Access Statistics for Rafał Weron

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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 2 6 10 142
A note on averaging day-ahead electricity price forecasts across calibration windows 2 3 9 164 3 8 27 271
A note on using the Hodrick-Prescott filter in electricity markets 0 0 0 114 3 5 18 304
A review of electricity price forecasting: The past, the present and the future 0 1 3 246 4 9 21 354
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 1 5 7 262
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 1 5 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 1 18 1 4 8 140
A simple model of price formation 0 0 0 33 1 7 15 138
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 1 2 15 395
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 4 7 16 424
An introduction to simulation of risk processes 0 0 2 50 0 5 11 223
Analysis of ROBECO data by neural networks 0 0 0 8 1 5 8 89
Automated variable selection and shrinkage for day-ahead electricity price forecasting 2 2 3 163 3 6 29 350
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 2 19 0 2 13 57
Balancing RES generation: Profitability of an energy trader 0 0 0 73 0 6 13 158
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 4 80 1 8 32 150
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 1 7 256
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 3 14 143
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 0 2 9 186
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 115 0 2 15 411
Blackouts, risk, and fat-tailed distributions 0 0 0 200 0 1 6 602
Building Loss Models 0 0 0 25 0 2 9 180
Building Loss Models 0 0 0 319 0 1 10 1,439
Building loss models 0 0 0 7 0 1 11 57
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 2 37 0 3 12 61
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 0 6 15 159
Computationally intensive Value at Risk calculations 0 0 0 29 0 4 16 156
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 3 226 1 3 20 431
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 1 76 1 9 28 219
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 1 1 6 1,021
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 0 107 0 3 9 401
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 2 92 1 10 38 350
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 1 1 5 20 4 12 31 69
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 3 37 1 6 28 147
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 2 6 60 1 4 21 98
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 3 10 247 3 16 49 503
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 1 1 2 57 1 4 13 182
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 1 2 22 177
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 1 9 24 467
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 1 11 88
Distributional neural networks for electricity price forecasting 1 2 6 39 2 8 24 79
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 372 0 4 20 867
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 1 1 176 0 4 20 365
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 53 0 3 19 106
Electricity Price Forecasting: The Dawn of Machine Learning 1 3 8 179 3 10 23 363
Electricity price forecasting 0 0 3 157 1 4 20 350
Electricity price forecasting 2 3 12 546 11 26 56 1,683
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 5 25 391 13 40 115 973
Energy forecasting: A review and outlook 0 0 0 300 0 2 23 812
Energy price risk management 0 0 0 60 1 6 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] 1 2 5 55 4 11 30 146
Estimating long range dependence: finite sample properties and confidence intervals 0 0 1 91 1 7 17 356
Evaluating the performance of VaR models in energy markets 0 0 0 151 1 5 16 248
Evolution in a changing environment 0 0 0 13 0 2 11 126
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 1 18 92 5 11 50 162
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 1 1 1,273 1 7 21 2,515
FX Smile in the Heston Model 0 1 1 58 0 4 11 215
FX Smile in the Heston Model 0 0 0 34 2 8 18 207
FX Smile in the Heston Model 0 1 2 145 5 14 24 472
FX smile in the Heston model 0 0 0 100 1 3 13 317
Forecasting Electricity Prices 0 2 13 60 9 25 119 223
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 4 42 2 11 24 98
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 116 1 7 16 201
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 1 1 1 178 3 12 21 383
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 231 1 8 27 600
Forecasting the occurrence of electricity price spikes in the UK power market 0 0 6 227 2 3 16 480
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 1 4 16 319
From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS 19 60 60 60 38 80 80 80
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 1 8 16 294
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 4 8 251
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 0 3 11 169
Habitat momentum 0 0 0 7 1 5 11 76
Heavy tails and electricity prices 0 0 1 34 0 6 14 181
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 0 7 19 526
Heavy-tailed distributions in VaR calculations 1 1 1 323 2 6 24 919
Heavy-tails and regime-switching in electricity prices 0 0 0 79 4 7 21 195
How effective is advertising in duopoly markets? 0 0 0 9 0 2 6 86
How effective is advertising in duopoly markets? 0 0 0 285 1 5 16 1,064
Hurst analysis of electricity price dynamics 0 0 0 63 0 4 14 212
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 121 0 2 15 240
Impact of social interactions on demand curves for innovative products 0 0 1 70 0 3 12 113
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 0 4 172 0 4 21 339
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 7 22 136
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 235 0 4 16 457
Inference for Markov-regime switching models of electricity spot prices 0 0 1 225 0 11 23 517
Interval forecasting of spot electricity prices 0 0 0 31 2 4 13 133
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 4 8 39
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 1 2 12 1,469
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 1 6 17 562
Loss Distributions 0 0 0 181 1 4 17 546
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 1 2 19 91 3 10 54 177
Market price of risk implied by Asian-style electricity options 0 0 1 630 0 5 21 1,445
Measuring long-range dependence in electricity prices 0 0 0 50 0 1 5 140
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 2 142 2 7 20 255
Modeling and forecasting electricity loads: A comparison 0 0 1 1,266 1 4 15 2,870
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 3 155 0 4 19 349
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 2 8 11 194
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 1 5 12 218
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 5 10 205
Modeling electricity prices with regime switching models 0 1 3 1,035 1 5 21 1,908
Modeling electricity prices: jump diffusion and regime switching 0 0 1 222 1 5 16 623
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 2 11 210
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 0 690 1 5 14 1,282
Modeling the risk process in the XploRe computing environment 0 0 0 131 1 4 9 372
Modeling the risk process in the XploRe computing environment 0 0 0 2 1 5 9 65
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 1 4 12 261
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 4 9 215 2 12 28 502
Models for Heavy-tailed Asset Returns 0 0 1 202 1 6 20 474
Models for Heavy-tailed Asset Returns 0 0 1 41 0 6 22 222
Models for heavy-tailed asset returns 0 1 2 73 1 5 16 226
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 2 54 4 20 49 171
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 0 44 0 10 25 91
On detecting and modeling periodic correlation in financial data 0 0 0 280 0 3 9 642
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 1 117 0 0 10 219
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 2 133 1 7 21 301
Origins of scaling in FX markets 0 0 0 35 0 1 10 164
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 1 5 9 136
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 56 0 3 9 213
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 0 0 2 109
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 1 6 21 708
Performance of the estimators of stable law parameters 0 0 1 32 0 1 6 140
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 0 6 14 662
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 0 0 14 39 0 7 57 113
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 4 16 1 6 13 38
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 1 14 0 2 3 132
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 0 3 6 141
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 6 14 261
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 2 3 160 0 7 34 336
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 2 283 0 10 26 625
Probabilistic intraday electricity price forecasting using generative machine learning 0 0 21 21 3 4 21 21
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 2 185 3 9 22 381
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 0 7 519 2 9 41 1,120
Property insurance loss distributions 0 0 1 111 0 5 10 449
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 0 4 439 1 9 26 942
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 2 120 2 8 16 304
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 0 0 4 163 2 11 55 254
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 3 401 1 6 38 433
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 2 6 20 120
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 0 4 13 601
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 1 3 11 135
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 2 10 15 127
Selection of calibration windows for day-ahead electricity price forecasting 0 0 2 74 2 8 20 128
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 4 13 327
Short-term electricity price forecasting with time series models: A review and evaluation 1 2 12 516 3 8 39 1,343
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 1 60 2 7 24 170
Simulation of Risk Processes 0 0 1 98 1 5 17 316
Simulation of risk processes 0 0 0 27 0 0 10 150
Stable distributions 0 0 1 238 1 2 20 486
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 0 5 5 0 2 15 15
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 2 14 14 1 7 21 21
Structure and stylized facts of a deregulated power market 0 0 2 111 0 4 14 389
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 1 2 4 328 2 11 28 1,412
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 1 1 33 0 4 13 99
To combine or not to combine? Recent trends in electricity price forecasting 0 0 2 191 1 8 19 382
Trading on short-term path forecasts of intraday electricity prices 0 1 7 154 1 14 51 322
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 4 6 24 108 5 10 48 212
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 1 1 98 1 7 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 4 10 188
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 2 196 2 8 19 362
Variance stabilizing transformations for electricity spot price forecasting 1 3 11 206 6 21 51 792
Visualization tools for insurance risk processes 0 0 0 30 0 4 10 181
Total Working Papers 43 127 452 24,645 242 1,066 3,314 62,577

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 2 10 26
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 1 6 47
A new model of mass extinctions 0 0 0 2 0 5 9 32
A note on using the Hodrick–Prescott filter in electricity markets 0 0 0 37 1 5 17 140
A semiparametric factor model for electricity forward curve dynamics 0 0 1 1 0 5 15 22
An empirical comparison of alternate regime-switching models for electricity spot prices 2 2 8 108 3 17 36 330
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 1 3 61 2 4 25 214
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 20 2 8 29 122
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 0 7 16 54
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 0 3 16 56
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 0 6 19 46
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 1 1 32 1 6 16 128
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 2 8 3 7 19 48
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 35 0 4 24 128
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 3 15 0 3 17 65
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 3 6 30
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 3 4 54 3 12 38 204
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 1 1 1 15 3 9 25 95
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 1 2 3 19 2 11 39 89
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 1 9 57
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 65 1 3 16 170
Electricity price forecasting: A review of the state-of-the-art with a look into the future 5 14 31 176 20 62 178 660
Energy price risk management 0 0 0 9 2 2 12 76
Estimating long-range dependence: finite sample properties and confidence intervals 0 1 4 48 2 6 19 179
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 1 7 26 26
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 2 2 5 21 5 20 57 127
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 4 13 71
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 202 1 7 23 577
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 1 6 10 114
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 3 10 76
How effective is advertising in duopoly markets? 0 0 0 4 0 1 21 70
Hurst analysis of electricity price dynamics 1 1 1 18 2 2 9 60
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 1 1 3 147 3 12 27 504
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 0 4 7 23
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 1 3 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 1 1 3 0 5 8 35
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 1 1 3 3 2 12 27 27
Market price of risk implied by Asian-style electricity options and futures 1 1 2 110 2 4 16 308
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 1 4 44
Modeling electricity prices: jump diffusion and regime switching 1 1 5 53 1 5 23 162
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 1 5 10 106
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 6 20 3 8 51 116
On detecting and modeling periodic correlation in financial data 0 0 0 12 0 2 8 63
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 2 4 282 3 13 46 620
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 4 36 0 2 20 144
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 1 19 1 4 15 72
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 1 1 19 0 5 22 81
Operational Research: methods and applications 0 0 0 1 1 7 15 21
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 1 3 37
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 1 203 2 9 21 586
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 1 3 5 23 4 16 38 105
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 2 3 2 11 28 35
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 2 19 5 16 38 97
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 3 8 59 4 11 65 233
Property insurance loss distributions 0 0 1 23 0 0 9 115
Recent advances in electricity price forecasting: A review of probabilistic forecasting 3 4 19 221 7 23 105 744
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 1 12 49 4 16 79 166
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 70 2 7 23 282
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 72 2 8 19 223
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 12 29
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 1 4 1 4 6 43
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 1 2 11 54
Trading on short-term path forecasts of intraday electricity prices 0 2 8 63 3 10 66 219
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 1 4 55 0 4 23 204
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 3 32 1 15 35 145
Total Journal Articles 23 52 169 2,728 111 487 1,686 9,910

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) 1 1 7 461 2 8 41 1,668
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 7 22 71 1,373 15 47 243 3,294
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 1 129 0 4 14 465
Statistical Tools for Finance and Insurance 0 0 0 0 0 5 11 11
Total Books 8 23 79 1,963 17 64 309 5,438

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 2 7 7
FX smile in the Heston model 0 0 0 0 0 3 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 2 3 5 5
Loss Distributions 0 0 0 0 1 4 11 11
Modeling of the Risk Process 0 0 0 0 0 1 2 2
Models for heavy-tailed asset returns 0 0 0 0 0 0 1 1
Stable Distributions 0 0 0 0 2 4 5 5
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 2 11 0 4 12 35
Total Chapters 0 0 2 11 5 21 54 88

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 1 8 962 2 9 43 2,134
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 0 3 1,079 0 10 24 2,697
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 1 3 202 0 3 18 580
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 0 164 2 5 17 624
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 0 5 22 6,825
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 1 1,669 1 3 8 4,582
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 3 484 2 5 21 1,026
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 0 1 10 2,976 6 19 109 7,900
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 8 27 114
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 2 8 143 6 12 33 426
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 1 8 321 0 1 39 740
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 3 11 194 1 8 25 554
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 1 3 18 158 6 29 104 762
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 1 1 179 1 10 30 758
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 3 182 0 3 17 540
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 1 3 9 908
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 1 5 857 0 5 37 2,125
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 2 9 706
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 2 5 8 415
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 1 3 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 4 12 396
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 3 6 1,128
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 0 9 1,078 0 13 48 3,193
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 1 2 31 5,627 2 16 120 14,005
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 2 5 9 500
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 3 16 408
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 3 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 4 13 541
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 2 1,273 0 5 21 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 1 6 57 3,872
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 1 1 266 0 7 11 733
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 2 1,041 1 3 13 2,700
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 1 1 643 0 4 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 4 10 708
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 235 0 2 11 596
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 2 8 440 0 5 21 927
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 6 369 0 1 18 763
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 1 274 2 6 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 0 7 23 2 8 30 73
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 1 1 1 214 1 5 10 554
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 3 939 0 2 15 2,835
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 2 258 0 2 11 552
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 2 3 184 1 5 13 474
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,291 1 2 16 3,633
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 0 272 1 5 16 1,057
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 1 2 177 0 4 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 2 263 0 3 11 486
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 0 2 18 2,845
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 403 0 2 14 1,391
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 1 5 13 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 1 2 148 2 7 12 294
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 1 366 1 4 13 774
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 0 625 0 4 16 1,948
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 0 359 0 6 15 937
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 4 424 1 5 15 1,029
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 0 3 567 0 6 25 1,576
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 3 7 669
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 0 4 12 493
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 0 135 2 8 12 482
Total Software Items 4 25 188 34,132 53 334 1,333 94,997

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Statistics updated 2026-06-04