0 9 115
Recent advances in electricity price forecasting: A review of probabilistic forecasting 5 10 24 228 18 36 118 773
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 1 12 50 2 9 81 171
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 70 2 5 24 285
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 72 0 2 19 223
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 1 1 13 30
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 1 2 5 0 2 7 44
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 2 12 55
Trading on short-term path forecasts of intraday electricity prices 0 1 9 64 3 8 69 224
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 3 55 0 0 19 204
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 2 33 2 7 35 151
Total Journal Articles 18 65 187 2,770 121 363 1,826 10,162

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 1 7 461 0 3 35 1,669
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 7 23 76 1,389 13 48 260 3,327
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 1 129 0 0 12 465
Statistical Tools for Finance and Insurance 0 0 0 0 1 1 12 12
Total Books 7 24 84 1,979 14 52 319 5,473

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 0 0 7 13
Building loss models 0 0 0 0 0 0 7 7
FX smile in the Heston model 0 0 0 0 0 0 3 3
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 0 2 5 5
Loss Distributions 0 0 0 0 0 1 11 11
Modeling of the Risk Process 0 0 0 0 0 0 2 2
Models for heavy-tailed asset returns 0 0 0 0 0 1 2 2
Stable Distributions 0 0 0 0 1 3 6 6
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 2 11 1 1 13 36
Total Chapters 0 0 2 11 2 8 57 91

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 7 962 0 2 40 2,134
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 1 4 1,080 0 1 24 2,698
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 1 202 0 1 16 581
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 0 164 0 2 14 624
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 2 3 24 6,828
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 1 1,669 0 2 9 4,583
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 1 484 0 2 18 1,026
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 0 1 8 2,977 1 9 97 7,903
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 24 116
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 1 7 143 0 7 27 427
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 7 321 0 0 28 740
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 9 194 0 1 23 554
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 2 5 19 162 8 19 99 775
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 179 0 1 27 758
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 3 182 1 2 16 542
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 0 1 9 908
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 0 2 857 0 1 32 2,126
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 9 706
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 2 8 415
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 0 1 11 563
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 104 0 1 13 397
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 0 6 1,128
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 1 8 1,079 0 1 44 3,194
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 1 2 22 5,628 4 8 103 14,011
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 0 219 0 3 9 501
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 1 2 15 409
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 1 214 0 0 7 432
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 2 243 0 0 13 541
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 2 1,273 0 0 18 3,127
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 0 5 1,639 0 5 59 3,876
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 266 0 0 10 733
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 2 1,041 0 1 11 2,700
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 643 0 0 13 1,592
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 0 307 0 0 10 708
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 0 235 0 0 10 596
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 7 440 0 0 20 927
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 5 369 0 0 17 763
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 1 274 0 2 14 696
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 0 1 7 24 0 3 27 74
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 1 1 214 0 1 9 554
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 2 939 0 0 14 2,835
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 1 258 0 0 10 552
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 3 184 0 1 13 474
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,291 0 1 13 3,633
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 0 272 0 1 16 1,057
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 0 2 177 0 0 8 386
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 0 1 263 0 0 10 486
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 403 0 0 14 1,391
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 0 0 18 2,845
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 1 11 1,213
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 0 3 11 295
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 1 2 367 0 2 14 775
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 0 625 0 0 15 1,948
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 0 359 0 1 16 938
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 4 424 0 2 16 1,030
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 0 3 567 0 1 26 1,577
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 0 6 669
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 1 13 494
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 0 135 0 3 12 483
Total Software Items 3 14 160 34,142 19 103 1,239 95,047

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Statistics updated 2026-08-07