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 4 4 136
A note on averaging day-ahead electricity price forecasts across calibration windows 0 0 7 161 2 11 24 265
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 114 0 7 14 299
A review of electricity price forecasting: The past, the present and the future 0 0 2 245 1 7 14 346
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 1 3 4 258
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 1 9 18 195
A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia) 0 0 1 18 0 1 4 136
A simple model of price formation 0 0 0 33 1 4 10 132
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 1 6 14 394
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 0 5 9 417
An introduction to simulation of risk processes 0 0 2 50 2 3 8 220
Analysis of ROBECO data by neural networks 0 0 0 8 2 2 5 86
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 1 161 1 11 24 345
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 1 2 19 2 9 13 57
Balancing RES generation: Profitability of an energy trader 0 0 0 73 2 6 9 154
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 4 80 0 8 26 142
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 3 7 255
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 8 13 141
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 115 0 2 14 409
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 1 5 8 185
Blackouts, risk, and fat-tailed distributions 0 0 0 200 1 5 9 602
Building Loss Models 0 0 0 319 0 3 10 1,438
Building Loss Models 0 0 0 25 0 2 7 178
Building loss models 0 0 0 7 0 4 10 56
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 2 37 0 5 10 58
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 3 8 12 156
Computationally intensive Value at Risk calculations 0 0 0 29 1 8 13 153
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 3 226 1 7 20 429
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 1 1 76 3 17 22 213
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 3 5 1,020
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 0 107 1 3 7 399
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 1 4 92 5 14 40 345
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 0 5 19 3 9 25 60
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 3 37 2 10 25 143
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 4 58 1 8 18 95
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 3 10 244 3 14 41 490
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 1 56 1 4 10 179
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 0 6 20 175
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 3 13 24 461
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 8 10 87
Distributional neural networks for electricity price forecasting 1 2 5 38 3 10 19 74
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 1 1 372 2 9 18 865
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 1 1 1 176 1 8 17 362
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 53 1 6 18 104
Electricity Price Forecasting: The Dawn of Machine Learning 2 6 7 178 2 10 16 355
Electricity price forecasting 0 3 11 543 6 20 40 1,663
Electricity price forecasting 0 1 4 157 0 8 19 346
Electricity price forecasting: A review of the state-of-the-art with a look into the future 4 10 25 390 15 40 96 948
Energy forecasting: A review and outlook 0 0 1 300 0 7 23 810
Energy price risk management 0 0 0 60 1 6 10 235
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 1 3 53 2 6 22 137
Estimating long range dependence: finite sample properties and confidence intervals 0 0 1 91 1 5 11 350
Evaluating the performance of VaR models in energy markets 0 0 0 151 3 11 14 246
Evolution in a changing environment 0 0 0 13 1 4 10 125
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 3 18 91 1 12 42 152
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 1 1 2 1,273 3 13 19 2,511
FX Smile in the Heston Model 0 0 0 34 2 6 12 201
FX Smile in the Heston Model 0 0 0 57 0 5 7 211
FX Smile in the Heston Model 0 0 1 144 4 9 14 462
FX smile in the Heston model 0 0 0 100 0 4 10 314
Forecasting Electricity Prices 1 5 14 59 7 43 110 205
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 2 3 41 4 10 17 91
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 116 0 5 9 194
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 2 6 11 373
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 2 231 3 13 23 595
Forecasting the occurrence of electricity price spikes in the UK power market 0 2 6 227 0 7 14 477
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 1 12 14 316
From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS 25 25 25 25 31 31 31 31
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 0 4 11 286
Goodness-of-fit testing for regime-switching models 0 0 0 140 2 4 8 249
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 0 6 8 166
Habitat momentum 0 0 0 7 3 8 9 74
Heavy tails and electricity prices 0 1 2 34 3 6 12 178
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 2 9 15 521
Heavy-tailed distributions in VaR calculations 0 0 0 322 2 7 21 915
Heavy-tails and regime-switching in electricity prices 0 0 1 79 2 5 19 190
How effective is advertising in duopoly markets? 0 0 0 9 0 3 5 84
How effective is advertising in duopoly markets? 0 0 0 285 1 9 12 1,060
Hurst analysis of electricity price dynamics 0 0 0 63 1 3 11 209
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 121 0 5 14 238
Impact of social interactions on demand curves for innovative products 0 0 1 70 0 3 9 110
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 1 4 172 0 7 19 335
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 0 3 56 1 7 18 130
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 235 0 5 12 453
Inference for Markov-regime switching models of electricity spot prices 0 0 1 225 2 7 14 508
Interval forecasting of spot electricity prices 0 0 0 31 1 6 10 130
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 1 5 5 36
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 3 8 15 559
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 1 3 11 1,468
Loss Distributions 0 0 1 181 1 8 15 543
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 1 34 89 3 16 70 170
Market price of risk implied by Asian-style electricity options 0 1 1 630 0 14 16 1,440
Measuring long-range dependence in electricity prices 0 0 0 50 0 4 5 139
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 2 142 2 6 16 250
Modeling and forecasting electricity loads: A comparison 0 0 1 1,266 1 5 13 2,867
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 4 155 0 6 16 345
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 1 3 4 187
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 0 5 7 213
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 2 5 200
Modeling electricity prices with regime switching models 1 1 3 1,035 2 14 18 1,905
Modeling electricity prices: jump diffusion and regime switching 0 0 1 222 1 6 12 619
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 4 9 208
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 1 690 4 8 14 1,281
Modeling the risk process in the XploRe computing environment 0 0 0 131 1 2 7 369
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 4 4 60
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 0 4 10 257
Modelling price spikes in electricity markets - the impact of load, weather and capacity 3 4 9 214 6 9 24 496
Models for Heavy-tailed Asset Returns 0 0 1 202 1 6 15 469
Models for Heavy-tailed Asset Returns 0 0 1 41 2 10 20 218
Models for heavy-tailed asset returns 0 1 2 72 1 7 13 222
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 2 2 54 7 17 37 158
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 44 2 7 18 83
On detecting and modeling periodic correlation in financial data 0 0 0 280 1 4 7 640
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 1 117 0 6 12 219
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 2 133 1 8 15 295
Origins of scaling in FX markets 0 0 0 35 0 5 10 163
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 1 3 7 132
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 56 1 6 9 211
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 0 2 2 109
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 2 15 18 704
Performance of the estimators of stable law parameters 0 0 1 32 0 0 5 139
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 1 4 9 657
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 0 0 23 39 3 16 79 109
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 1 2 5 16 1 4 9 33
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 1 1 14 0 1 1 130
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 1 2 4 139
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 1 2 9 256
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 1 158 3 7 32 332
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 3 283 0 8 17 615
Probabilistic intraday electricity price forecasting using generative machine learning 0 3 21 21 0 6 17 17
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 2 185 5 9 18 377
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 2 8 519 1 11 36 1,112
Property insurance loss distributions 0 0 1 111 1 4 6 445
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 0 4 439 2 11 20 935
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 2 2 120 4 12 13 300
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 1 4 163 3 17 47 246
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 3 3 401 4 26 36 431
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 11 14 114
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 1 6 10 133
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 2 9 11 599
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 2 3 7 119
Selection of calibration windows for day-ahead electricity price forecasting 0 0 3 74 4 7 19 124
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 2 160 0 1 10 323
Short-term electricity price forecasting with time series models: A review and evaluation 1 5 14 515 2 18 38 1,337
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 1 60 1 4 18 164
Simulation of Risk Processes 0 0 1 98 2 8 15 313
Simulation of risk processes 0 0 0 27 0 4 10 150
Stable distributions 0 0 1 238 0 12 18 484
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 0 5 5 0 9 13 13
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 2 5 14 14 3 9 17 17
Structure and stylized facts of a deregulated power market 0 0 2 111 1 7 11 386
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 1 2 326 2 9 20 1,403
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 1 9 10 96
To combine or not to combine? Recent trends in electricity price forecasting 0 1 3 191 0 5 14 374
Trading on short-term path forecasts of intraday electricity prices 0 0 7 153 3 10 46 311
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 1 5 22 103 3 11 51 205
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 2 5 6 221
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 2 48 0 2 6 184
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 3 196 2 10 14 356
Variance stabilizing transformations for electricity spot price forecasting 1 2 9 204 6 14 36 777
Visualization tools for insurance risk processes 0 0 0 30 3 7 9 180
Total Working Papers 45 116 438 24,563 278 1,257 2,733 61,789

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 6 8 24
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 2 5 46
A new model of mass extinctions 0 0 0 2 0 1 4 27
A note on using the Hodrick–Prescott filter in electricity markets 0 0 2 37 0 5 14 135
A semiparametric factor model for electricity forward curve dynamics 0 0 1 1 1 7 11 18
An empirical comparison of alternate regime-switching models for electricity spot prices 0 2 10 106 6 11 32 319
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 1 4 60 1 10 27 211
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 20 4 17 25 118
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 0 4 9 47
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 0 5 14 53
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 1 7 14 41
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 0 31 1 6 12 123
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 2 8 2 4 14 43
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 1 4 35 0 9 24 124
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 1 3 15 2 8 17 64
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 2 6 27
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 3 51 4 13 33 196
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 0 14 3 10 19 89
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 5 0 2 8 20
Distributional neural networks for electricity price forecasting 1 1 3 18 5 17 34 83
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 2 8 56
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 1 1 65 2 10 16 169
Electricity price forecasting: A review of the state-of-the-art with a look into the future 3 7 22 165 19 55 139 617
Energy price risk management 0 0 0 9 0 6 10 74
Estimating long-range dependence: finite sample properties and confidence intervals 0 1 5 47 0 3 17 173
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 1 6 20 20
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 2 4 19 5 22 46 112
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 6 10 67
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 202 2 8 21 572
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 5 109
Heavy-tails and regime-switching in electricity prices 0 0 0 12 2 7 9 75
How effective is advertising in duopoly markets? 0 0 0 4 0 10 20 69
Hurst analysis of electricity price dynamics 0 0 0 17 0 3 8 58
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 2 146 2 9 18 494
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 2 4 20
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 1 5 8 95
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 2 4 11
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 1 1 1 3 2 3 5 32
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 0 2 2 1 8 16 16
Market price of risk implied by Asian-style electricity options and futures 0 0 1 109 0 9 14 304
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 1 1 4 44
Modeling electricity prices: jump diffusion and regime switching 0 1 5 52 2 5 21 159
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 3 7 8 104
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 7 20 1 20 50 109
On detecting and modeling periodic correlation in financial data 0 0 0 12 1 4 7 62
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 0 6 280 4 8 47 611
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 4 36 1 10 24 143
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 1 19 2 6 13 70
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 0 18 1 9 18 77
Operational Research: methods and applications 0 0 0 1 3 7 13 17
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 1 3 3 37
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 1 203 3 8 16 580
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 2 2 4 22 3 9 26 92
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 2 3 5 11 22 29
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 1 18 2 11 26 83
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 1 4 8 57 3 26 62 225
Property insurance loss distributions 0 0 1 23 0 5 9 115
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 1 19 217 9 23 107 730
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 0 14 48 7 20 77 157
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 2 3 70 0 12 19 275
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 1 72 0 4 15 215
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 7 12 29
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 2 4 0 1 3 39
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 5 9 52
Trading on short-term path forecasts of intraday electricity prices 2 2 11 63 3 26 67 212
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 3 54 1 5 20 201
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 2 31 6 13 26 136
Total Journal Articles 10 30 166 2,686 131 590 1,452 9,554

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 2 6 460 5 11 38 1,665
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 10 27 65 1,361 14 72 226 3,261
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 2 129 2 4 14 463
Statistical Tools for Finance and Insurance 0 0 0 0 1 7 7 7
Total Books 10 29 73 1,950 22 94 285 5,396

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 5 8 13
Building loss models 0 0 0 0 1 6 6 6
FX smile in the Heston model 0 0 0 0 0 0 0 0
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 2 2
Loss Distributions 0 0 0 0 1 8 8 8
Modeling of the Risk Process 0 0 0 0 0 1 1 1
Models for heavy-tailed asset returns 0 0 0 0 0 1 1 1
Stable Distributions 0 0 0 0 0 1 1 1
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 2 11 0 2 9 31
Total Chapters 0 0 2 11 2 26 37 69

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 1 1 12 962 4 6 42 2,129
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 0 3 1,079 3 8 18 2,690
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 1 1 4 202 2 3 18 579
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 164 1 4 14 620
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 1 11 18 6,821
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 1 1,669 0 3 6 4,579
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 4 484 2 6 21 1,023
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 0 2 13 2,975 6 25 108 7,887
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 3 31 1 6 22 107
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 1 1 9 142 3 5 29 417
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 9 320 0 5 45 739
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 1 10 192 2 4 22 548
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 2 8 17 157 10 32 98 743
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 1 1 1 179 2 11 24 750
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 2 3 182 1 7 15 538
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 0 2 6 905
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 1 1 6 857 2 6 37 2,122
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 1 4 8 705
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 2 3 410
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 0 3 9 560
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 3 9 392
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 1 2 4 1,126
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 2 12 1,078 9 16 55 3,189
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 1 9 45 5,626 10 39 148 13,999
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 4 495
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 1 170 1 7 14 406
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 2 3 6 431
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 2 3 11 539
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 3 1,273 1 7 18 3,123
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 0 6 1,639 1 8 61 3,867
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 0 265 2 3 6 728
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 2 1,041 0 4 11 2,697
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 1 1 1 643 2 6 11 1,590
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 307 3 6 10 707
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 235 1 6 10 595
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 2 3 8 440 4 14 21 926
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 6 369 0 3 17 762
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 1 1 274 1 3 9 691
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 2 7 23 1 8 25 66
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 1 4 6 550
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 1 3 939 1 4 15 2,834
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 1 2 258 1 4 11 551
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 2 3 3 184 3 6 11 472
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 1 1 1,291 1 3 15 3,632
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 0 272 1 6 12 1,053
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 1 1 2 177 1 2 5 383
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 0 3 263 1 2 10 484
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 2 9 19 2,845
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 1 1 403 0 4 12 1,389
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 3 9 1,208
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 1 2 2 148 2 3 8 289
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 1 366 2 7 11 772
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 1 625 2 7 16 1,946
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 0 359 3 7 14 934
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 4 424 1 1 13 1,025
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 1 4 567 0 5 21 1,570
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 2 3 6 668
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 4 9 490
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 2 135 0 1 9 474
Total Software Items 16 47 223 34,123 107 382 1,245 94,770

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Statistics updated 2026-04-09