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 10 142
A note on averaging day-ahead electricity price forecasts across calibration windows 0 3 13 170 2 9 39 286
A note on using the Hodrick-Prescott filter in electricity markets 0 0 0 114 0 1 15 305
A review of electricity price forecasting: The past, the present and the future 0 0 2 246 3 6 26 361
A semiparametric factor model for electricity forward curve dynamics 0 0 0 69 0 0 19 199
A semiparametric factor model for electricity forward curve dynamics 0 0 0 108 1 1 8 263
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 0 18 0 0 6 140
A simple model of price formation 0 0 0 33 0 0 16 139
An empirical comparison of alternate regime-switching models or electricity spot prices 0 0 0 165 0 1 16 397
An empirical comparison of alternate schemes for combining electricity spot price forecasts 0 0 0 159 2 4 20 428
An introduction to simulation of risk processes 0 0 2 50 0 1 13 225
Analysis of ROBECO data by neural networks 0 0 0 8 0 0 7 89
Automated variable selection and shrinkage for day-ahead electricity price forecasting 0 1 3 164 2 5 31 356
Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting 0 0 1 19 1 3 17 62
Balancing RES generation: Profitability of an energy trader 1 1 1 74 1 2 14 160
Beating the naive: Combining LASSO with naive intraday electricity price forecasts 1 1 3 81 2 5 30 155
Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo 0 0 0 29 0 0 7 256
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 115 1 1 13 412
Black swans or dragon kings? A simple test for deviations from the power law 0 0 0 42 1 1 14 145
Black swans or dragon kings? A simple test for deviations from the power law 1 1 1 70 1 1 9 187
Blackouts, risk, and fat-tailed distributions 0 0 0 200 0 1 7 603
Building Loss Models 0 0 0 319 0 0 11 1,441
Building Loss Models 0 0 0 25 0 0 8 180
Building loss models 0 0 0 7 1 2 11 59
Calibration window selection based on change-point detection for forecasting electricity prices 0 0 1 37 0 2 13 63
Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets 0 0 0 74 1 2 16 161
Computationally intensive Value at Risk calculations 0 0 0 29 0 3 19 159
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 226 3 4 21 436
Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period 0 0 1 76 2 5 31 224
Convenience yields for CO₂ emission allowance futures contracts 0 0 0 335 0 1 7 1,023
Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" 0 0 0 107 0 1 11 403
Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" 0 0 2 92 0 1 29 352
Cost-benefit analysis of a municipal waste management project: Using a survey of professional forecasters to provide reliable projections until 2035 0 0 3 20 1 1 29 71
Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations 0 0 4 38 0 0 25 148
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 0 4 60 0 0 18 98
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models 1 3 13 251 2 8 54 514
Difficulty is critical: Psychological factors in modeling diffusion of green products and practices 0 0 2 57 0 0 11 182
Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach 0 0 0 75 2 3 25 181
Diffusion of innovation within an agent-based model: Spinsons, independence and advertising 0 0 0 186 1 2 26 470
Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) 0 0 0 10 0 0 11 88
Distributional neural networks for electricity price forecasting 0 0 4 39 1 2 24 84
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 372 0 3 23 870
Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices 0 1 2 177 0 2 21 367
Efficient forecasting of electricity spot prices with expert and LASSO models 0 0 1 53 1 3 22 109
Electricity Price Forecasting: The Dawn of Machine Learning 0 2 9 181 0 5 27 369
Electricity price forecasting 0 1 3 158 0 1 19 352
Electricity price forecasting 1 4 12 550 6 11 63 1,699
Electricity price forecasting: A review of the state-of-the-art with a look into the future 2 6 28 399 12 31 134 1,013
Energy forecasting: A review and outlook 0 0 0 300 0 0 13 812
Energy price risk management 0 0 0 60 2 3 18 243
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 4 56 1 6 30 154
Estimating long range dependence: finite sample properties and confidence intervals 0 0 0 91 1 1 17 357
Evaluating the performance of VaR models in energy markets 0 0 0 151 1 1 17 249
Evolution in a changing environment 0 0 0 13 1 1 11 127
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 11 92 0 3 37 166
FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS 0 0 1 1,273 0 0 20 2,515
FX Smile in the Heston Model 0 0 0 34 1 3 19 210
FX Smile in the Heston Model 0 0 2 145 0 1 26 476
FX Smile in the Heston Model 0 0 1 58 1 1 12 216
FX smile in the Heston model 0 0 0 100 2 3 15 320
Forecasting Electricity Prices 0 4 13 65 8 19 130 245
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 0 1 4 43 0 7 35 112
Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships 0 0 1 116 2 6 24 209
Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market 1 1 2 179 2 2 22 385
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 0 1 231 0 1 27 601
Forecasting the occurrence of electricity price spikes in the UK power market 0 0 4 227 2 5 20 486
Forecasting wholesale electricity prices: A review of time series models 1 1 1 128 3 3 19 322
From biased point forecasts of electricity demand to accurate predictive distributions: Using LASSO and GAMLSS 2 20 99 99 9 40 157 157
Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs 0 0 0 139 1 2 17 296
Goodness-of-fit testing for regime-switching models 0 0 0 140 1 1 7 252
Goodness-of-fit testing for the marginal distribution of regime-switching models 0 0 0 55 0 1 12 171
Habitat momentum 0 0 0 7 0 0 12 77
Heavy tails and electricity prices 0 0 1 34 2 2 17 185
Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? 0 0 0 226 1 1 19 527
Heavy-tailed distributions in VaR calculations 0 0 1 323 0 2 28 923
Heavy-tails and regime-switching in electricity prices 0 1 1 80 0 1 19 196
How effective is advertising in duopoly markets? 0 0 0 285 0 1 17 1,065
How effective is advertising in duopoly markets? 0 0 0 9 0 1 7 87
Hurst analysis of electricity price dynamics 0 0 0 63 0 1 11 213
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 0 0 0 121 1 1 14 241
Impact of social interactions on demand curves for innovative products 0 0 1 70 1 1 12 114
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models 0 0 4 172 0 0 20 340
Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO 0 0 2 56 1 4 26 141
Improving short term load forecast accuracy via combining sister forecasts 0 0 1 235 1 1 18 459
Inference for Markov-regime switching models of electricity spot prices 0 1 2 226 1 3 29 523
Interval forecasting of spot electricity prices 0 0 0 31 0 0 12 134
Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? 0 0 0 0 0 0 8 39
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 621 0 2 13 1,473
Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime 0 0 0 106 0 0 14 562
Loss Distributions 0 0 0 181 0 2 16 549
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 1 4 15 96 1 7 44 188
Market price of risk implied by Asian-style electricity options 0 0 1 630 0 1 23 1,447
Measuring long-range dependence in electricity prices 0 0 0 50 0 0 5 140
Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices 0 0 1 142 1 1 16 256
Modeling and forecasting electricity loads: A comparison 0 0 1 1,266 0 0 14 2,872
Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices 0 0 1 155 0 0 19 351
Modeling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 28 0 0 11 194
Modeling consumer opinions towards dynamic pricing: An agent-based approach 0 0 0 80 1 1 12 219
Modeling electricity loads in California: ARMA models with hyperbolic noise 0 0 0 54 0 0 9 205
Modeling electricity prices with regime switching models 0 0 3 1,035 0 2 24 1,911
Modeling electricity prices: jump diffusion and regime switching 0 0 1 222 0 2 19 626
Modeling electricity spot prices: Regime switching models with price-capped spike distributions 0 0 0 106 0 2 14 213
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market 0 2 2 692 1 6 23 1,293
Modeling the risk process in the XploRe computing environment 0 0 0 131 0 0 9 372
Modeling the risk process in the XploRe computing environment 0 0 0 2 0 1 10 66
Modelling catastrophe claims with left-truncated severity distributions (extended version) 0 0 0 49 1 2 13 263
Modelling price spikes in electricity markets - the impact of load, weather and capacity 0 0 9 216 1 5 32 510
Models for Heavy-tailed Asset Returns 0 0 3 204 0 1 21 477
Models for Heavy-tailed Asset Returns 0 0 2 42 0 0 23 223
Models for heavy-tailed asset returns 0 0 3 74 0 3 19 230
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 2 54 1 3 44 175
Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs 0 1 1 45 0 4 29 96
On detecting and modeling periodic correlation in financial data 0 0 0 280 0 0 8 642
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 2 118 0 2 11 221
On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting 0 0 1 133 1 1 20 302
Origins of scaling in FX markets 0 0 0 35 0 0 9 164
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 18 0 1 10 137
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 56 0 0 10 214
Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland 0 0 0 25 0 1 3 110
Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices 0 0 0 242 0 0 21 708
Performance of the estimators of stable law parameters 0 0 2 33 0 1 6 142
Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market 0 0 0 199 0 3 15 665
PostForecasts.jl: A Julia package for probabilistic forecasting by postprocessing point predictions 1 1 7 40 2 4 39 118
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 4 16 0 1 13 39
Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) 0 0 1 14 1 1 4 133
Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach 0 0 0 16 1 1 7 142
Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) 1 1 1 50 2 4 18 265
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 2 160 1 3 33 339
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 2 3 5 286 2 6 30 632
Probabilistic intraday electricity price forecasting using generative machine learning 0 0 4 21 0 2 20 25
Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts 0 0 3 186 0 3 26 386
Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts 0 0 7 519 3 4 46 1,125
Property insurance loss distributions 0 0 1 111 0 0 9 449
Recent advances in electricity price forecasting: A review of probabilistic forecasting 2 9 11 449 6 21 42 965
Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions 0 0 3 121 0 0 17 305
Regularized Quantile Regression Averaging for probabilistic electricity price forecasting 1 2 5 165 1 8 61 264
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 3 401 2 5 43 438
Rewiring the network. What helps an innovation to diffuse? 0 0 0 111 1 1 21 121
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 65 0 1 12 136
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 267 0 3 17 605
Scaling in currency exchange: A Conditionally Exponential Decay approach 0 0 0 6 0 0 13 127
Selection of calibration windows for day-ahead electricity price forecasting 0 0 2 74 2 5 27 137
Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals 0 0 1 160 2 2 13 330
Short-term electricity price forecasting with time series models: A review and evaluation 0 1 11 518 2 3 34 1,348
Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design 0 0 0 60 2 2 22 172
Simulation of Risk Processes 0 0 1 98 0 3 21 320
Simulation of risk processes 0 0 0 27 1 2 12 153
Stable distributions 0 0 0 238 1 2 20 488
Stealing Accuracy: Predicting Day-ahead Electricity Prices with Temporal Hierarchy Forecasting (THieF) 0 0 1 5 2 3 17 18
Stealing accuracy: Predicting day-ahead electricity prices with Temporal Hierarchy Forecasting (THieF) 0 0 7 14 1 3 18 24
Structure and stylized facts of a deregulated power market 0 0 2 111 0 0 14 389
The relationship between spot and futures CO2 emission allowance prices in the EU-ETS 0 2 5 330 0 8 34 1,421
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 1 33 0 1 15 101
To combine or not to combine? Recent trends in electricity price forecasting 0 1 2 192 0 2 19 384
Trading on short-term path forecasts of intraday electricity prices 1 1 7 155 3 8 49 330
Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks 2 4 20 112 3 8 41 223
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 1 98 0 0 11 226
Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products 0 0 2 48 1 1 12 190
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 1 4 199 1 3 24 368
Variance stabilizing transformations for electricity spot price forecasting 1 1 8 207 3 9 57 804
Visualization tools for insurance risk processes 0 0 0 30 0 0 10 182
Total Working Papers 23 88 457 24,774 150 451 3,550 63,209

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 1 1 11 27
A conditionally exponential decay approach to scaling in finance 0 0 0 6 0 0 5 47
A new model of mass extinctions 0 0 0 2 1 1 9 33
A note on using the Hodrick–Prescott filter in electricity markets 0 0 0 37 0 1 18 141
A semiparametric factor model for electricity forward curve dynamics 0 0 1 1 0 0 15 22
An empirical comparison of alternate regime-switching models for electricity spot prices 0 2 9 111 0 10 48 349
An empirical comparison of alternative schemes for combining electricity spot price forecasts 1 2 5 64 1 5 27 220
Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting 0 0 1 21 0 4 36 129
Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 0 6 0 1 17 56
Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader 0 0 0 6 0 2 16 58
Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts 0 0 0 8 0 3 19 49
Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill 0 0 1 32 0 0 16 129
Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? 0 1 1 9 1 6 22 54
Computing electricity spot price prediction intervals using quantile regression and forecast averaging 0 0 2 35 2 6 27 137
Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period 1 2 4 17 2 8 25 75
DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING 0 0 0 2 0 2 9 33
Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks 0 1 4 55 1 5 38 210
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices 0 0 1 15 0 1 23 97
Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ 0 0 0 5 0 1 8 21
Distributional neural networks for electricity price forecasting 1 1 3 20 2 8 44 100
Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models 0 0 0 6 0 2 10 59
Efficient estimation of Markov regime-switching models: An application to electricity spot prices 0 0 1 65 0 5 21 175
Electricity price forecasting: A review of the state-of-the-art with a look into the future 4 15 50 199 27 59 244 746
Energy price risk management 0 0 0 9 0 1 13 78
Estimating long-range dependence: finite sample properties and confidence intervals 0 0 3 48 3 5 23 185
Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market 0 0 0 0 1 2 26 28
Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark 2 6 13 29 9 22 101 175
Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships 0 0 0 12 0 1 15 73
Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models 0 1 2 203 0 3 24 581
Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices 0 0 0 31 0 1 10 115
Heavy-tails and regime-switching in electricity prices 0 0 0 12 0 0 8 76
How effective is advertising in duopoly markets? 0 0 0 4 0 1 22 71
Hurst analysis of electricity price dynamics 0 0 1 18 1 1 7 61
Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling 2 2 3 149 2 10 34 515
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 3 9 26
Improving short term load forecast accuracy via combining sister forecasts 0 0 0 22 0 2 11 99
Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? 0 0 0 0 0 0 3 11
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME 0 0 1 3 0 1 9 36
Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading 0 0 4 4 1 2 31 31
Market price of risk implied by Asian-style electricity options and futures 0 0 1 110 0 1 16 309
Modeling electricity loads in California: a continuous-time approach 0 0 0 11 0 1 5 45
Modeling electricity prices: jump diffusion and regime switching 0 0 5 53 1 3 25 167
Modelling catastrophe claims with left-truncated severity distributions 0 0 0 33 0 0 10 106
Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx 0 0 3 21 3 7 55 129
On detecting and modeling periodic correlation in financial data 0 1 1 13 0 2 10 65
On the Chambers-Mallows-Stuck method for simulating skewed stable random variables 0 1 5 283 0 7 48 630
On the importance of the long-term seasonal component in day-ahead electricity price forecasting 0 1 3 37 0 5 22 149
On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks 0 1 1 20 0 3 17 76
On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting 0 1 2 20 0 2 21 83
Operational Research: methods and applications 0 0 0 1 0 1 15 22
Origins of the scaling behaviour in the dynamics of financial data 0 0 0 3 0 0 3 37
Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models 0 0 1 203 1 3 24 589
Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations 0 0 5 24 0 1 39 110
Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression 0 0 0 3 1 3 31 40
Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? 0 0 3 20 0 3 38 102
Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging 0 0 7 60 1 6 66 241
Property insurance loss distributions 0 0 1 23 0 0 8 115
Recent advances in electricity price forecasting: A review of probabilistic forecasting 1 10 25 233 10 36 126 791
Regularized quantile regression averaging for probabilistic electricity price forecasting 0 0 10 50 1 4 73 173
Revisiting the relationship between spot and futures prices in the Nord Pool electricity market 0 0 2 70 2 5 26 288
Robust estimation and forecasting of the long-term seasonal component of electricity spot prices 0 0 0 72 0 1 20 224
Scaling in currency exchange: a conditionally exponential decay approach 0 0 0 2 0 1 13 30
Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting 0 0 2 5 1 1 8 45
The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach 0 0 0 5 0 0 12 55
Trading on short-term path forecasts of intraday electricity prices 0 1 8 65 5 12 72 233
Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs 0 0 2 55 0 0 15 204
Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO 0 0 2 33 1 3 35 152
Total Journal Articles 12 49 199 2,801 83 297 1,907 10,338

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 7 461 0 1 33 1,670
Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach 4 17 78 1,399 8 36 260 3,350
Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) 1 1 2 130 1 2 14 467
Statistical Tools for Finance and Insurance 0 0 0 0 1 3 14 14
Total Books 5 18 87 1,990 10 42 321 5,501

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 1 1 8 14
Building loss models 0 0 0 0 0 0 7 7
FX smile in the Heston model 0 0 0 0 0 0 3 3
Forecasting Wholesale Electricity Prices: A Review of Time Series Models 0 0 0 0 0 0 1 6
Heston's Model and the Smile 0 0 0 0 0 0 5 5
Loss Distributions 0 0 0 0 0 0 11 11
Modeling of the Risk Process 0 0 0 0 0 0 2 2
Models for heavy-tailed asset returns 0 0 0 0 2 2 4 4
Stable Distributions 0 0 0 0 0 1 6 6
What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market 0 0 1 11 0 2 12 37
Total Chapters 0 0 1 11 3 6 59 95

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 0 5 962 0 2 39 2,136
CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage 0 0 2 1,080 0 0 21 2,698
CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' 0 0 1 202 0 0 16 581
CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails 0 0 0 164 1 1 13 625
COR: MATLAB function to compute the correlation coefficients 0 0 0 819 0 7 28 6,833
DESEASONALIZE: MATLAB function to remove short and long term seasonal components 0 0 0 1,669 1 1 8 4,584
DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) 0 0 1 484 0 64 81 1,090
DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) 0 0 7 2,977 0 1 90 7,903
ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 0 0 2 31 1 2 25 117
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 0 7 143 2 3 29 430
ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 0 6 321 0 0 17 740
ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" 0 0 6 194 1 2 19 556
EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) 1 4 18 164 4 15 94 782
E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter 0 0 1 179 0 0 23 758
Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB 0 0 2 182 1 2 14 543
GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model 0 0 0 236 0 0 8 908
GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) 0 1 3 858 1 2 31 2,128
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 7 706
HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model 0 0 0 145 0 0 8 415
HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile 0 0 0 185 0 0 9 563
HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) 1 1 1 105 1 1 14 398
HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model 0 0 0 380 0 0 5 1,128
HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model 0 0 7 1,079 1 1 40 3,195
HURST: MATLAB function to compute the Hurst exponent using R/S Analysis 0 1 17 5,628 1 13 99 14,020
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 1 1 10 502
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 0 170 0 1 14 409
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 0 214 0 1 7 433
LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" 0 0 2 243 1 1 14 542
MFE Toolbox ver. 1.0.1 for MATLAB 0 0 1 1,273 0 0 16 3,127
MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood 0 0 3 1,639 0 1 49 3,877
MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 1 266 2 2 11 735
MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process 0 0 2 1,041 1 2 13 2,702
MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 1 643 1 1 14 1,593
MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes 0 0 0 307 1 1 11 709
MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes 0 0 0 235 0 0 9 596
MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 7 440 0 56 75 983
MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes 0 0 4 369 1 1 16 764
MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes 0 0 1 274 0 1 14 697
ORD_33_103_R_Data: R notebook and data to replicate the results presented in Nitka and Weron (2023) Operations Research and Decisions 33(3), 105-118 0 0 6 24 0 1 25 75
PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model 0 0 1 214 0 0 9 554
PERIODOG: MATLAB function to compute and plot the periodogram of a time series 0 0 1 939 0 1 12 2,836
PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model 0 0 1 258 0 1 11 553
PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model 0 0 3 184 1 2 15 476
REMST: MATLAB function to remove trend and seasonal component using the moving average method 0 0 1 1,291 1 1 13 3,634
RUNNINGMEDIAN: MATLAB function to compute a running median of a time series 0 0 0 272 0 0 15 1,057
SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model 0 0 2 177 0 0 7 386
SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" 0 0 1 263 0 0 10 486
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 1 403 0 0 10 1,391
SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) 0 0 0 777 0 1 16 2,846
SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model 0 0 0 510 1 1 12 1,214
SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" 0 0 2 148 1 1 12 296
STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch 0 0 2 367 0 1 15 776
STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT 0 0 0 625 0 2 16 1,950
STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis 0 0 0 359 0 0 16 938
STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams 0 0 4 424 0 0 16 1,030
STABLERND: MATLAB function to generate random numbers from the stable distribution 1 1 2 568 2 3 26 1,580
STF2HES: MATLAB functions for "FX smile in the Heston model" 0 0 0 239 1 1 7 670
STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" 0 0 0 132 0 2 12 495
The World According to Spinson (WAS): Standalone application for simulating agent-based models 0 0 0 135 0 58 70 541
Total Software Items 3 8 135 34,147 30 262 1,356 95,290

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Statistics updated 2026-10-11