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 4 132
A note on averaging day-ahead electricity price forecasts across calibration windows 1 4 9 161 2 7 16 254
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 114 1 2 11 292
A review of electricity price forecasting: The past, the present and the future 0 1 2 245 1 4 7 339
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 5 6 9 186
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 0 1 255
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 3 135
A simple model of price formation 0 0 0 33 0 5 8 128
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 2 7 10 388
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 4 4 5 412
An introduction to simulation of risk processes 0 2 2 50 2 5 5 217
Analysis of ROBECO data by neural networks 0 0 0 8 1 2 3 84
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 1 161 4 9 13 334
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 18 0 3 7 48
Balancing RES generation: Profitability of an energy trader 0 0 0 73 0 2 7 148
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 2 4 80 0 9 18 134
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 1 3 4 252
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 0 2 5 133
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 0 2 4 180
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 115 3 8 12 407
Blackouts, risk, and fat-tailed distributions 0 0 0 200 1 1 4 597
Building Loss Models 0 0 0 25 3 4 6 176
Building Loss Models 0 0 0 319 3 5 8 1,435
Building loss models 0 0 0 7 0 4 6 52
Calibration window selection based on change-point detection for forecasting electricity prices 0 1 2 37 1 3 5 53
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 0 3 4 148
Computationally intensive Value at Risk calculations 0 0 0 29 4 5 5 145
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 2 3 226 0 7 13 422
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 75 1 3 5 196
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 1 5 1,017
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 1 107 2 4 7 396
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 1 1 4 91 3 8 28 331
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 2 19 19 1 9 51 51
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 1 3 4 37 6 10 17 133
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 3 57 0 7 10 87
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 3 9 241 4 16 30 476
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 1 1 2 56 2 4 8 175
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 10 13 15 169
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 1 4 11 448
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 2 2 3 79
Distributional neural networks for electricity price forecasting 0 1 3 36 1 4 10 64
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 371 6 9 12 856
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 0 175 3 8 9 354
Efficient forecasting of electricity spot prices with expert and LASSO models 0 1 1 53 2 11 13 98
Electricity Price Forecasting: The Dawn of Machine Learning 0 0 4 172 2 3 11 345
Electricity price forecasting 1 2 15 540 5 7 28 1,643
Electricity price forecasting 1 1 5 156 2 5 14 338
Electricity price forecasting: A review of the state-of-the-art with a look into the future 2 9 19 380 8 29 64 908
Energy forecasting: A review and outlook 0 0 2 300 2 4 17 803
Energy price risk management 0 0 0 60 1 4 5 229
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 0 3 52 3 7 26 131
Estimating long range dependence: finite sample properties and confidence intervals 0 0 1 91 2 5 7 345
Evaluating the performance of VaR models in energy markets 0 0 1 151 1 3 4 235
Evolution in a changing environment 0 0 0 13 3 5 8 121
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 1 7 25 88 3 11 50 140
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 2 1,272 2 3 10 2,498
FX Smile in the Heston Model 1 1 1 144 1 3 5 453
FX Smile in the Heston Model 0 0 0 34 1 4 6 195
FX Smile in the Heston Model 0 0 0 57 1 2 3 206
FX smile in the Heston model 0 0 1 100 2 5 9 310
Forecasting Electricity Prices 0 2 12 54 42 47 76 162
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 2 39 1 4 9 81
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 1 1 116 3 4 6 189
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 1 4 6 367
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 1 2 231 2 8 10 582
Forecasting the occurrence of electricity price spikes in the UK power market 1 2 4 225 2 4 9 470
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 0 1 4 304
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 2 3 9 282
Goodness-of-fit testing for regime-switching models 0 0 0 140 0 0 4 245
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 1 1 4 160
Habitat momentum 0 0 0 7 1 1 1 66
Heavy tails and electricity prices 0 0 2 33 1 4 8 172
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 3 4 6 512
Heavy-tailed distributions in VaR calculations 0 0 2 322 2 13 16 908
Heavy-tails and regime-switching in electricity prices 0 0 1 79 2 8 16 185
How effective is advertising in duopoly markets? 0 0 0 285 2 3 3 1,051
How effective is advertising in duopoly markets? 0 0 0 9 0 1 3 81
Hurst analysis of electricity price dynamics 0 0 0 63 3 4 12 206
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 121 0 6 10 233
Impact of social interactions on demand curves for innovative products 0 1 1 70 2 5 6 107
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 3 5 171 1 8 15 328
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 1 2 3 56 3 8 11 123
Improving short term load forecast accuracy via combining sister forecasts 0 1 1 235 3 7 8 448
Inference for Markov-regime switching models of electricity spot prices 0 1 1 225 1 7 8 501
Interval forecasting of spot electricity prices 0 0 0 31 1 2 5 124
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 1 31
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 3 3 8 551
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 5 5 8 1,465
Loss Distributions 0 0 1 181 0 2 7 535
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 1 7 52 88 4 10 82 154
Market price of risk implied by Asian-style electricity options 0 0 0 629 1 2 2 1,426
Measuring long-range dependence in electricity prices 0 0 0 50 0 0 3 135
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 1 3 142 0 4 12 244
Modeling and forecasting electricity loads: A comparison 1 1 1 1,266 2 4 9 2,862
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 1 1 4 155 5 7 11 339
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 1 1 184
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 1 1 3 208
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 1 2 3 198
Modeling electricity prices with regime switching models 1 2 2 1,034 2 4 4 1,891
Modeling electricity prices: jump diffusion and regime switching 0 1 1 222 2 6 6 613
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 3 5 5 204
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 4 690 1 3 11 1,273
Modeling the risk process in the XploRe computing environment 0 0 0 131 3 4 7 367
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 0 1 56
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 0 3 6 253
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 3 6 210 1 9 16 487
Models for Heavy-tailed Asset Returns 0 1 1 41 1 8 12 208
Models for Heavy-tailed Asset Returns 0 1 1 202 3 7 10 463
Models for heavy-tailed asset returns 0 0 1 71 2 4 7 215
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 0 52 2 10 22 141
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 44 3 9 11 76
On detecting and modeling periodic correlation in financial data 0 0 0 280 1 2 3 636
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 2 117 1 3 10 213
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 1 2 133 2 5 8 287
Origins of scaling in FX markets 0 0 0 35 0 3 5 158
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 1 2 4 129
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 25 0 0 2 107
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 56 1 1 5 205
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 1 2 6 689
Performance of the estimators of stable law parameters 1 1 1 32 2 3 5 139
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 2 3 5 653
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 2 6 39 39 6 14 93 93
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 2 3 14 0 3 11 29
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 13 0 0 1 129
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 1 2 2 137
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 5 7 7 254
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 2 158 18 19 29 325
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 4 282 2 5 12 607
Probabilistic intraday electricity price forecasting using generative machine learning 0 1 18 18 0 6 11 11
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 2 2 185 3 8 11 368
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 2 5 7 517 11 22 29 1,101
Property insurance loss distributions 1 1 1 111 1 1 2 441
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 1 5 439 1 1 12 924
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 0 2 288
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 2 3 162 19 26 32 229
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 0 398 4 10 13 405
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 1 3 4 103
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 1 3 5 127
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 1 2 4 590
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 2 5 116
Selection of calibration windows for day-ahead electricity price forecasting 1 2 3 74 3 7 14 117
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 1 3 160 1 5 10 322
Short-term electricity price forecasting with time series models: A review and evaluation 1 3 13 510 1 5 28 1,319
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 1 60 4 10 15 160
Simulation of Risk Processes 0 1 1 98 3 6 7 305
Simulation of risk processes 0 0 0 27 2 5 6 146
Stable distributions 0 0 1 238 3 4 8 472
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 1 5 5 0 3 4 4
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 2 9 9 0 2 8 8
Structure and stylized facts of a deregulated power market 0 2 2 111 1 4 4 379
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 0 2 325 6 7 15 1,394
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 0 1 2 87
To combine or not to combine? Recent trends in electricity price forecasting 0 0 3 190 1 4 13 369
Trading on short-term path forecasts of intraday electricity prices 1 5 10 153 6 20 43 301
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 2 6 26 98 5 12 59 194
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 1 1 216
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 2 2 48 1 4 5 182
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 4 196 0 2 8 346
Variance stabilizing transformations for electricity spot price forecasting 1 3 10 202 6 16 31 763
Visualization tools for insurance risk processes 0 0 0 30 1 1 3 173
Total Working Papers 31 130 454 24,447 375 873 1,859 60,532

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 2 18
A conditionally exponential decay approach to scaling in finance 0 0 0 6 1 2 4 44
A new model of mass extinctions 0 0 0 2 2 2 3 26
A note on using the Hodrick–Prescott filter in electricity markets 0 0 4 37 1 7 12 130
A semiparametric factor model for electricity forward curve dynamics 1 1 1 1 2 4 11 11
An empirical comparison of alternate regime-switching models for electricity spot prices 0 2 8 104 3 7 23 308
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 0 3 59 4 8 21 201
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 20 5 8 8 101
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 1 4 6 43
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 1 6 9 48
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 2 4 7 34
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 0 31 1 4 7 117
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 0 3 8 3 7 13 39
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 1 3 34 0 5 16 115
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 1 1 2 14 5 6 10 56
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 1 5 25
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 4 51 3 11 23 183
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 14 0 5 10 79
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 5 5 5 7 18
Distributional neural networks for electricity price forecasting 0 0 4 17 7 10 23 66
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 2 5 6 54
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 64 1 5 6 159
Electricity price forecasting: A review of the state-of-the-art with a look into the future 2 9 18 158 25 60 96 562
Energy price risk management 0 0 0 9 2 3 7 68
Estimating long-range dependence: finite sample properties and confidence intervals 1 1 4 46 2 8 15 170
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 8 12 14 14
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 4 17 10 16 32 90
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 3 4 61
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 1 1 202 1 7 15 564
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 2 2 4 107
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 0 3 68
How effective is advertising in duopoly markets? 0 0 1 4 9 10 11 59
Hurst analysis of electricity price dynamics 0 0 0 17 0 1 6 55
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 2 146 1 4 10 485
Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO 0 0 0 5 1 1 2 18
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 2 2 4 90
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 1 2 9
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 1 2 2 29
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 2 2 2 3 8 8 8
Market price of risk implied by Asian-style electricity options and futures 0 0 1 109 0 2 7 295
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 1 3 4 43
Modeling electricity prices: jump diffusion and regime switching 1 3 5 51 7 12 17 154
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 1 1 1 97
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 2 10 20 5 15 36 89
On detecting and modeling periodic correlation in financial data 0 0 0 12 2 3 3 58
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 2 11 280 7 21 45 603
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 2 6 36 0 6 18 133
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 1 19 2 5 9 64
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 0 18 4 6 11 68
Operational Research: methods and applications 0 0 1 1 1 3 8 10
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 0 34
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 1 3 203 4 7 10 572
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 1 2 20 8 12 18 83
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 3 3 5 9 13 18
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 1 2 18 3 8 17 72
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 4 53 21 24 36 199
Property insurance loss distributions 1 1 4 23 2 3 7 110
Recent advances in electricity price forecasting: A review of probabilistic forecasting 2 8 20 216 14 42 96 707
Regularized quantile regression averaging for probabilistic electricity price forecasting 4 8 17 48 16 37 64 137
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 5 68 0 1 17 263
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 2 72 5 7 13 211
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 3 5 5 22
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 1 1 2 4 1 1 3 38
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 2 4 5 47
Trading on short-term path forecasts of intraday electricity prices 1 4 12 61 3 25 50 186
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 1 3 54 2 7 19 196
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 3 31 0 6 15 123
Total Journal Articles 16 54 183 2,656 235 533 1,014 8,964

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 4 5 458 10 17 36 1,654
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 4 13 51 1,334 70 99 176 3,189
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 1 3 129 3 6 11 459
Total Books 5 18 59 1,921 83 122 223 5,302

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 2 4 8
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 1 1 1 6
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 1 2 11 2 4 7 29
Total Chapters 0 1 2 11 3 7 12 43

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 4 15 961 15 26 44 2,123
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 1 5 1,079 1 5 14 2,682
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 4 201 8 11 19 576
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 164 1 4 12 616
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 2 5 8 6,810
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 2 1,669 0 0 6 4,576
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 1 5 484 5 8 18 1,017
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 1 3 16 2,973 36 49 96 7,862
ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 2 2 4 31 5 9 20 101
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 2 5 12 141 4 11 34 412
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 5 14 320 3 11 49 734
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 13 191 1 7 24 544
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 2 3 18 149 12 23 90 711
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 178 1 4 15 739
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 1 180 1 2 8 531
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 1 3 5 903
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 1 9 856 3 19 37 2,116
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 2 5 701
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 1 1 2 408
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 185 1 3 7 557
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 1 104 3 5 9 389
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 1 1 2 1,124
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 4 19 1,076 8 18 58 3,173
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 2 6 54 5,617 20 39 151 13,960
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 0 2 492
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 2 4 7 399
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 1 2 3 428
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 2 2 243 4 8 8 536
MFE Toolbox ver. 1.0.1 for MATLAB 0 1 4 1,273 1 5 15 3,116
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 1 3 11 1,639 12 31 67 3,859
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 0 265 0 1 3 725
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 2 3 1,041 0 4 9 2,693
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 642 0 5 7 1,584
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 2 307 1 3 6 701
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 1 235 2 2 5 589
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 1 4 6 437 1 4 9 912
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 4 7 369 4 11 29 759
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 0 273 3 5 6 688
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 3 8 21 2 8 25 58
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 0 1 2 546
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 3 938 4 6 12 2,830
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 1 257 1 5 8 547
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 1 181 4 5 6 466
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,290 5 8 16 3,629
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 1 272 3 5 7 1,047
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 1 1 1 176 2 2 4 381
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 1 5 263 1 6 10 482
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 402 1 4 11 1,385
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 3 6 11 2,836
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 1 3 6 1,205
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 0 0 146 1 2 5 286
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 1 2 366 2 4 6 765
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 1 625 1 5 9 1,939
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 1 359 5 5 11 927
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 4 4 424 3 10 12 1,024
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 0 4 566 1 11 17 1,565
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 2 2 3 665
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 1 3 5 486
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 2 135 1 2 9 473
Total Software Items 14 64 270 34,076 209 454 1,104 94,388

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Statistics updated 2026-01-08