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 3 126
A note on averaging day-ahead electricity price forecasts across calibration windows 1 4 15 118 1 5 25 181
A note on using the Hodrick-Prescott filter in electricity markets 0 1 3 107 1 2 17 261
A review of electricity price forecasting: The past, the present and the future 1 1 3 238 3 4 16 316
A semiparametric factor model for electricity forward curve dynamics 0 1 3 104 0 2 5 244
A semiparametric factor model for electricity forward curve dynamics 0 0 0 68 0 0 0 172
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 1 2 16 0 2 10 124
A simple model of price formation 0 1 1 31 0 1 4 114
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 164 0 0 3 375
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 1 5 155 0 2 30 395
An introduction to simulation of risk processes 0 0 3 43 2 2 12 205
Analysis of ROBECO data by neural networks 0 0 0 8 0 0 2 75
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 0 4 154 0 1 16 300
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 4 13 0 1 11 29
Balancing RES generation: Profitability of an energy trader 1 2 8 66 1 4 24 115
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 1 1 5 67 1 2 11 99
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 1 29 0 0 4 244
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 112 1 1 1 383
Black swans or dragon kings? A simple test for deviations from the power law 1 1 1 42 1 1 3 126
Black swans or dragon kings? A simple test for deviations from the power law 0 0 1 68 0 0 1 171
Blackouts, risk, and fat-tailed distributions 0 0 1 198 0 1 7 590
Building Loss Models 0 0 0 25 0 0 1 167
Building Loss Models 0 0 0 7 0 0 1 46
Building Loss Models 0 0 5 318 2 5 55 1,420
Calibration window selection based on change-point detection for forecasting electricity prices 1 1 1 1 3 3 3 3
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 1 72 0 0 3 136
Computationally intensive Value at Risk calculations 0 0 0 25 0 1 3 131
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 1 3 216 1 2 14 386
Convenience Yields for CO2 Emission Allowance Futures Contracts 0 0 0 324 0 1 16 994
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 2 5 69 1 3 15 170
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 3 103 0 1 7 374
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 1 1 1 79 1 5 12 270
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 6 27 2 5 17 89
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 1 50 0 2 9 66
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 2 13 215 3 7 30 407
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 0 54 0 0 3 159
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 1 75 0 1 3 152
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 1 1 5 182 1 1 9 427
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 9 0 0 3 74
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 2 2 363 1 5 16 809
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 0 171 0 0 2 334
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 2 50 1 1 8 76
Electricity Price Forecasting: The Dawn of Machine Learning 111 111 111 111 211 211 211 211
Electricity price forecasting 3 4 12 133 3 5 54 282
Electricity price forecasting 3 7 73 462 8 34 394 1,406
Electricity price forecasting: A review of the state-of-the-art with a look into the future 1 4 8 341 2 9 40 770
Energy forecasting: A review and outlook 2 2 13 284 4 5 96 736
Energy price risk management 0 0 0 56 0 0 1 212
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 3 13 13 5 10 33 33
Estimating long range dependence: finite sample properties and confidence intervals 0 1 2 87 0 1 6 326
Evaluating the performance of VaR models in energy markets 0 0 0 149 0 0 0 226
Evolution in a changing environment 0 0 0 12 0 0 3 109
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 2 6 1,254 2 4 22 2,443
FX Smile in the Heston Model 0 0 1 33 0 1 4 174
FX Smile in the Heston Model 0 1 3 99 0 2 12 298
FX Smile in the Heston Model 0 0 0 57 0 2 2 197
FX Smile in the Heston Model 0 1 1 141 0 2 3 422
Forecasting Electricity Prices 0 0 0 0 0 0 0 0
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 2 7 37 1 3 19 68
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 2 114 0 0 3 176
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 2 174 0 1 5 352
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 7 225 3 8 24 554
Forecasting the occurrence of electricity price spikes in the UK power market 1 4 14 206 2 5 20 429
Forecasting wholesale electricity prices: A review of time series models 0 0 0 126 0 0 0 298
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 2 132 3 4 19 247
Goodness-of-fit testing for regime-switching models 0 1 4 140 0 1 8 231
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 1 53 0 0 1 154
Habitat momentum 0 0 0 7 1 1 2 63
Heavy tails and electricity prices 1 2 3 26 1 2 9 144
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 1 226 0 1 5 504
Heavy-tailed distributions in VaR calculations 0 3 9 298 1 9 27 835
Heavy-tails and regime-switching in electricity prices 0 0 0 78 0 0 3 164
How effective is advertising in duopoly markets? 0 0 0 9 0 0 0 76
How effective is advertising in duopoly markets? 0 0 0 284 0 0 10 1,047
Hurst analysis of electricity price dynamics 0 0 2 58 0 1 5 183
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 1 119 0 1 5 219
Impact of social interactions on demand curves for innovative products 0 0 0 69 0 0 3 95
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 1 3 154 0 4 12 290
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 1 1 15 44 4 7 51 89
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 228 0 0 9 425
Inference for Markov-regime switching models of electricity spot prices 0 2 3 215 3 5 14 464
Interval forecasting of spot electricity prices 0 0 0 31 0 1 8 110
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 30 30
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 1 104 1 1 9 520
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 2 618 0 0 3 1,445
Loss Distributions 0 0 3 166 1 5 17 473
Market price of risk implied by Asian-style electricity options 0 0 0 629 0 0 3 1,421
Measuring long-range dependence in electricity prices 0 2 3 48 0 2 6 129
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 1 6 133 2 5 17 223
Modeling and forecasting electricity loads: A comparison 0 0 1 1,262 0 1 10 2,846
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 0 146 0 0 4 306
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 1 1 28 0 1 1 181
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 4 76 0 0 7 194
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 1 51 0 0 3 185
Modeling electricity prices with regime switching models 1 1 4 1,027 1 1 15 1,874
Modeling electricity prices: jump diffusion and regime switching 2 2 6 214 5 7 18 588
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 1 106 0 1 4 199
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 2 3 673 0 3 10 1,234
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 0 6 358
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 0 0 52
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 44 0 0 0 236
Modelling price spikes in electricity markets - the impact of load, weather and capacity 1 2 12 188 2 5 34 421
Models for Heavy-tailed Asset Returns 0 0 0 38 0 3 13 188
Models for Heavy-tailed Asset Returns 0 0 2 68 0 0 5 200
Models for Heavy-tailed Asset Returns 0 0 1 198 2 2 10 391
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 5 6 28 42 9 10 66 70
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 5 38 1 1 16 50
On detecting and modeling periodic correlation in financial data 1 1 1 274 2 4 6 625
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 1 111 0 0 5 192
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 7 119 2 4 19 256
Origins of scaling in FX markets 0 0 1 35 0 0 3 152
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 0 4 124
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 22 0 0 4 94
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 54 0 0 4 194
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 1 9 231 0 1 26 658
Performance of the estimators of stable law parameters 0 0 1 28 1 1 4 122
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 1 1 194 0 1 2 641
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 12 0 0 7 124
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 0 0 1 132
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 0 4 243
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 3 11 141 2 7 34 258
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 4 11 254 0 8 34 537
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 2 175 0 1 34 341
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 2 10 489 1 8 38 1,021
Property insurance loss distributions 0 0 4 109 0 1 13 433
Recent advances in electricity price forecasting: A review of probabilistic forecasting 3 7 21 413 3 9 49 855
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 1 2 284
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 2 5 27 129 5 11 51 132
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 1 4 395 0 3 21 380
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 0 3 96
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 1 10 265 0 5 25 579
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 0 0 0 118
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 0 3 108
Selection of calibration windows for day-ahead electricity price forecasting 0 0 6 63 0 2 12 83
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 8 142 1 3 35 281
Short-term electricity price forecasting with time series models: A review and evaluation 4 13 42 418 11 33 99 1,100
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 2 9 31 42 7 18 91 112
Simulation of Risk Processes 0 0 2 97 0 0 6 293
Simulation of risk processes 0 0 1 26 0 0 7 133
Stable Distributions 1 2 4 230 2 4 15 434
Structure and stylized facts of a deregulated power market 0 0 0 109 0 0 5 372
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 1 3 48 316 7 23 245 1,324
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 1 32 0 1 10 82
To combine or not to combine? Recent trends in electricity price forecasting 2 3 11 171 2 4 35 319
Trading on short-term path forecasts of intraday electricity prices 5 10 22 52 6 14 49 113
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 0 1 212
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 3 43 0 1 16 170
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 3 151 0 4 14 262
Variance stabilizing transformations for electricity spot price forecasting 1 3 15 168 3 14 74 621
Visualization tools for insurance risk processes 0 0 5 30 0 0 14 153
Total Working Papers 166 263 837 22,592 360 648 3,009 54,974

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A SIMPLE MODEL OF PRICE FORMATION 0 0 0 2 0 0 0 12
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 1 2 37
A new model of mass extinctions 0 0 0 2 0 0 0 23
A note on using the Hodrick–Prescott filter in electricity markets 0 0 0 31 0 0 2 110
An empirical comparison of alternate regime-switching models for electricity spot prices 1 1 6 81 1 2 15 260
An empirical comparison of alternative schemes for combining electricity spot price forecasts 1 1 3 43 1 1 10 146
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 0 17 0 0 3 84
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 2 5 0 1 9 31
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 1 4 0 2 4 36
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 3 7 0 0 10 22
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 5 23 0 0 18 91
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 4 25 0 3 18 83
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 0 0 9 0 0 7 38
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 0 0 19
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 4 12 33 1 6 32 109
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 1 1 3 11 1 1 7 64
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 3 0 0 3 10
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 1 3 45
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 1 1 2 60 1 1 4 143
Electricity price forecasting: A review of the state-of-the-art with a look into the future 3 4 12 90 8 20 54 309
Energy price risk management 0 0 0 8 0 0 2 52
Estimating long-range dependence: finite sample properties and confidence intervals 0 2 4 32 2 7 14 105
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 2 6 6 0 4 23 23
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 1 12 0 0 1 53
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 1 3 18 187 2 6 45 517
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 2 29 0 0 5 98
Heavy-tails and regime-switching in electricity prices 0 0 1 11 0 0 4 62
How effective is advertising in duopoly markets? 0 0 0 3 0 0 1 44
Hurst analysis of electricity price dynamics 0 0 0 14 0 0 1 42
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 1 3 10 128 2 8 31 425
Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO 0 0 4 4 0 3 11 11
Improving short term load forecast accuracy via combining sister forecasts 0 0 2 17 0 0 7 72
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 4 5
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 0 0 4 24
Market price of risk implied by Asian-style electricity options and futures 0 0 0 101 0 0 4 276
Modeling electricity loads in California: a continuous-time approach 0 0 1 11 0 0 3 38
Modeling electricity prices: jump diffusion and regime switching 0 0 2 33 2 2 8 105
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 31 0 0 2 88
On detecting and modeling periodic correlation in financial data 1 1 1 12 1 1 2 54
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 1 4 16 241 3 8 29 503
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 1 1 1 26 1 3 5 97
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 1 3 11 0 1 10 30
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 1 10 0 1 6 41
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 0 32
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 1 7 192 1 3 20 538
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 2 3 5 1 4 17 27
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 4 38 1 3 13 123
Property insurance loss distributions 0 0 5 17 0 4 25 91
Recent advances in electricity price forecasting: A review of probabilistic forecasting 3 11 37 133 8 21 98 408
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 0 6 7 0 3 26 28
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 3 50 0 1 11 215
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 1 1 2 64 1 1 5 185
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 0 16
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 2 0 0 2 32
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 2 5 0 0 9 39
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 1 1 2 43 1 1 10 157
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 2 4 14 1 3 26 65
Total Journal Articles 19 48 201 1,964 40 127 685 6,393

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 22 62 411 3 50 212 1,492
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 4 17 55 1,102 6 40 174 2,637
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 1 118 0 0 7 422
Total Books 5 39 118 1,631 9 90 393 4,551

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 4 4
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 1 1 1 1
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 4 6 0 0 5 12
Total Chapters 0 0 4 6 1 1 10 17

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 3 12 61 851 6 25 122 1,865
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 2 17 1,042 4 12 48 2,599
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 3 180 0 1 17 520
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 2 154 0 0 75 580
COR: MATLAB function to compute the correlation coefficients 0 1 7 798 4 14 85 6,546
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 1 8 47 1,629 11 25 163 4,443
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 3 6 16 452 4 8 36 925
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 10 21 129 2,767 17 66 446 7,232
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 2 12 12 2 6 39 39
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 4 9 25 25 8 18 64 64
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 3 37 233 2 11 89 517
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 2 26 141 2 9 73 412
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 4 13 49 49 17 58 216 216
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 7 169 0 2 17 691
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 1 24 41 159 2 40 114 459
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 1 3 230 0 3 16 866
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 1 10 40 796 1 14 74 1,981
HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) 2 2 7 313 2 2 12 687
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 2 144 0 0 3 404
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 0 175 0 0 3 532
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 1 99 0 1 4 369
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 3 6 13 365 3 12 44 1,056
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 13 26 110 868 43 92 416 2,570
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 11 41 256 5,086 44 136 811 12,609
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 5 215 0 1 13 478
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 3 165 0 0 14 371
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods 2 2 9 203 3 3 16 398
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 1 7 235 0 1 16 512
MFE Toolbox ver. 1.0.1 for MATLAB 5 12 36 1,222 12 27 169 2,970
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 2 8 50 1,566 5 19 140 3,599
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 1 1 5 258 1 3 16 706
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 2 16 1,021 3 9 57 2,639
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 2 3 18 630 2 4 37 1,528
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 1 1 9 293 1 2 24 667
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 2 3 10 221 2 4 26 559
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 3 3 11 402 3 4 20 803
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 1 1 9 340 1 2 14 694
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 1 1 6 258 1 1 12 651
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 2 205 0 2 10 525
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 2 4 22 905 5 15 86 2,736
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 11 243 0 0 16 514
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 1 1 9 169 1 1 16 440
REMST: MATLAB function to remove trend and seasonal component using the moving average method 1 2 11 1,277 4 15 55 3,555
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 2 5 8 257 4 10 33 1,006
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 1 4 11 160 1 4 32 339
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 2 40 234 2 6 57 415
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 2 8 28 740 11 39 153 2,632
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 1 5 390 2 8 22 1,324
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 2 508 0 1 5 1,189
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 2 4 15 127 2 4 23 245
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 3 310 1 4 14 664
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 1 6 611 1 2 41 1,897
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 4 306 0 3 11 809
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 4 14 392 1 5 41 948
STABLERND: MATLAB function to generate random numbers from the stable distribution 3 3 11 523 4 14 34 1,444
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 4 233 0 1 8 646
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 3 126 0 0 13 458
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 1 4 122 1 5 55 423
Total Software Items 91 267 1,318 31,604 246 774 4,286 86,966

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