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 5 132
A note on averaging day-ahead electricity price forecasts across calibration windows 0 2 13 157 0 3 26 247
A note on using the Hodrick-Prescott filter in electricity markets 0 0 1 114 3 4 12 290
A review of electricity price forecasting: The past, the present and the future 0 1 2 244 0 1 4 334
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 0 0 1 255
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 2 2 3 179
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 1 18 0 1 3 133
A simple model of price formation 0 0 0 33 0 0 4 123
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 1 165 1 1 5 381
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 0 0 2 408
An introduction to simulation of risk processes 0 0 1 48 0 0 2 212
Analysis of ROBECO data by neural networks 0 0 0 8 0 1 3 82
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 1 1 161 0 2 3 323
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 17 0 0 5 44
Balancing RES generation: Profitability of an energy trader 0 0 0 73 0 1 8 146
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 0 0 1 76 0 4 7 122
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 0 1 249
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 69 0 1 2 178
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 114 2 2 4 398
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 2 5 131
Blackouts, risk, and fat-tailed distributions 0 0 1 200 0 0 4 596
Building Loss Models 0 0 0 25 1 1 3 172
Building Loss Models 0 0 0 319 1 1 3 1,430
Building loss models 0 0 0 7 1 1 1 47
Calibration window selection based on change-point detection for forecasting electricity prices 0 1 1 36 0 1 2 50
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 1 1 4 145
Computationally intensive Value at Risk calculations 0 0 0 29 0 0 0 140
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 1 1 224 0 2 6 413
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 0 75 0 1 3 192
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 0 4 1,015
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 1 107 0 0 4 392
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 3 90 2 10 20 322
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 1 1 16 16 2 3 41 41
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 3 34 1 1 10 120
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 1 2 2 56 2 3 4 80
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 0 1 10 238 1 5 19 459
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 1 55 1 1 4 170
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 0 1 4 156
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 1 186 1 1 9 444
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 0 2 77
Distributional neural networks for electricity price forecasting 0 1 2 34 1 4 9 59
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 371 0 0 4 847
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 0 0 175 0 1 3 346
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 52 0 0 4 87
Electricity Price Forecasting: The Dawn of Machine Learning 0 0 6 171 0 1 15 341
Electricity price forecasting 0 1 6 155 0 2 13 332
Electricity price forecasting 2 4 17 538 3 9 32 1,636
Electricity price forecasting: A review of the state-of-the-art with a look into the future 2 5 12 371 6 14 46 872
Energy forecasting: A review and outlook 0 0 2 300 1 3 6 792
Energy price risk management 0 0 0 60 0 0 3 225
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 6 52 3 8 25 124
Estimating long range dependence: finite sample properties and confidence intervals 0 1 3 91 0 1 6 340
Evaluating the performance of VaR models in energy markets 0 0 1 151 0 0 2 232
Evolution in a changing environment 0 0 0 13 1 1 4 116
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 3 7 51 81 10 15 83 127
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 2 1,272 0 1 9 2,495
FX Smile in the Heston Model 0 0 0 143 1 1 14 449
FX Smile in the Heston Model 0 0 0 57 0 0 1 204
FX Smile in the Heston Model 0 0 0 34 2 2 5 191
FX smile in the Heston model 0 0 1 100 0 1 4 305
Forecasting Electricity Prices 1 2 10 49 2 6 32 110
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 1 1 2 39 1 3 5 77
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 0 115 0 0 4 185
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 0 0 0 177 0 1 3 363
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 230 0 0 3 573
Forecasting the occurrence of electricity price spikes in the UK power market 0 2 3 223 0 2 8 466
Forecasting wholesale electricity prices: A review of time series models 0 0 0 127 0 0 3 303
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 2 139 1 1 16 279
Goodness-of-fit testing for regime-switching models 0 0 0 140 2 2 4 245
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 1 1 3 159
Habitat momentum 0 0 0 7 0 0 1 65
Heavy tails and electricity prices 0 0 2 33 0 1 7 168
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 0 0 2 507
Heavy-tailed distributions in VaR calculations 0 0 3 322 0 0 5 895
Heavy-tails and regime-switching in electricity prices 0 0 1 79 1 2 8 176
How effective is advertising in duopoly markets? 0 0 0 9 0 0 4 80
How effective is advertising in duopoly markets? 0 0 0 285 0 0 0 1,048
Hurst analysis of electricity price dynamics 0 0 0 63 0 4 8 202
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 1 1 121 1 2 4 227
Impact of social interactions on demand curves for innovative products 0 0 0 69 0 1 2 102
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 0 3 168 1 2 9 320
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 0 1 54 0 1 4 115
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 234 0 0 2 441
Inference for Markov-regime switching models of electricity spot prices 0 0 2 224 0 0 13 494
Interval forecasting of spot electricity prices 0 0 0 31 1 1 3 121
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 0 621 2 3 6 1,460
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 0 3 10 548
Loss Distributions 0 0 3 181 1 3 12 532
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 4 9 61 81 4 17 93 140
Market price of risk implied by Asian-style electricity options 0 0 0 629 0 0 1 1,424
Measuring long-range dependence in electricity prices 0 0 0 50 0 0 4 135
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 1 3 141 1 4 9 239
Modeling and forecasting electricity loads: A comparison 0 0 0 1,265 0 3 5 2,858
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 1 2 153 0 1 7 331
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 0 1 183
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 2 80 0 1 6 207
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 0 1 195
Modeling electricity prices with regime switching models 0 0 0 1,032 0 0 1 1,887
Modeling electricity prices: jump diffusion and regime switching 0 0 0 221 0 0 1 607
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 0 0 199
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 0 5 690 1 2 12 1,270
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 0 3 363
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 1 5 250
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 0 4 206 0 1 10 475
Models for Heavy-tailed Asset Returns 0 0 0 201 1 1 4 455
Models for Heavy-tailed Asset Returns 0 0 1 40 0 0 6 200
Models for heavy-tailed asset returns 0 0 1 71 0 0 3 210
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 1 52 2 8 17 130
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 0 1 44 0 1 4 67
On detecting and modeling periodic correlation in financial data 0 0 0 280 0 1 1 634
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 0 2 116 0 1 12 210
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 1 1 132 0 1 3 281
Origins of scaling in FX markets 0 0 0 35 0 0 1 154
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 0 3 127
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 2 56 0 0 7 204
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 1 25 0 0 2 107
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 1 242 0 0 6 687
Performance of the estimators of stable law parameters 0 0 0 31 0 1 4 135
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 0 0 0 648
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 2 8 33 33 5 21 77 77
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 2 12 1 1 17 26
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 0 13 0 0 2 129
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 0 0 1 135
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 0 0 0 49 0 0 2 247
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 1 1 3 158 1 3 14 305
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 7 281 0 3 18 602
Probabilistic intraday electricity price forecasting using generative machine learning 0 0 0 0 0 0 0 0
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 0 183 0 1 5 360
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 0 5 512 0 0 15 1,079
Property insurance loss distributions 0 0 0 110 0 1 2 440
Recent advances in electricity price forecasting: A review of probabilistic forecasting 0 3 8 438 2 6 20 922
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 0 118 0 0 3 288
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 1 4 160 2 4 13 203
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 398 0 0 7 395
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 0 0 3 100
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 0 0 4 588
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 0 0 3 124
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 1 2 4 114
Selection of calibration windows for day-ahead electricity price forecasting 0 0 3 72 2 2 11 110
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 4 159 0 1 7 315
Short-term electricity price forecasting with time series models: A review and evaluation 1 2 15 506 1 7 35 1,311
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 1 1 60 2 3 6 149
Simulation of Risk Processes 0 0 0 97 0 0 1 299
Simulation of risk processes 0 0 0 27 0 1 1 141
Stable distributions 0 1 2 238 1 2 6 468
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 1 1 1 1 1 1 1 1
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 0 0 0 0 0 0 0
Structure and stylized facts of a deregulated power market 0 0 0 109 0 0 0 375
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 0 3 324 1 2 11 1,386
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 32 0 0 3 86
To combine or not to combine? Recent trends in electricity price forecasting 0 1 8 190 0 2 18 365
Trading on short-term path forecasts of intraday electricity prices 0 0 12 147 6 6 29 277
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 1 3 21 87 2 12 64 176
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 0 97 0 0 1 215
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 0 46 0 0 4 178
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 4 195 0 1 9 344
Variance stabilizing transformations for electricity spot price forecasting 2 4 10 199 2 4 20 745
Visualization tools for insurance risk processes 0 0 0 30 1 1 6 172
Total Working Papers 25 77 442 24,270 105 292 1,398 59,555

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 16
A conditionally exponential decay approach to scaling in finance 0 0 0 6 1 1 3 42
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 4 37 0 0 7 123
A semiparametric factor model for electricity forward curve dynamics 0 0 0 0 0 0 7 7
An empirical comparison of alternate regime-switching models for electricity spot prices 1 2 7 102 1 7 19 301
An empirical comparison of alternative schemes for combining electricity spot price forecasts 0 1 4 59 0 4 17 193
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 1 20 0 0 3 93
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 0 1 4 39
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 1 2 3 42
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 1 3 3 30
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 31 0 1 4 113
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 1 2 4 8 1 3 12 32
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 3 33 0 1 10 105
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 0 1 1 13 0 2 6 50
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 0 5 24
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 4 50 1 3 15 169
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 14 1 1 4 71
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 1 5 0 0 2 13
Distributional neural networks for electricity price forecasting 0 1 8 17 0 6 20 56
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 1 2 49
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 0 64 0 0 2 154
Electricity price forecasting: A review of the state-of-the-art with a look into the future 0 2 11 147 4 11 46 493
Energy price risk management 0 0 0 9 1 1 5 65
Estimating long-range dependence: finite sample properties and confidence intervals 0 1 3 45 1 2 13 162
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 0 1 1 1
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 0 3 16 0 2 18 72
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 0 3 58
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 0 201 0 3 11 557
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 1 1 4 105
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 2 4 68
How effective is advertising in duopoly markets? 0 0 1 4 0 0 2 49
Hurst analysis of electricity price dynamics 0 0 0 17 0 3 6 54
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 2 2 146 0 4 10 481
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 1 2 17
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 1 1 4 88
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 1 1 2 8
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 0 2 0 0 1 27
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 0 0 0 0 0 0 0
Market price of risk implied by Asian-style electricity options and futures 0 1 1 109 0 1 7 293
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 0 2 40
Modeling electricity prices: jump diffusion and regime switching 0 0 3 48 2 2 10 141
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 1 96
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 1 3 9 17 3 6 30 71
On detecting and modeling periodic correlation in financial data 0 0 0 12 0 0 1 55
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 0 11 278 1 6 32 580
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 2 5 34 1 3 16 127
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 1 1 1 19 1 2 7 59
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 0 0 18 0 2 7 61
Operational Research: methods and applications 0 0 1 1 0 1 5 7
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 2 34
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 4 202 0 0 7 565
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 1 3 19 1 4 10 71
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 1 2 2 0 1 8 8
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 1 17 1 5 11 64
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 1 5 52 2 5 16 173
Property insurance loss distributions 0 0 3 22 1 1 5 107
Recent advances in electricity price forecasting: A review of probabilistic forecasting 2 4 16 206 3 19 76 658
Regularized quantile regression averaging for probabilistic electricity price forecasting 1 2 10 39 8 11 35 98
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 10 68 1 3 23 262
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 4 72 0 0 9 204
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 0 1 17
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 1 3 0 0 3 37
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 0 3 43
Trading on short-term path forecasts of intraday electricity prices 1 1 13 56 4 6 39 159
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 1 1 52 3 7 11 188
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 2 3 31 1 7 12 117
Total Journal Articles 8 32 166 2,591 49 161 669 8,385

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku) 0 0 3 454 0 7 38 1,634
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 4 15 51 1,317 13 29 105 3,080
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 0 0 2 128 0 2 7 453
Total Books 4 15 56 1,899 13 38 150 5,167

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 2 6
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 0 0 5
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 0 9 0 0 1 23
Total Chapters 0 0 0 9 0 0 3 34

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 2 3 19 957 2 5 33 2,096
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 1 1 11 1,077 2 3 26 2,676
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 2 5 201 0 3 12 565
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 1 164 2 5 10 612
COR: MATLAB function to compute the correlation coefficients 0 0 1 819 1 2 9 6,805
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 2 1,668 0 0 6 4,574
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 2 8 483 1 4 21 1,009
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 1 4 27 2,970 5 20 71 7,811
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 29 0 5 11 92
ENERGIES_14_3249_PYTHON: Market data and PYTHON codes for computing electricity spot price forecasts using LASSO-estimated AR (LEAR) models as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 0 1 12 136 0 7 40 400
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 2 14 315 9 20 53 721
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 2 4 13 187 3 5 25 534
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 1 4 23 144 6 24 104 682
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 2 178 2 5 15 733
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 1 179 1 4 8 527
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 1 236 0 0 2 899
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 3 11 855 3 9 25 2,097
HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) 0 0 0 318 0 0 2 697
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 0 1 407
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 1 184 1 1 4 553
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 0 0 2 104 0 0 6 384
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 1 1 2 1,123
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 2 39 1,071 2 7 98 3,152
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 4 14 77 5,610 9 32 172 13,917
LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods 0 0 0 219 0 1 4 492
LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods 0 1 1 170 0 2 12 394
LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods 1 1 2 214 1 1 4 426
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 0 241 0 0 2 528
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 5 1,271 0 3 13 3,109
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 2 2 12 1,636 6 8 44 3,823
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 265 1 2 5 724
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 1,039 0 2 8 2,689
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 642 0 0 9 1,579
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 3 307 0 0 6 698
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 1 1 235 0 1 4 586
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 1 2 433 0 1 7 907
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 1 2 364 0 1 19 746
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 0 273 1 1 3 683
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 1 2 8 18 1 5 21 48
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 0 213 0 1 1 545
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 1 2 6 938 2 3 16 2,823
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 1 1 257 0 1 4 542
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 1 181 0 0 2 461
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,290 0 3 12 3,620
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 1 272 0 0 3 1,041
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 0 0 175 0 0 4 378
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 1 5 262 0 1 10 476
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 777 1 1 7 2,828
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 402 1 1 5 1,378
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 0 2 5 1,202
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 0 2 5 284
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 2 365 0 0 4 761
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 1 625 1 2 6 1,934
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 1 359 0 0 7 922
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 1 420 0 0 4 1,014
STABLERND: MATLAB function to generate random numbers from the stable distribution 1 1 3 565 2 2 9 1,553
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 0 1 3 663
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 1 132 1 1 11 482
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 2 135 0 1 8 471
Total Software Items 18 56 339 34,000 68 212 1,043 93,876

logo

LogEc Home

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

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

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

Authors with no registered papers

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

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

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

Statistics updated 2025-09-05