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 0 0 3 118
A note on averaging day-ahead electricity price forecasts across calibration windows 2 5 18 93 2 7 34 138
A note on using the Hodrick-Prescott filter in electricity markets 0 2 5 103 2 7 19 236
A review of electricity price forecasting: The past, the present and the future 0 0 1 233 0 3 9 290
A semiparametric factor model for electricity forward curve dynamics 0 0 0 68 0 0 3 171
A semiparametric factor model for electricity forward curve dynamics 0 1 2 98 1 2 5 233
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 14 1 3 6 113
A simple model of price formation 0 0 0 30 0 0 5 109
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 1 164 1 1 9 371
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 2 149 0 0 21 354
An introduction to simulation of risk processes 0 0 3 38 0 2 13 190
Analysis of ROBECO data by neural networks 0 0 0 6 0 0 2 68
Automated variable selection and shrinkage for day-ahead electricity price forecasting 3 7 25 137 5 14 49 253
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 1 1 6 6 2 2 10 10
Balancing RES generation: Profitability of an energy trader 2 3 52 52 6 10 69 69
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 2 55 55 0 4 74 74
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 28 0 4 7 236
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 67 0 3 5 165
Black swans or dragon kings? A simple test for deviations from the power law 0 0 2 112 0 4 12 377
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 40 0 2 7 120
Blackouts, risk, and fat-tailed distributions 0 1 1 196 0 2 2 582
Building Loss Models 2 9 46 310 12 43 232 1,298
Building Loss Models 0 0 2 7 0 1 7 42
Building Loss Models 0 0 1 24 0 2 9 162
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 1 5 71 2 8 28 130
Computationally intensive Value at Risk calculations 0 0 1 25 1 1 5 125
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 9 210 0 2 18 358
Convenience Yields for CO2 Emission Allowance Futures Contracts 0 0 4 321 1 2 9 961
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 55 0 2 13 137
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 3 99 0 1 8 358
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 4 78 0 1 12 251
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 7 10 10 10 13 23 23 23
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 2 48 0 2 12 54
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 1 10 194 3 9 37 357
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 1 50 0 3 13 143
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 1 3 71 1 4 13 142
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 1 3 171 2 5 13 402
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 1 9 0 2 5 69
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 1 11 357 1 7 25 785
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 1 6 170 1 2 16 328
Efficient forecasting of electricity spot prices with expert and LASSO models 0 1 5 46 0 1 17 60
Electricity price forecasting 5 14 94 323 25 69 324 770
Electricity price forecasting 2 3 77 117 4 12 154 212
Electricity price forecasting: A review of the state-of-the-art with a look into the future 3 5 19 321 6 16 66 689
Energy forecasting: A review and outlook 38 72 240 240 79 140 397 397
Energy price risk management 0 0 3 56 1 5 14 208
Estimating long range dependence: finite sample properties and confidence intervals 1 2 7 85 2 5 20 314
Evaluating the performance of VaR models in energy markets 0 0 6 148 0 6 25 220
Evolution in a changing environment 0 0 0 12 0 2 2 104
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 1 3 10 1,242 4 8 23 2,407
FX Smile in the Heston Model 0 1 2 96 0 3 12 280
FX Smile in the Heston Model 0 0 2 140 0 0 7 416
FX Smile in the Heston Model 0 0 1 56 0 0 8 192
FX Smile in the Heston Model 0 0 1 30 0 5 22 165
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 18 18 18 4 14 14 14
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 3 112 0 1 5 169
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 1 2 171 0 5 10 342
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 8 216 1 5 28 523
Forecasting the occurrence of electricity price spikes in the UK power market 2 6 16 187 4 14 55 395
Forecasting wholesale electricity prices: A review of time series models 0 0 1 125 0 2 6 295
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 129 0 3 14 224
Goodness-of-fit testing for regime-switching models 0 0 0 136 0 1 4 223
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 52 0 0 5 149
Habitat momentum 0 0 1 7 1 5 20 61
Heavy tails and electricity prices 0 0 1 22 0 1 9 129
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 2 224 0 2 9 497
Heavy-tailed distributions in VaR calculations 2 3 9 283 6 13 43 785
Heavy-tails and regime-switching in electricity prices 0 0 0 78 0 2 7 160
How effective is advertising in duopoly markets? 0 0 0 284 1 3 11 1,031
How effective is advertising in duopoly markets? 0 0 0 9 0 0 2 76
Hurst analysis of electricity price dynamics 0 0 3 52 0 2 13 172
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 3 118 0 1 11 213
Impact of social interactions on demand curves for innovative products 0 0 2 69 1 2 5 86
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 1 3 19 145 4 13 73 247
Improving short term load forecast accuracy via combining sister forecasts 0 3 13 225 2 10 39 396
Inference for Markov-regime switching models of electricity spot prices 0 1 9 206 2 7 25 438
Interval forecasting of spot electricity prices 0 0 1 31 0 0 5 98
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 1 3 102 1 6 25 501
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 2 616 0 1 11 1,436
Loss Distributions 0 0 3 160 1 5 14 448
Market price of risk implied by Asian-style electricity options 0 0 1 629 1 3 6 1,418
Measuring long-range dependence in electricity prices 0 0 2 43 0 5 10 118
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 2 9 124 1 5 15 195
Modeling and forecasting electricity loads: A comparison 0 1 6 1,261 1 4 48 2,832
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 2 6 144 2 5 16 300
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 1 5 27 0 2 11 176
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 1 5 70 2 8 24 181
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 1 49 0 2 9 177
Modeling electricity prices with regime switching models 0 1 4 1,021 2 5 17 1,856
Modeling electricity prices: jump diffusion and regime switching 0 1 6 206 1 4 25 561
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 104 0 0 1 193
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 1 3 13 666 1 7 42 1,208
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 1 6 352
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 0 3 51
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 1 44 0 0 3 235
Modelling price spikes in electricity markets - the impact of load, weather and capacity 4 7 18 164 4 11 38 351
Models for Heavy-tailed Asset Returns 0 0 2 195 0 1 14 374
Models for Heavy-tailed Asset Returns 0 0 4 38 2 6 18 167
Models for Heavy-tailed Asset Returns 0 0 1 65 1 3 12 190
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 4 23 23 23 6 16 16 16
On detecting and modeling periodic correlation in financial data 0 0 1 272 1 1 5 617
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 5 108 0 3 18 181
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 1 19 109 2 9 53 221
Origins of scaling in FX markets 0 0 0 34 0 2 6 148
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 2 7 119
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 22 0 1 3 89
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 53 0 4 7 188
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 1 1 2 217 3 4 20 624
Performance of the estimators of stable law parameters 0 0 2 25 1 2 7 113
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 1 193 0 1 3 636
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 12 0 1 4 111
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 1 16 0 0 4 129
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 1 49 1 2 8 235
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 2 4 35 114 2 7 75 197
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 10 238 0 7 52 475
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 1 5 172 4 7 24 292
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 2 8 30 465 3 16 76 949
Property insurance loss distributions 0 3 9 103 0 4 17 414
Recent advances in electricity price forecasting: A review of probabilistic forecasting 3 6 37 380 6 14 75 776
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 1 5 282
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 5 79 79 3 12 44 44
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 1 6 390 0 4 17 353
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 1 4 9 89
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 64 0 2 6 117
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 1 4 251 3 8 31 539
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 3 9 100
Selection of calibration windows for day-ahead electricity price forecasting 1 2 8 56 1 5 20 61
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 2 6 16 125 4 10 37 227
Short-term electricity price forecasting with time series models: A review and evaluation 2 9 31 356 6 24 89 943
Simulation of Risk Processes 0 0 0 95 0 0 1 286
Simulation of risk processes 0 0 1 25 0 2 4 126
Stable Distributions 0 1 6 225 0 3 14 405
Structure and stylized facts of a deregulated power market 0 0 2 108 0 1 9 363
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 7 16 65 232 30 68 283 853
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 28 0 2 10 60
To combine or not to combine? Recent trends in electricity price forecasting 3 4 14 151 6 15 59 262
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 4 19 202
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 0 39 0 4 19 144
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 2 18 142 0 5 60 238
Variance stabilizing transformations for electricity spot price forecasting 2 5 18 147 8 24 155 511
Visualization tools for insurance risk processes 0 0 0 25 6 8 12 139
Total Working Papers 109 303 1,415 21,155 322 964 4,126 49,753


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 5 11
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 2 9 33
A new model of mass extinctions 0 0 0 2 0 0 1 23
A note on using the Hodrick–Prescott filter in electricity markets 0 0 2 31 0 0 7 102
An empirical comparison of alternate regime-switching models for electricity spot prices 2 3 9 73 3 4 24 236
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 2 3 37 0 3 14 123
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 2 15 2 4 16 76
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 1 2 1 2 16 19
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 2 2 0 3 21 21
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 1 2 2 2 1 5 7 7
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 1 2 8 12 8 15 43 53
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 1 1 3 21 1 1 6 60
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 1 1 1 4 1 1 8 24
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 2 2 0 0 7 17
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 6 18 0 5 23 64
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 0 8 1 1 8 54
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 2 0 0 2 4
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 1 6 1 4 8 36
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 3 57 0 1 10 138
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 1 5 77 3 11 46 239
Energy price risk management 0 0 1 8 1 1 9 48
Estimating long-range dependence: finite sample properties and confidence intervals 0 1 3 25 0 1 12 84
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 2 11 0 1 8 51
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 1 5 15 156 2 9 53 451
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 1 2 27 0 3 9 91
Heavy-tails and regime-switching in electricity prices 0 1 2 9 1 2 11 50
How effective is advertising in duopoly markets? 0 0 0 3 0 0 2 41
Hurst analysis of electricity price dynamics 0 0 3 14 0 0 3 38
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 1 2 5 114 1 4 23 385
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 15 0 0 4 61
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 0 0
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 0 0 4 18
Market price of risk implied by Asian-style electricity options and futures 0 1 3 101 0 2 20 270
Modeling electricity loads in California: a continuous-time approach 0 0 0 10 0 0 1 33
Modeling electricity prices: jump diffusion and regime switching 1 2 3 29 1 2 9 89
Modelling catastrophe claims with left-truncated severity distributions 0 0 1 31 0 0 3 85
On detecting and modeling periodic correlation in financial data 0 0 0 10 0 0 8 50
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 0 5 219 0 1 12 462
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 1 3 5 23 2 7 17 89
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 0 5 5 3 4 14 14
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 6 8 0 2 21 25
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 1 4 32
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 4 5 12 177 5 7 29 495
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 1 1 1 2 5 5
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 2 7 33 1 4 17 103
Property insurance loss distributions 0 0 1 11 0 2 8 64
Recent advances in electricity price forecasting: A review of probabilistic forecasting 4 14 46 75 7 29 128 238
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 2 4 10 39 3 10 28 180
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 60 0 0 6 173
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 1 16
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 1 1 3 7 26
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 1 3 0 3 11 25
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 4 40 0 2 12 143
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 1 1 3 3 2 7 20 20
Total Journal Articles 22 55 197 1,647 53 173 800 5,295


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) 11 21 65 300 18 31 157 1,085
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 3 10 67 1,004 9 36 169 2,341
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 2 2 9 109 2 4 27 398
Total Books 16 33 141 1,413 29 71 353 3,824


Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 2 2 0 0 5 5
Total Chapters 0 0 2 2 0 0 5 5


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 6 18 87 756 14 40 187 1,650
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 2 4 31 1,018 6 13 77 2,520
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 1 1 5 172 1 3 21 495
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 1 1 2 150 1 3 28 500
COR: MATLAB function to compute the correlation coefficients 2 2 18 780 21 50 484 6,383
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 4 14 77 1,556 14 48 227 4,162
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 2 7 26 429 5 20 78 859
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 12 31 155 2,548 30 83 436 6,533
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 9 15 77 153 11 31 157 324
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 1 3 33 99 5 9 96 267
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 7 161 2 6 26 662
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 1 2 19 111 5 10 93 302
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 2 5 10 224 5 15 46 833
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 4 9 45 730 15 25 117 1,847
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 1 306 0 1 18 674
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 1 2 142 0 3 10 399
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 0 174 0 3 11 525
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 0 98 0 1 8 363
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 2 3 10 339 3 6 28 986
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 13 39 209 662 49 133 635 1,892
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 28 76 359 4,664 91 243 1,008 11,234
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 9 207 0 0 22 461
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods 0 1 10 157 1 2 35 342
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods 0 1 16 192 1 4 41 378
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 1 7 225 0 4 24 492
MFE Toolbox ver. 1.0.1 for MATLAB 6 8 45 1,166 23 37 154 2,704
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 6 10 83 1,475 15 39 197 3,363
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 1 3 250 0 2 13 679
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 4 8 34 992 6 18 101 2,531
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 1 5 20 602 3 15 62 1,462
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 2 3 6 278 2 4 20 628
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 2 4 10 204 2 6 27 521
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 3 6 21 382 6 12 43 758
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 2 4 16 321 2 6 38 664
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 1 3 13 243 1 4 25 624
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 199 0 1 10 505
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 7 10 45 865 23 36 154 2,566
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 2 6 11 224 3 7 19 486
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 1 3 6 156 1 3 10 414
REMST: MATLAB function to remove trend and seasonal component using the moving average method 3 11 38 1,255 12 37 155 3,443
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 3 4 13 245 7 21 87 941
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 2 4 23 142 5 10 45 287
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 2 2 48 184 2 5 75 343
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 2 7 37 687 16 39 154 2,372
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 1 10 382 0 2 58 1,285
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 1 8 504 0 3 19 1,178
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 2 14 106 0 5 37 209
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 1 2 19 297 3 6 41 616
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 2 4 14 599 9 20 106 1,816
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 1 2 17 292 6 12 49 780
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 1 2 16 370 2 6 39 875
STABLERND: MATLAB function to generate random numbers from the stable distribution 0 1 4 503 6 12 41 1,377
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 2 4 227 1 6 23 634
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 1 121 0 2 17 441
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 1 5 116 0 2 17 359
Total Software Items 144 351 1,800 29,440 436 1,134 5,749 79,944


Statistics updated 2020-11-03