Joanna Janczura
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Joanna |
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Janczura |
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Affiliations
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Politechnika Wrocławska
/ Hugo Steinhaus Center for Stochastic Methods
Research profile
author of:
- Black swans or dragon kings? A simple test for deviations from the power law (RePEc:arx:papers:1102.3712)
by Joanna Janczura & Rafal Weron - Pricing electricity derivatives within a Markov regime-switching model (RePEc:arx:papers:1203.5442)
by Joanna Janczura - Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling (RePEc:arx:papers:2107.07142)
by {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska - Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors (RePEc:bpj:strimo:v:41:y:2024:i:1-2:p:1-26:n:3)
by Janczura Joanna & Puć Andrzej & Bielak Łukasz & Wyłomańska Agnieszka - Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach (RePEc:eee:apmaco:v:396:y:2021:i:c:s0096300320308559)
by Muszkieta, Monika & Janczura, Joanna & Weron, Aleksander - A compressed sensing approach to interpolation of fractional Brownian trajectories for a single particle tracking experiment (RePEc:eee:apmaco:v:446:y:2023:i:c:s0096300323000693)
by Muszkieta, Monika & Janczura, Joanna - Classification of random trajectories based on the fractional Lévy stable motion (RePEc:eee:chsofr:v:154:y:2022:i:c:s0960077921009607)
by Janczura, Joanna & Burnecki, Krzysztof & Muszkieta, Monika & Stanislavsky, Aleksander & Weron, Aleksander - Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study (RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001840)
by Janczura, Joanna & Wójcik, Edyta - An empirical comparison of alternate regime-switching models for electricity spot prices (RePEc:eee:eneeco:v:32:y:2010:i:5:p:1059-1073)
by Janczura, Joanna & Weron, Rafal - Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (RePEc:eee:eneeco:v:38:y:2013:i:c:p:96-110)
by Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C. - Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling (RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003184)
by Bielak, Łukasz & Grzesiek, Aleksandra & Janczura, Joanna & Wyłomańska, Agnieszka - Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description (RePEc:eee:phsmap:v:390:y:2011:i:23:p:4379-4387)
by Janczura, Joanna & Orzeł, Sebastian & Wyłomańska, Agnieszka - Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts (RePEc:gam:jeners:v:13:y:2020:i:5:p:1045-:d:325457)
by Joanna Janczura & Aleksandra Michalak - ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation (RePEc:gam:jeners:v:16:y:2023:i:2:p:807-:d:1031193)
by Joanna Janczura & Andrzej Puć - From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case (RePEc:gam:jmathe:v:10:y:2022:i:18:p:3371-:d:916795)
by Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska - Unknown item RePEc:hum:wpaper:sfb649dp2010-048 (paper)
- Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions (RePEc:pra:mprapa:18784)
by Janczura, Joanna & Weron, Rafal - An empirical comparison of alternate regime-switching models or electricity spot prices (RePEc:pra:mprapa:20546)
by Janczura, Joanna & Weron, Rafal - Goodness-of-fit testing for regime-switching models (RePEc:pra:mprapa:22871)
by Janczura, Joanna & Weron, Rafal - Modeling electricity spot prices: Regime switching models with price-capped spike distributions (RePEc:pra:mprapa:23296)
by Janczura, Joanna & Weron, Rafal - Building Loss Models (RePEc:pra:mprapa:25492)
by Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal - Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices (RePEc:pra:mprapa:26628)
by Weron, Rafal & Janczura, Joanna - Black swans or dragon kings? A simple test for deviations from the power law (RePEc:pra:mprapa:28959)
by Janczura, Joanna & Weron, Rafal - Subdynamics of financial data from fractional Fokker-Planck equation (RePEc:pra:mprapa:30649)
by Janczura, Joanna & Wyłomańska, Agnieszka - Goodness-of-fit testing for the marginal distribution of regime-switching models (RePEc:pra:mprapa:32532)
by Janczura, Joanna & Weron, Rafal - Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling (RePEc:pra:mprapa:39277)
by Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney - Efficient estimation of Markov regime-switching models: An application to electricity spot prices (RePEc:spr:alstar:v:96:y:2012:i:3:p:385-407)
by Joanna Janczura & Rafał Weron - Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices (RePEc:spr:alstar:v:97:y:2013:i:3:p:239-270)
by Joanna Janczura & Rafał Weron - Expectile regression averaging method for probabilistic forecasting of electricity prices (RePEc:spr:compst:v:40:y:2025:i:2:d:10.1007_s00180-024-01508-y)
by Joanna Janczura - Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach (RePEc:spr:mathme:v:79:y:2014:i:1:p:1-30)
by Joanna Janczura - MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes (RePEc:wuu:hscode:m11004)
by Joanna Janczura & Rafal Weron - MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes (RePEc:wuu:hscode:m11005)
by Joanna Janczura & Rafal Weron - MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes (RePEc:wuu:hscode:m11006)
by Joanna Janczura & Rafal Weron - PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model (RePEc:wuu:hscode:m11007)
by Joanna Janczura & Rafal Weron - PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model (RePEc:wuu:hscode:m11008)
by Joanna Janczura & Rafal Weron - MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes (RePEc:wuu:hscode:m11009)
by Joanna Janczura & Rafal Weron - MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes (RePEc:wuu:hscode:m11010)
by Joanna Janczura & Rafal Weron - MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes (RePEc:wuu:hscode:m11011)
by Joanna Janczura & Rafal Weron - CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' (RePEc:wuu:hscode:m12001)
by Joanna Janczura & Rafal Weron - CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails (RePEc:wuu:hscode:m12002)
by Joanna Janczura & Rafal Weron - HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM) (RePEc:wuu:hscode:m12004)
by Joanna Janczura - E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter (RePEc:wuu:hscode:m12005)
by Joanna Janczura & Rafal Weron - Modelling energy forward prices (RePEc:wuu:wpaper:hsc0803)
by Joanna Janczura & Aleksander Weron - Building Loss Models (RePEc:wuu:wpaper:hsc1003)
by Krzysztof Burnecki & Joanna Janczura & Rafal Weron - Black swans or dragon kings? A simple test for deviations from the power law (RePEc:wuu:wpaper:hsc1101)
by Joanna Janczura & Rafal Weron - Efficient estimation of Markov regime-switching models: An application to electricity spot prices (RePEc:wuu:wpaper:hsc1102)
by Joanna Janczura & Rafal Weron - Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description (RePEc:wuu:wpaper:hsc1103)
by Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska - Inference for Markov-regime switching models of electricity spot prices (RePEc:wuu:wpaper:hsc1201)
by Joanna Janczura & Rafal Weron - A new method for automated noise cancellation in electromagnetic field measurement (RePEc:wuu:wpaper:hsc1205)
by Pawe³ Bieñkowski & Krzysztof Burnecki & Joanna Janczura & Rafal Weron & Bart³omiej Zubrzak - Building loss models (RePEc:zbw:sfb649:sfb649dp2010-048)
by Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafał