Rafał Weron
Names
Identifer
Contact
| homepage: |
https://p.wz.pwr.edu.pl/~weron.rafal/ |
|
| postal address: |
Department of Operations Research and Business Intelligence,
Wrocław University of Science and Technology,
Wybrzeże Wyspiańskiego 27,
50-370 Wrocław, Poland |
Affiliations
-
Politechnika Wrocławska
/ Katedra Badań Operacyjnych i Inteligencji Biznesowej
Research profile
author of:
- EPFTOOLBOX: The first open-access PYTHON library for driving research in electricity price forecasting (EPF) (RePEc:ahh:wcodes:wormsc2101)
by Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafal Weron - ENERGIES_14_3249_MATLAB: MATLAB codes for computing combinations of electricity spot price forecasts as utilized in Jedrzejewski et al. (2021) Energies 14, 3249 (RePEc:ahh:wcodes:wormsc2102)
by Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron - 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 (RePEc:ahh:wcodes:wormsc2103)
by Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron - 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 (RePEc:ahh:wcodes:wormsc2301)
by Weronika Nitka & Rafal Weron - Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? (RePEc:ahh:wpaper:worms1504)
by Jerzy Grobelny & Rafal Michalski & Rafal Weron - Averaging predictive distributions across calibration windows for day-ahead electricity price forecasting (RePEc:ahh:wpaper:worms1908)
by Tomasz Serafin & Bartosz Uniejewski & Rafal Weron - Beating the naive: Combining LASSO with naive intraday electricity price forecasts (RePEc:ahh:wpaper:worms2001)
by Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron - Energy forecasting: A review and outlook (RePEc:ahh:wpaper:worms2008)
by Tao Hong & Pierre Pinson & Yi Wang & Rafal Weron & Dazhi Yang & Hamidreza Zareipour - Data-driven simulation modeling of the checkout process in supermarkets: Insights for decision support in retail operations (RePEc:ahh:wpaper:worms2016)
by Tomasz Antczak & Rafal Weron & Jacek Zabawa - Trading on short-term path forecasts of intraday electricity prices (RePEc:ahh:wpaper:worms2017)
by Tomasz Serafin & Grzegorz Marcjasz & Rafal Weron - Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO (RePEc:ahh:wpaper:worms2104)
by Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron - Simulation modeling of epidemic risk in supermarkets: Investigating the impact of social distancing and checkout zone design (RePEc:ahh:wpaper:worms2105)
by Tomasz Antczak & Bartosz Skorupa & Mikolaj Szurlej & Rafal Weron & Jacek Zabawa - Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx (RePEc:ahh:wpaper:worms2107)
by Kin G. Olivares & Cristian Challu & Grzegorz Marcjasz & Rafal Weron & Artur Dubrawski - 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] (RePEc:ahh:wpaper:worms2112)
by Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafal Weron - Trading on short-term path forecasts of intraday electricity prices. Part II -- Distributional Deep Neural Networks (RePEc:ahh:wpaper:worms2301)
by Grzegorz Marcjasz & Tomasz Serafin & Rafal Weron - Loss functions in regression models: Impact on profits and risk in day-ahead electricity trading (RePEc:ahh:wpaper:worms2403)
by Tomasz Serafin & Rafal Weron - Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market (RePEc:ahh:wpaper:worms2404)
by Katarzyna Chec & Bartosz Uniejewski & Rafal Weron - Unknown item RePEc:ann:findec:book:y:2009:n:07:ch:05:mon (chapter)
- Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland (RePEc:arx:papers:0809.1534)
by Katarzyna Sznajd-Weron & Rafa{l} Weron & Maja W{l}oszczowska - FX Smile in the Heston Model (RePEc:arx:papers:1010.1617)
by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup - Black swans or dragon kings? A simple test for deviations from the power law (RePEc:arx:papers:1102.3712)
by Joanna Janczura & Rafal Weron - Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks (RePEc:arx:papers:1805.06649)
by Florian Ziel & Rafal Weron - Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark (RePEc:arx:papers:2008.08004)
by Jesus Lago & Grzegorz Marcjasz & Bart De Schutter & Rafa{l} Weron - Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs (RePEc:arx:papers:2008.08006)
by Grzegorz Marcjasz & Jesus Lago & Rafa{l} Weron - Calibration window selection based on change-point detection for forecasting electricity prices (RePEc:arx:papers:2204.00872)
by Julia Nasiadka & Weronika Nitka & Rafa{l} Weron - Electricity Price Forecasting: The Dawn of Machine Learning (RePEc:arx:papers:2204.00883)
by Arkadiusz Jk{e}drzejewski & Jesus Lago & Grzegorz Marcjasz & Rafa{l} Weron - Forecasting Electricity Prices (RePEc:arx:papers:2204.11735)
by Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron - Distributional neural networks for electricity price forecasting (RePEc:arx:papers:2207.02832)
by Grzegorz Marcjasz & Micha{l} Narajewski & Rafa{l} Weron & Florian Ziel - Postprocessing of point predictions for probabilistic forecasting of day-ahead electricity prices: The benefits of using isotonic distributional regression (RePEc:arx:papers:2404.02270)
by Arkadiusz Lipiecki & Bartosz Uniejewski & Rafa{l} Weron - A simple model of price formation (RePEc:arx:papers:cond-mat/0101001)
by K. Sznajd-Weron & R. Weron - Measuring long-range dependence in electricity prices (RePEc:arx:papers:cond-mat/0103621)
by Rafal Weron - How effective is advertising in duopoly markets? (RePEc:arx:papers:cond-mat/0211058)
by K. Sznajd-Weron & R. Weron - REMST: MATLAB function to remove trend and seasonal component using the moving average method (RePEc:boc:bocode:m429001)
by Rafal Weron - DESEASONALIZE: MATLAB function to remove short and long term seasonal components (RePEc:boc:bocode:m429002)
by Rafal Weron - STABLERND: MATLAB function to generate random numbers from the stable distribution (RePEc:boc:bocode:m429003)
by Rafal Weron - STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT (RePEc:boc:bocode:m429004)
by Rafal Weron - STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis (RePEc:boc:bocode:m429005)
by Szymon Borak & Rafal Weron - STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch (RePEc:boc:bocode:m429006)
by Szymon Borak & Rafal Weron - STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams (RePEc:boc:bocode:m429007)
by Szymon Borak & Rafal Weron - MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood (RePEc:boc:bocode:m429008)
by Rafal Weron - MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process (RePEc:boc:bocode:m429009)
by Rafal Weron - MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process (RePEc:boc:bocode:m429010)
by Rafal Weron - GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model (RePEc:boc:bocode:m430001)
by Agnieszka Janek & Rafal Weron - HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) (RePEc:boc:bocode:m430002)
by Agnieszka Janek & Rafal Weron - HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model (RePEc:boc:bocode:m430003)
by Agnieszka Janek & Rafal Weron - HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile (RePEc:boc:bocode:m430004)
by Agnieszka Janek & Rafal Weron - HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) (RePEc:boc:bocode:m430005)
by Agnieszka Janek & Rafal Weron - HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model (RePEc:boc:bocode:m430006)
by Agnieszka Janek & Rafal Weron - PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model (RePEc:boc:bocode:m430007)
by Agnieszka Janek & Rafal Weron - SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) (RePEc:boc:bocode:m430008)
by Rafal Weron - SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model (RePEc:boc:bocode:m430009)
by Agnieszka Janek & Rafal Weron - Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (RePEc:bpj:sndecm:v:10:y:2006:i:3:n:2)
by Misiorek Adam & Trueck Stefan & Weron Rafal - Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark (RePEc:eee:appene:v:293:y:2021:i:c:s0306261921004529)
by Lago, Jesus & Marcjasz, Grzegorz & De Schutter, Bart & Weron, Rafał - Trading on short-term path forecasts of intraday electricity prices (RePEc:eee:eneeco:v:112:y:2022:i:c:s014098832200281x)
by Serafin, Tomasz & Marcjasz, Grzegorz & Weron, Rafał - Distributional neural networks for electricity price forecasting (RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003419)
by Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian - Market price of risk implied by Asian-style electricity options and futures (RePEc:eee:eneeco:v:30:y:2008:i:3:p:1098-1115)
by Weron, Rafal - 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. - Robust estimation and forecasting of the long-term seasonal component of electricity spot prices (RePEc:eee:eneeco:v:39:y:2013:i:c:p:13-27)
by Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał - Revisiting the relationship between spot and futures prices in the Nord Pool electricity market (RePEc:eee:eneeco:v:44:y:2014:i:c:p:178-190)
by Weron, Rafał & Zator, Michał - An empirical comparison of alternative schemes for combining electricity spot price forecasts (RePEc:eee:eneeco:v:46:y:2014:i:c:p:395-412)
by Nowotarski, Jakub & Raviv, Eran & Trück, Stefan & Weron, Rafał - A note on using the Hodrick–Prescott filter in electricity markets (RePEc:eee:eneeco:v:48:y:2015:i:c:p:1-6)
by Weron, Rafał & Zator, Michał - On the importance of the long-term seasonal component in day-ahead electricity price forecasting (RePEc:eee:eneeco:v:57:y:2016:i:c:p:228-235)
by Nowotarski, Jakub & Weron, Rafał - Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks (RePEc:eee:eneeco:v:70:y:2018:i:c:p:396-420)
by Ziel, Florian & Weron, Rafał - On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting (RePEc:eee:eneeco:v:79:y:2019:i:c:p:171-182)
by Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał - Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill (RePEc:eee:eneeco:v:79:y:2019:i:c:p:45-58)
by Maryniak, Paweł & Trück, Stefan & Weron, Rafał - Regularized quantile regression averaging for probabilistic electricity price forecasting (RePEc:eee:eneeco:v:95:y:2021:i:c:s0140988321000268)
by Uniejewski, Bartosz & Weron, Rafał - Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs (RePEc:eee:enepol:v:72:y:2014:i:c:p:164-174)
by Kowalska-Pyzalska, Anna & Maciejowska, Katarzyna & Suszczyński, Karol & Sznajd-Weron, Katarzyna & Weron, Rafał - Improving short term load forecast accuracy via combining sister forecasts (RePEc:eee:energy:v:98:y:2016:i:c:p:40-49)
by Nowotarski, Jakub & Liu, Bidong & Weron, Rafał & Hong, Tao - Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models (RePEc:eee:intfor:v:24:y:2008:i:4:p:744-763)
by Weron, Rafal & Misiorek, Adam - Electricity price forecasting: A review of the state-of-the-art with a look into the future (RePEc:eee:intfor:v:30:y:2014:i:4:p:1030-1081)
by Weron, Rafał - Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging (RePEc:eee:intfor:v:32:y:2016:i:3:p:957-965)
by Maciejowska, Katarzyna & Nowotarski, Jakub & Weron, Rafał - On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks (RePEc:eee:intfor:v:35:y:2019:i:4:p:1520-1532)
by Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał - Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO (RePEc:eee:intfor:v:35:y:2019:i:4:p:1533-1547)
by Uniejewski, Bartosz & Marcjasz, Grzegorz & Weron, Rafał - Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? (RePEc:eee:intfor:v:36:y:2020:i:2:p:466-479)
by Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał - Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx (RePEc:eee:intfor:v:39:y:2023:i:2:p:884-900)
by Olivares, Kin G. & Challu, Cristian & Marcjasz, Grzegorz & Weron, Rafał & Dubrawski, Artur - A conditionally exponential decay approach to scaling in finance (RePEc:eee:phsmap:v:264:y:1999:i:3:p:551-561)
by Weron, Rafal & Weron, Karina & Weron, Aleksander - Origins of the scaling behaviour in the dynamics of financial data (RePEc:eee:phsmap:v:264:y:1999:i:3:p:562-569)
by Weron, Aleksander & Mercik, Szymon & Weron, Rafal - Scaling in currency exchange: a conditionally exponential decay approach (RePEc:eee:phsmap:v:267:y:1999:i:1:p:239-250)
by Mercik, Szymon & Weron, Rafal - Hurst analysis of electricity price dynamics (RePEc:eee:phsmap:v:283:y:2000:i:3:p:462-468)
by Weron, Rafal & Przybyłowicz, Beata - Energy price risk management (RePEc:eee:phsmap:v:285:y:2000:i:1:p:127-134)
by Weron, Rafal - Property insurance loss distributions (RePEc:eee:phsmap:v:287:y:2000:i:1:p:269-278)
by Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał - A new model of mass extinctions (RePEc:eee:phsmap:v:293:y:2001:i:3:p:559-565)
by Sznajd-Weron, K. & Weron, Rafał - Modeling electricity loads in California: a continuous-time approach (RePEc:eee:phsmap:v:299:y:2001:i:1:p:344-350)
by Weron, R. & Kozłowska, B. & Nowicka-Zagrajek, J. - Estimating long-range dependence: finite sample properties and confidence intervals (RePEc:eee:phsmap:v:312:y:2002:i:1:p:285-299)
by Weron, Rafał - How effective is advertising in duopoly markets? (RePEc:eee:phsmap:v:324:y:2003:i:1:p:437-444)
by Sznajd-Weron, K. & Weron, R. - On detecting and modeling periodic correlation in financial data (RePEc:eee:phsmap:v:336:y:2004:i:1:p:196-205)
by Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A - Modeling electricity prices: jump diffusion and regime switching (RePEc:eee:phsmap:v:336:y:2004:i:1:p:39-48)
by Weron, R & Bierbrauer, M & Trück, S - The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach (RePEc:eee:phsmap:v:505:y:2018:i:c:p:591-600)
by Weron, Tomasz & Kowalska-Pyzalska, Anna & Weron, Rafał - Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices (RePEc:eee:rensus:v:62:y:2016:i:c:p:723-735)
by Byrka, Katarzyna & Jȩdrzejewski, Arkadiusz & Sznajd-Weron, Katarzyna & Weron, Rafał - Recent advances in electricity price forecasting: A review of probabilistic forecasting (RePEc:eee:rensus:v:81:y:2018:i:p1:p:1548-1568)
by Nowotarski, Jakub & Weron, Rafał - On the Chambers-Mallows-Stuck method for simulating skewed stable random variables (RePEc:eee:stapro:v:28:y:1996:i:2:p:165-171)
by Weron, Rafal - Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations (RePEc:gam:jdataj:v:4:y:2019:i:2:p:67-:d:230336)
by Tomasz Antczak & Rafał Weron - Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models (RePEc:gam:jeners:v:11:y:2018:i:8:p:2039-:d:162196)
by Bartosz Uniejewski & Rafał Weron - Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting (RePEc:gam:jeners:v:11:y:2018:i:9:p:2364-:d:168385)
by Grzegorz Marcjasz & Tomasz Serafin & Rafał Weron - Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting (RePEc:gam:jeners:v:12:y:2019:i:13:p:2561-:d:245313)
by Tomasz Serafin & Bartosz Uniejewski & Rafał Weron - Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader (RePEc:gam:jeners:v:13:y:2020:i:1:p:205-:d:304260)
by Christopher Kath & Weronika Nitka & Tomasz Serafin & Tomasz Weron & Przemysław Zaleski & Rafał Weron - Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts (RePEc:gam:jeners:v:13:y:2020:i:7:p:1667-:d:340785)
by Grzegorz Marcjasz & Bartosz Uniejewski & Rafał Weron - Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO (RePEc:gam:jeners:v:14:y:2021:i:11:p:3249-:d:567421)
by Arkadiusz Jędrzejewski & Grzegorz Marcjasz & Rafał Weron - Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting (RePEc:gam:jeners:v:9:y:2016:i:8:p:621-:d:75423)
by Bartosz Uniejewski & Jakub Nowotarski & Rafał Weron - Stable Distributions (RePEc:hum:wpaper:sfb649dp2005-008)
by Szymon Borak & Wolfgang Härdle & Rafal Weron - Convenience Yields for CO2 Emission Allowance Futures Contracts (RePEc:hum:wpaper:sfb649dp2006-076)
by Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron - A semiparametric factor model for electricity forward curve dynamics (RePEc:hum:wpaper:sfb649dp2008-050)
by Szymon Borak & Rafał Weron - FX Smile in the Heston Model (RePEc:hum:wpaper:sfb649dp2010-047)
by Agnieszka Janek & Tino Kluge & Rafał Weron & Uwe Wystup - Building Loss Models (RePEc:hum:wpaper:sfb649dp2010-048)
by Krzysztof Burnecki & Joanna Janczura & Rafał Weron - Models for Heavy-tailed Asset Returns (RePEc:hum:wpaper:sfb649dp2010-049)
by Szymon Borak & Adam Misiorek & Rafał Weron - Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? (RePEc:plo:pone00:0112203)
by Katarzyna Sznajd-Weron & Janusz Szwabiński & Rafał Weron - A semiparametric factor model for electricity forward curve dynamics (RePEc:pra:mprapa:10421)
by Borak, Szymon & Weron, Rafal - Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland (RePEc:pra:mprapa:10422)
by Sznajd-Weron, Katarzyna & Weron, Rafal & Wloszczowska, Maja - Modelling catastrophe claims with left-truncated severity distributions (extended version) (RePEc:pra:mprapa:10423)
by Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal - Heavy-tails and regime-switching in electricity prices (RePEc:pra:mprapa:10424)
by Weron, Rafal - Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models (RePEc:pra:mprapa:10428)
by Weron, Rafal & Misiorek, Adam - Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market (RePEc:pra:mprapa:1363)
by Weron, Rafal & Misiorek, Adam - Structure and stylized facts of a deregulated power market (RePEc:pra:mprapa:1443)
by Simonsen, Ingve & Weron, Rafal & Mo, Birger - 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 - Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
[Power security: Risk > Risk management > Security] (RePEc:pra:mprapa:18786)
by Weron, Rafal - An empirical comparison of alternate regime-switching models or electricity spot prices (RePEc:pra:mprapa:20546)
by Janczura, Joanna & Weron, Rafal - Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" (RePEc:pra:mprapa:20761)
by Weron, Rafal - Forecasting wholesale electricity prices: A review of time series models (RePEc:pra:mprapa:21299)
by Weron, Rafal - Loss Distributions (RePEc:pra:mprapa:22163)
by Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal - Goodness-of-fit testing for regime-switching models (RePEc:pra:mprapa:22871)
by Janczura, Joanna & Weron, Rafal - Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? (RePEc:pra:mprapa:2292)
by Weron, Rafal & Misiorek, Adam - Origins of scaling in FX markets (RePEc:pra:mprapa:2294)
by Mercik, Szymon & Weron, Rafal - Modeling electricity spot prices: Regime switching models with price-capped spike distributions (RePEc:pra:mprapa:23296)
by Janczura, Joanna & Weron, Rafal - Simulation of Risk Processes (RePEc:pra:mprapa:25444)
by Burnecki, Krzysztof & Weron, Rafal - FX Smile in the Heston Model (RePEc:pra:mprapa:25491)
by Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe - Building Loss Models (RePEc:pra:mprapa:25492)
by Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal - Models for Heavy-tailed Asset Returns (RePEc:pra:mprapa:25494)
by Borak, Szymon & Misiorek, Adam & 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 - 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 - Robust estimation and forecasting of the long-term seasonal component of electricity spot prices (RePEc:pra:mprapa:42563)
by Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafal - Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices (RePEc:pra:mprapa:4711)
by 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 - Modelling catastrophe claims with left-truncated severity distributions (RePEc:spr:compst:v:21:y:2006:i:3:p:537-555)
by Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trück & Rafał Weron - Computing electricity spot price prediction intervals using quantile regression and forecast averaging (RePEc:spr:compst:v:30:y:2015:i:3:p:791-803)
by Jakub Nowotarski & Rafał Weron - Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships (RePEc:spr:compst:v:30:y:2015:i:3:p:805-819)
by Katarzyna Maciejowska & Rafał Weron - Heavy-tails and regime-switching in electricity prices (RePEc:spr:mathme:v:69:y:2009:i:3:p:457-473)
by Rafał Weron - Blackouts, risk, and fat-tailed distributions (RePEc:spr:sprchp:978-4-431-28915-9_39)
by Rafał Weron & Ingve Simonsen - Operational Research: methods and applications (RePEc:taf:tjorxx:v:75:y:2024:i:3:p:423-617)
by Fotios Petropoulos & Gilbert Laporte & Emel Aktas & Sibel A. Alumur & Claudia Archetti & Hayriye Ayhan & Maria Battarra & Julia A. Bennell & Jean-Marie Bourjolly & John E. Boylan & Michèle Breton & Da - Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ (RePEc:wly:apsmbi:v:29:y:2013:i:6:p:648-651)
by Rafał Weron & James Taylor - Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period (RePEc:wly:jfutmk:v:36:y:2016:i:6:p:587-611)
by Stefan Trück & Rafał Weron - Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market (RePEc:wpa:wuwpem:0303007)
by Rafal Weron & Ingve Simonsen & Piotr Wilman - Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (RePEc:wpa:wuwpem:0305003)
by Rafal Weron - Market price of risk implied by Asian-style electricity options (RePEc:wpa:wuwpem:0502003)
by Rafal Weron - Modeling and forecasting electricity loads: A comparison (RePEc:wpa:wuwpem:0502004)
by Rafal Weron & Adam Misiorek - Modeling electricity prices with regime switching models (RePEc:wpa:wuwpem:0502005)
by Michael Bierbrauer & Stefan Trueck & Rafal Weron - On detecting and modeling periodic correlation in financial data (RePEc:wpa:wuwpem:0502006)
by Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska - Forecasting Spot Electricity Prices With Time Series Models (RePEc:wpa:wuwpem:0504001)
by Rafal Weron & Adam Misiorek - How effective is advertising in duopoly markets? (RePEc:wpa:wuwppe:0306005)
by Katarzyna Sznajd-Weron & Rafal Weron - Modeling the risk process in the XploRe computing environment (RePEc:wpa:wuwpri:0502001)
by Krzysztof Burnecki & Rafal Weron - Blackouts, risk, and fat-tailed distributions (RePEc:wpa:wuwpri:0510001)
by Rafal Weron & Ingve Simonsen - Diffusion Of Innovation Within An Agent-Based Model: Spinsons, Independence And Advertising (RePEc:wsi:acsxxx:v:17:y:2014:i:01:n:s0219525914500040)
by Piotr Przybyła & Katarzyna Sznajd-Weron & Rafał Weron - Levy-Stable Distributions Revisited: Tail Index> 2does Not Exclude The Levy-Stable Regime (RePEc:wsi:ijmpcx:v:12:y:2001:i:02:n:s0129183101001614)
by Rafał Weron - A Simple Model Of Price Formation (RePEc:wsi:ijmpcx:v:13:y:2002:i:01:n:s0129183102003000)
by K. Sznajd-Weron & R. Weron - What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market (RePEc:wsi:wschap:9789813278387_0010)
by Paweł Maryniak & Rafał Weron - Combining predictive distributions of electricity prices. Does minimizing the CRPS lead to optimal decisions in day-ahead bidding? (RePEc:wut:journl:v:33:y:2023:i:3:p:105-118:id:7)
by Weronika Nitka & Rafał Weron - Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) (RePEc:wuu:hsbook:hsbook0001)
by Aleksander Weron & Rafal Weron - Statistical Tools for Finance and Insurance (RePEc:wuu:hsbook:hsbook0501)
by Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron - Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (RePEc:wuu:hsbook:hsbook0601)
by Rafal Weron - Statistical Tools for Finance and Insurance (2nd edition) (RePEc:wuu:hsbook:hsbook1101)
by Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron - Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku) (RePEc:wuu:hsbook:hsbook9801)
by Aleksander Weron & Rafal Weron - HSC Software (RePEc:wuu:hscode)
from Hugo Steinhaus Center, Wroclaw University of Technology as editor - SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) (RePEc:wuu:hscode:m00001)
by Rafal Weron - PERIODOG: MATLAB function to compute and plot the periodogram of a time series (RePEc:wuu:hscode:m06001)
by Rafal Weron - CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage (RePEc:wuu:hscode:m07001)
by Rafal Weron - COR: MATLAB function to compute the correlation coefficients (RePEc:wuu:hscode:m08001)
by Joanna Nowicka-Zagrajek & Rafal Weron - GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) (RePEc:wuu:hscode:m11001)
by Rafal Weron - DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) (RePEc:wuu:hscode:m11002)
by Rafal Weron - HURST: MATLAB function to compute the Hurst exponent using R/S Analysis (RePEc:wuu:hscode:m11003)
by Rafal Weron - 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 - 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 - RUNNINGMEDIAN: MATLAB function to compute a running median of a time series (RePEc:wuu:hscode:m12006)
by Rafal Weron - LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods (RePEc:wuu:hscode:m13001)
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods (RePEc:wuu:hscode:m13002)
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods (RePEc:wuu:hscode:m13003)
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) (RePEc:wuu:hscode:m13004)
by Rafal Weron - AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method (RePEc:wuu:hscode:m14002)
by Rafal Weron - SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model (RePEc:wuu:hscode:m16001)
by Jakub Nowotarski & Rafal Weron - HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model (RePEc:wuu:hscode:m17001)
by Rafal Weron - MFE Toolbox ver. 1.0.1 for MATLAB (RePEc:wuu:hscode:zip00001)
by Rafal Weron & Jakub Jurdziak & Adam Misiorek - SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" (RePEc:wuu:hscode:zip06001)
by Adam Misiorek & Stefan Trueck & Rafal Weron - STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" (RePEc:wuu:hscode:zip10001)
by Agnieszka Janek & Rafal Weron - STF2HES: MATLAB functions for "FX smile in the Heston model" (RePEc:wuu:hscode:zip10002)
by Agnieszka Janek & Rafal Weron - The World According to Spinson (WAS): Standalone application for simulating agent-based models (RePEc:wuu:hscode:zip13001)
by Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron - LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" (RePEc:wuu:hscode:zip13002)
by Jakub Nowotarski & Rafal Weron - SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" (RePEc:wuu:hscode:zip16002)
by Jakub Nowotarski & Rafal Weron - ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" (RePEc:wuu:hscode:zip18001)
by Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron - ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" (RePEc:wuu:hscode:zip18002)
by Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron - Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB (RePEc:wuu:hscode:zip98001)
by Rafal Weron - HSC Research Reports (RePEc:wuu:wpaper)
from Hugo Steinhaus Center, Wroclaw University of Technology as editor - Hurst analysis of electricity price dynamics (RePEc:wuu:wpaper:hsc0001)
by Rafal Weron & Beata Przybylowicz - Energy price risk management (RePEc:wuu:wpaper:hsc0002)
by Rafal Weron - Property insurance loss distributions (RePEc:wuu:wpaper:hsc0003)
by Krzysztof Burnecki & Grzegorz Kukla & Rafal Weron - Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (RePEc:wuu:wpaper:hsc0101)
by Rafal Weron - Estimating long range dependence: finite sample properties and confidence intervals (RePEc:wuu:wpaper:hsc0103)
by Rafal Weron - Modeling electricity loads in California: ARMA models with hyperbolic noise (RePEc:wuu:wpaper:hsc0202)
by Joanna Nowicka-Zagrajek & Rafal Weron - Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach (RePEc:wuu:wpaper:hsc0204)
by Rafal Weron - Modeling electricity prices: jump diffusion and regime switching (RePEc:wuu:wpaper:hsc0301)
by Rafal Weron & Michael Bierbrauer & Stefan Trück - An introduction to simulation of risk processes (RePEc:wuu:wpaper:hsc0304)
by Krzysztof Burnecki & Wolfgang Hardle & Rafal Weron - Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) (RePEc:wuu:wpaper:hsc0402)
by Rafal Weron - Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) (RePEc:wuu:wpaper:hsc0403)
by Rafal Weron & Slawomir Wojcik - Modeling catastrophe claims with left-truncated severity distributions (extended version) (RePEc:wuu:wpaper:hsc0501)
by Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trueck & Rafal Weron - Heavy tails and electricity prices (RePEc:wuu:wpaper:hsc0502)
by Rafal Weron - Short-term electricity price forecasting with time series models: A review and evaluation (RePEc:wuu:wpaper:hsc0601)
by Rafal Weron & Adam Misiorek - Interval forecasting of spot electricity prices (RePEc:wuu:wpaper:hsc0605)
by Adam Misiorek & Rafal Weron - Visualization tools for insurance risk processes (RePEc:wuu:wpaper:hsc0606)
by Krzysztof Burnecki & Rafal Weron - Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) (RePEc:wuu:wpaper:hsc0901)
by Piotr Zielonka & Przemyslaw Sawicki & Rafal Weron - Models for Heavy-tailed Asset Returns (RePEc:wuu:wpaper:hsc1001)
by Szymon Borak & Adam Misiorek & Rafal Weron - FX Smile in the Heston Model (RePEc:wuu:wpaper:hsc1002)
by Agnieszka Janek & Tino Kluge & Rafal Weron & Uwe Wystup - Building Loss Models (RePEc:wuu:wpaper:hsc1003)
by Krzysztof Burnecki & Joanna Janczura & Rafal Weron - Heavy-tailed distributions in VaR calculations (RePEc:wuu:wpaper:hsc1005)
by Adam Misiorek & 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 - Inference for Markov-regime switching models of electricity spot prices (RePEc:wuu:wpaper:hsc1201)
by Joanna Janczura & Rafal Weron - The relationship between spot and futures CO2 emission allowance prices in the EU-ETS (RePEc:wuu:wpaper:hsc1202)
by Stefan Trück & Wolfgang Härdle & 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 - Robust estimation and forecasting of the long-term seasonal component of electricity spot prices (RePEc:wuu:wpaper:hsc1206)
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market (RePEc:wuu:wpaper:hsc1301)
by Katarzyna Maciejowska & Rafal Weron - Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices (RePEc:wuu:wpaper:hsc1302)
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - Diffusion of innovation within an agent-based model: Spinsons, independence and advertising (RePEc:wuu:wpaper:hsc1304)
by Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron - Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs (RePEc:wuu:wpaper:hsc1305)
by Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron - An empirical comparison of alternate schemes for combining electricity spot price forecasts (RePEc:wuu:wpaper:hsc1307)
by Jakub Nowotarski & Eran Raviv & Stefan Trueck & Rafal Weron - Revisiting the relationship between spot and futures prices in the Nord Pool electricity market (RePEc:wuu:wpaper:hsc1308)
by Rafal Weron & Michal Zator - Rewiring the network. What helps an innovation to diffuse? (RePEc:wuu:wpaper:hsc1309)
by Katarzyna Sznajd-Weron & Janusz Szwabinski & Rafal Weron & Tomasz Weron - Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs (RePEc:wuu:wpaper:hsc1310)
by Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Karol Suszczynski & Rafal Weron - Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships (RePEc:wuu:wpaper:hsc1311)
by Katarzyna Maciejowska & Rafal Weron - Computing electricity spot price prediction intervals using quantile regression and forecast averaging (RePEc:wuu:wpaper:hsc1312)
by Jakub Nowotarski & Rafal Weron - Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach (RePEc:wuu:wpaper:hsc1401)
by Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron - A review of electricity price forecasting: The past, the present and the future (RePEc:wuu:wpaper:hsc1402)
by Rafal Weron - Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices (RePEc:wuu:wpaper:hsc1403)
by Jakub Nowotarski & Rafal Weron - A note on using the Hodrick-Prescott filter in electricity markets (RePEc:wuu:wpaper:hsc1404)
by Rafal Weron & Michal Zator - Modeling consumer opinions towards dynamic pricing: An agent-based approach (RePEc:wuu:wpaper:hsc1406)
by Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron - Electricity price forecasting: A review of the state-of-the-art with a look into the future (RePEc:wuu:wpaper:hsc1407)
by Rafal Weron - Modelling price spikes in electricity markets - the impact of load, weather and capacity (RePEc:wuu:wpaper:hsc1408)
by Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron - Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging (RePEc:wuu:wpaper:hsc1409)
by Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron - Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts (RePEc:wuu:wpaper:hsc1410)
by Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron - Forecasting the occurrence of electricity price spikes in the UK power market (RePEc:wuu:wpaper:hsc1411)
by Pawel Maryniak & Rafal Weron - Evaluating the performance of VaR models in energy markets (RePEc:wuu:wpaper:hsc1412)
by Sasa Zikovic & Rafal Weron & Ivana Tomas Zikovic - Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts (RePEc:wuu:wpaper:hsc1501)
by Bidong Liu & Jakub Nowotarski & Tao Hong & Rafal Weron - Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period (RePEc:wuu:wpaper:hsc1503)
by Stefan Trück & Rafal Weron - Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals (RePEc:wuu:wpaper:hsc1504)
by Katarzyna Maciejowska & Rafal Weron - Improving short term load forecast accuracy via combining sister forecasts (RePEc:wuu:wpaper:hsc1505)
by Jakub Nowotarski & Bidong Liu & Rafal Weron & Tao Hong - Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products (RePEc:wuu:wpaper:hsc1509)
by Katarzyna Maciejowska & Arkadiusz Jedrzejewski & Anna Kowalska-Pyzalska & Katarzyna Sznajd-Weron & Rafal Weron - Difficulty is critical: Psychological factors in modeling diffusion of green products and practices (RePEc:wuu:wpaper:hsc1510)
by Katarzyna Byrka & Arkadiusz Jedrzejewski & Katarzyna Sznajd-Weron & Rafal Weron - To combine or not to combine? Recent trends in electricity price forecasting (RePEc:wuu:wpaper:hsc1601)
by Jakub Nowotarski & Rafal Weron - Impact of social interactions on demand curves for innovative products (RePEc:wuu:wpaper:hsc1604)
by Katarzyna Maciejowska & Arkadiusz Jedrzejewski & Anna Kowalska-Pyzalska & Rafal Weron - On the importance of the long-term seasonal component in day-ahead electricity price forecasting (RePEc:wuu:wpaper:hsc1605)
by Jakub Nowotarski & Rafal Weron - Automated variable selection and shrinkage for day-ahead electricity price forecasting (RePEc:wuu:wpaper:hsc1606)
by Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron - Recent advances in electricity price forecasting: A review of probabilistic forecasting (RePEc:wuu:wpaper:hsc1607)
by Jakub Nowotarski & Rafal Weron - Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models (RePEc:wuu:wpaper:hsc1608)
by Florian Ziel & Rafal Weron - Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets (RePEc:wuu:wpaper:hsc1610)
by Pawel Maryniak & Stefan Trueck & Rafal Weron - Variance stabilizing transformations for electricity spot price forecasting (RePEc:wuu:wpaper:hsc1701)
by Bartosz Uniejewski & Rafal Weron & Florian Ziel - On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting (RePEc:wuu:wpaper:hsc1702)
by Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron - Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models (RePEc:wuu:wpaper:hsc1703)
by Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron - The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach (RePEc:wuu:wpaper:hsc1704)
by Tomasz Weron & Anna Kowalska-Pyzalska & Rafal Weron - Habitat momentum (RePEc:wuu:wpaper:hsc1705)
by Pawel Maryniak & Rafal Weron - Efficient forecasting of electricity spot prices with expert and LASSO models (RePEc:wuu:wpaper:hsc1802)
by Bartosz Uniejewski & Rafal Weron - A note on averaging day-ahead electricity price forecasts across calibration windows (RePEc:wuu:wpaper:hsc1803)
by Katarzyna Hubicka & Grzegorz Marcjasz & Rafal Weron - Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? (RePEc:wuu:wpaper:hsc1805)
by Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron - Selection of calibration windows for day-ahead electricity price forecasting (RePEc:wuu:wpaper:hsc1806)
by Grzegorz Marcjasz & Tomasz Serafin & Rafal Weron - Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO (RePEc:wuu:wpaper:hsc1807)
by Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron - Electricity price forecasting (RePEc:wuu:wpaper:hsc1808)
by Rafal Weron & Florian Ziel - Electricity price forecasting (RePEc:wuu:wpaper:hsc1901)
by Katarzyna Maciejowska & Rafal Weron - Regularized Quantile Regression Averaging for probabilistic electricity price forecasting (RePEc:wuu:wpaper:hsc1904)
by Bartosz Uniejewski & Rafal Weron - Balancing RES generation: Profitability of an energy trader (RePEc:wuu:wpaper:hsc1907)
by Christopher Kath & Weronika Nitka & Tomasz Serafin & Tomasz Weron & Przemyslaw Zaleski & Rafal Weron - Performance of the estimators of stable law parameters (RePEc:wuu:wpaper:hsc9501)
by Rafal Weron - Analysis of ROBECO data by neural networks (RePEc:wuu:wpaper:hsc9502)
by Wojtek Kowalczyk & Rafal Weron - Correction to: "On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables" (RePEc:wuu:wpaper:hsc9601)
by Rafal Weron - Evolution in a changing environment (RePEc:wuu:wpaper:hsc9701)
by Katarzyna Sznajd-Weron & Rafal Weron - Origins of the scaling behaviour in the dynamics of financial data (RePEc:wuu:wpaper:hsc9801)
by Aleksander Weron & Szymon Mercik & Rafal Weron - Scaling in currency exchange: A Conditionally Exponential Decay approach (RePEc:wuu:wpaper:hsc9802)
by Szymon Mercik & Rafal Weron - A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia) (RePEc:wuu:wpaper:hsc9901)
by Tomasz Garlinski & Rafal Weron - Simulation of risk processes (RePEc:zbw:caseps:200401)
by Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał - Modeling the risk process in the XploRe computing environment (RePEc:zbw:caseps:200408)
by Weron, Rafał & Burnecki, Krzysztof - Computationally intensive Value at Risk calculations (RePEc:zbw:caseps:200432)
by Weron, Rafał - Stable distributions (RePEc:zbw:sfb649:sfb649dp2005-008)
by Borak, Szymon & Härdle, Wolfgang Karl & Weron, Rafał - Convenience yields for CO2 emission allowance futures contracts (RePEc:zbw:sfb649:sfb649dp2006-076)
by Borak, Szymon & Härdle, Wolfgang Karl & Trück, Stefan & Weron, Rafał - A semiparametric factor model for electricity forward curve dynamics (RePEc:zbw:sfb649:sfb649dp2008-050)
by Borak, Szymon & Weron, Rafał - FX smile in the Heston model (RePEc:zbw:sfb649:sfb649dp2010-047)
by Janek, Agnieszka & Kluge, Tino & Weron, Rafał & Wystup, Uwe - Building loss models (RePEc:zbw:sfb649:sfb649dp2010-048)
by Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafał - Models for heavy-tailed asset returns (RePEc:zbw:sfb649:sfb649dp2010-049)
by Borak, Szymon & Misiorek, Adam & Weron, Rafał