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 0 10 142
A note on averaging day-ahead electricity price forecasts across calibration windows 2 6 13 170 4 13 37 284
A note on using the Hodrick-Prescott filter in electricity markets 0 0 0 114 1 1 15 305
A review of electricity price forecasting: The past, the present and the future 0 0 2 246 3 4 24 358
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 0 0 20 199
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 0 7 262
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 0 7 140
A simple model of price formation 0 0 0 33 0 1 16 139
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 0 2 16 397
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 2 2 18 426
An introduction to simulation of risk processes 0 0 2 50 1 2 13 225
Analysis of ROBECO data by neural networks 0 0 0 8 0 0 7 89
Automated variable selection and shrinkage for day-ahead electricity price forecasting 1 1 3 164 3 4 31 354
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 2 19 0 4 17 61
Balancing RES generation: Profitability of an energy trader 0 0 0 73 1 1 13 159
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 4 80 1 3 31 153
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 1 13 144
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 13 411
Blackouts, risk, and fat-tailed distributions 0 0 0 200 0 1 7 603
Building Loss Models 0 0 0 25 0 0 8 180
Building Loss Models 0 0 0 319 0 2 11 1,441
Building loss models 0 0 0 7 1 1 11 58
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 1 37 2 2 13 63
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 0 1 15 160
Computationally intensive Value at Risk calculations 0 0 0 29 3 3 19 159
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 226 0 2 20 433
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 1 76 3 3 30 222
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 2 8 1,023
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 0 107 0 2 11 403
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 2 92 1 2 30 352
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 0 4 20 0 1 29 70
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 1 4 38 0 1 28 148
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 4 60 0 0 18 98
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 2 3 12 250 5 9 53 512
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 2 57 0 0 12 182
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 0 2 23 179
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 1 2 25 469
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 0 5 39 1 4 24 83
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 372 1 3 23 870
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 1 2 177 1 2 21 367
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 53 1 2 21 108
Electricity Price Forecasting: The Dawn of Machine Learning 1 2 10 181 3 6 28 369
Electricity price forecasting 1 3 11 549 1 10 57 1,693
Electricity price forecasting 1 1 3 158 1 2 20 352
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 6 26 397 12 28 129 1,001
Energy forecasting: A review and outlook 0 0 0 300 0 0 20 812
Energy price risk management 0 0 0 60 1 1 16 241
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 4 56 1 7 29 153
Estimating long range dependence: finite sample properties and confidence intervals 0 0 0 91 0 0 16 356
Evaluating the performance of VaR models in energy markets 0 0 0 151 0 0 16 248
Evolution in a changing environment 0 0 0 13 0 0 10 126
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 11 92 0 4 39 166
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 1 1,273 0 0 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 2 2 18 209
FX Smile in the Heston Model 0 0 2 145 1 4 27 476
FX smile in the Heston model 0 0 0 100 1 1 13 318
Forecasting Electricity Prices 4 5 16 65 9 14 127 237
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 4 43 3 14 35 112
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 116 3 6 22 207
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 1 178 0 0 20 383
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 231 1 1 28 601
Forecasting the occurrence of electricity price spikes in the UK power market 0 0 4 227 3 4 18 484
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 0 0 16 319
From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS 8 37 97 97 12 68 148 148
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 1 1 16 295
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 0 6 251
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 1 2 12 171
Habitat momentum 0 0 0 7 0 1 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 0 1 323 2 4 28 923
Heavy-tails and regime-switching in electricity prices 0 1 1 80 0 1 20 196
How effective is advertising in duopoly markets? 0 0 0 9 1 1 7 87
How effective is advertising in duopoly markets? 0 0 0 285 1 1 17 1,065
Hurst analysis of electricity price dynamics 0 0 0 63 1 1 11 213
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 0 121 0 0 13 240
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 20 340
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 3 4 25 140
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 0 1 2 226 0 5 28 522
Interval forecasting of spot electricity prices 0 0 0 31 0 1 13 134
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 13 1,473
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 0 0 14 562
Loss Distributions 0 0 0 181 1 3 17 549
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 3 4 14 95 4 10 47 187
Market price of risk implied by Asian-style electricity options 0 0 1 630 0 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 0 16 255
Modeling and forecasting electricity loads: A comparison 0 0 1 1,266 0 2 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 0 11 194
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 0 0 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 0 3 24 1,911
Modeling electricity prices: jump diffusion and regime switching 0 0 1 222 1 3 19 626
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 3 14 213
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 1 2 2 692 3 10 22 1,292
Modeling the risk process in the XploRe computing environment 0 0 0 2 1 1 10 66
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 0 9 372
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 1 1 12 262
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 1 10 216 3 7 34 509
Models for Heavy-tailed Asset Returns 0 2 3 204 1 3 22 477
Models for Heavy-tailed Asset Returns 0 1 2 42 0 1 23 223
Models for heavy-tailed asset returns 0 1 3 74 0 4 20 230
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 2 54 2 3 44 174
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 1 1 45 1 5 29 96
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 0 1 2 118 1 2 11 221
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 1 133 0 0 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 0 1 10 137
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 1 1 3 110
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 0 21 708
Performance of the estimators of stable law parameters 0 1 2 33 0 2 7 142
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 3 3 17 665
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 0 0 6 39 1 3 39 116
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 4 16 1 1 13 39
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 2 2 16 263
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 2 160 0 2 33 338
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 1 1 3 284 3 5 28 630
Probabilistic intraday electricity price forecasting using generative machine learning 0 0 21 21 0 4 25 25
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 1 3 186 1 5 26 386
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 0 7 519 1 2 43 1,122
Property insurance loss distributions 0 0 1 111 0 0 9 449
Recent advances in electricity price forecasting: A review of probabilistic forecasting 3 8 9 447 6 17 37 959
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 1 3 121 0 1 17 305
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 1 4 164 3 9 60 263
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 3 401 2 3 41 436
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 0 20 120
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 2 4 17 605
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 1 1 12 136
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 0 13 127
Selection of calibration windows for day-ahead electricity price forecasting 0 0 2 74 3 7 25 135
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 0 2 12 518 0 3 35 1,346
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 0 60 0 0 21 170
Simulation of Risk Processes 0 0 1 98 2 4 21 320
Simulation of risk processes 0 0 0 27 1 2 11 152
Stable distributions 0 0 0 238 1 1 19 487
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 0 4 5 0 1 15 16
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 0 14 14 2 2 23 23
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 6 330 1 9 35 1,421
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 1 33 1 2 15 101
To combine or not to combine? Recent trends in electricity price forecasting 0 1 2 192 1 2 19 384
Trading on short-term path forecasts of intraday electricity prices 0 0 7 154 1 5 50 327
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 1 2 23 110 1 8 44 220
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 1 98 0 0 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 0 3 4 199 1 5 23 367
Variance stabilizing transformations for electricity spot price forecasting 0 0 7 206 3 9 56 801
Visualization tools for insurance risk processes 0 0 0 30 0 1 10 182
Total Working Papers 32 106 481 24,751 165 482 3,504 63,059

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 5 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 1 1 18 141
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 2 3 9 111 7 19 48 349
An empirical comparison of alternative schemes for combining electricity spot price forecasts 1 2 4 63 2 5 26 219
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 1 1 21 1 7 36 129
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 1 2 17 56
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 2 2 16 58
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 2 3 19 49
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 32 0 1 16 129
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 1 1 9 2 5 21 53
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 35 3 7 30 135
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 1 1 3 16 4 8 23 73
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 1 3 9 33
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 5 55 2 5 40 209
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 15 1 2 26 97
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 5 1 1 8 21
Distributional neural networks for electricity price forecasting 0 0 2 19 1 9 42 98
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 1 2 10 59
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 65 1 5 21 175
Electricity price forecasting: A review of the state-of-the-art with a look into the future 5 19 48 195 13 59 226 719
Energy price risk management 0 0 0 9 0 2 13 78
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 3 48 1 3 20 182
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 1 1 26 27
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 2 6 11 27 4 39 94 166
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 2 15 73
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 1 1 2 203 2 4 24 581
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 1 1 10 115
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 1 1 22 71
Hurst analysis of electricity price dynamics 0 0 1 18 0 0 6 60
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 147 4 9 32 513
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 8 25
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 2 2 11 99
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 3 11
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 1 3 0 1 9 36
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 1 4 4 1 3 30 30
Market price of risk implied by Asian-style electricity options and futures 0 0 1 110 0 1 16 309
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 1 5 45
Modeling electricity prices: jump diffusion and regime switching 0 0 5 53 1 4 25 166
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 10 106
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 1 4 21 1 10 55 126
On detecting and modeling periodic correlation in financial data 1 1 1 13 1 2 10 65
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 1 5 283 1 10 50 630
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 3 37 1 5 22 149
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 1 1 1 20 2 4 17 76
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 1 2 20 0 2 22 83
Operational Research: methods and applications 0 0 0 1 0 1 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 2 23 588
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 1 5 24 1 5 39 110
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 1 3 0 4 31 39
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 1 3 20 2 5 38 102
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 8 60 3 7 67 240
Property insurance loss distributions 0 0 1 23 0 0 8 115
Recent advances in electricity price forecasting: A review of probabilistic forecasting 4 11 26 232 8 37 123 781
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 1 11 50 1 6 74 172
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 70 1 4 24 286
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 72 1 1 20 224
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 1 13 30
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 1 2 5 0 1 7 44
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 1 12 55
Trading on short-term path forecasts of intraday electricity prices 1 2 9 65 4 9 69 228
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 3 55 0 0 16 204
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 2 33 0 6 34 151
Total Journal Articles 19 61 198 2,789 93 345 1,870 10,255

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku) 0 0 7 461 1 2 36 1,670
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 6 22 78 1,395 15 48 262 3,342
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 1 129 1 1 13 466
Statistical Tools for Finance and Insurance 0 0 0 0 1 2 13 13
Total Books 6 22 86 1,985 18 53 324 5,491

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 0 5 5
Loss Distributions 0 0 0 0 0 0 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 0 1 6 6
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 2 11 1 2 14 37
Total Chapters 0 0 2 11 1 4 58 92

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 5 962 2 2 40 2,136
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 1 3 1,080 0 1 22 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 0 12 624
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 5 8 28 6,833
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 1 1,669 0 1 9 4,583
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 1 484 64 64 81 1,090
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 0 1 7 2,977 0 3 92 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 0 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 0 7 143 1 2 28 428
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 0 6 321 0 0 19 740
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 7 194 1 1 21 555
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 1 5 19 163 3 16 96 778
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 179 0 0 25 758
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 3 182 0 2 15 542
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 0 0 9 908
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 1 1 3 858 1 2 30 2,127
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 0 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 0 10 563
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 5 1,128
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 1 8 1,079 0 1 42 3,194
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 0 1 18 5,628 8 14 102 14,019
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 1 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 0 1 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 0 214 1 1 7 433
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 3 1,639 1 5 54 3,877
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 9 733
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 2 1,041 1 1 12 2,701
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 56 56 76 983
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 1 1 14 697
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 6 24 1 2 27 75
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 214 0 0 9 554
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 1 939 1 1 13 2,836
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 1 258 1 1 11 553
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 3 184 1 1 14 475
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,291 0 0 13 3,633
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 0 272 0 0 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 13 1,391
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 1 1 18 2,846
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 0 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 1 11 295
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 1 2 367 1 2 15 776
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 0 625 2 2 16 1,950
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 1 16 1,030
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 0 2 567 1 2 25 1,578
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 2 13 495
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 0 135 58 59 70 541
Total Software Items 2 12 144 34,144 213 263 1,384 95,260

logo

LogEc Home

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

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

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

Authors with no registered papers

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

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

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

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-09-10