Rafał Weron : Citation Profile


Are you Rafał Weron?

Politechnika Wrocławska (90% share)
Politechnika Wrocławska (10% share)

19

H index

33

i10 index

1251

Citations

RESEARCH PRODUCTION:

36

Articles

124

Papers

3

Books

EDITOR:

2

Books edited

2

Series edited

RESEARCH ACTIVITY:

   22 years (1995 - 2017). See details.
   Cites by year: 56
   Journals where Rafał Weron has often published
   Relations with other researchers
   Recent citing documents: 194.    Total self citations: 111 (8.15 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe42
   Updated: 2017-12-09    RAS profile: 2017-12-02    
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Relations with other researchers


Works with:

Nowotarski, Jakub (21)

Maciejowska, Katarzyna (14)

Sznajd-Weron, Katarzyna (10)

Trueck, Stefan (9)

Kowalska-Pyzalska, Anna (7)

Janczura, Joanna (6)

Uniejewski, Bartosz (5)

Hong, Tao (4)

Zator, Michał (4)

Tomczyk, Jakub (3)

Marcjasz, Grzegorz (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Rafał Weron.

Is cited by:

Krištoufek, Ladislav (30)

Janczura, Joanna (27)

Sapio, Sandro (26)

Rodríguez Caballero, Carlos (21)

Härdle, Wolfgang (19)

Afanasyev, Dmitriy (18)

Wyłomańska, Agnieszka (18)

Eichler, Michael (17)

GUPTA, RANGAN (17)

Prokopczuk, Marcel (17)

Fleten, Stein-Erik (16)

Cites to:

Nowotarski, Jakub (102)

Trueck, Stefan (100)

Misiorek, Adam (88)

Janczura, Joanna (61)

Cartea, Álvaro (43)

Härdle, Wolfgang (42)

Maciejowska, Katarzyna (41)

Hong, Tao (39)

Sznajd-Weron, Katarzyna (30)

Burnecki, Krzysztof (28)

Hamilton, James (22)

Main data


Where Rafał Weron has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications12
Energy Economics8
Computational Statistics3
International Journal of Forecasting3
AStA Advances in Statistical Analysis2

Working Papers Series with more than one paper published# docs
HSC Research Reports / Hugo Steinhaus Center, Wroclaw University of Technology72
MPRA Paper / University Library of Munich, Germany27
Papers / arXiv.org6
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany6
Papers / Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)3

Recent works citing Rafał Weron (2017 and 2016)


YearTitle of citing document
2016A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar . In: CREATES Research Papers. RePEc:aah:create:2016-08.

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2016A Dynamic Multi-Level Factor Model with Long-Range Dependence. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Ergemen, Yunus Emre ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2016-23.

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2016Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn.

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2016Short-term Hedging for an Electricity Retailer. (2016). Debbie, Genevieve Gauthier ; Godin, Frederic . In: The Energy Journal. RePEc:aen:journl:ej37-2-dupuis.

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2016What Moves the Ex Post Variable Profit of Natural-Gas-Fired Generation in California?. (2016). Zarnikau, Jay ; Chi-Keung, Ira Horowitz ; Leung, Eric . In: The Energy Journal. RePEc:aen:journl:ej37-3-woo.

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2017Wind, Storage, Interconnection and the Cost of Electricity Generation. (2017). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria. In: ESP: Energy Scenarios and Policy. RePEc:ags:feemes:253733.

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2016Electricity Price Forecasting using Sale and Purchase Curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick . In: Papers. RePEc:arx:papers:1509.00372.

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2016Forecasting Electricity Spot Prices using Lasso: On Capturing the Autoregressive Intraday Structure. (2016). Ziel, Florian . In: Papers. RePEc:arx:papers:1509.01966.

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2016Full and fast calibration of the Heston stochastic volatility model. (2016). Germano, Guido ; Cui, Yiran ; del Bano, Sebastian . In: Papers. RePEc:arx:papers:1511.08718.

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2016How to improve accuracy for DFA technique. (2016). Stringhi, Alessandro ; Figini, Silvia . In: Papers. RePEc:arx:papers:1602.00629.

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2016Pricing options on forwards in energy markets: the role of mean reversions speed. (2016). Schmeck, Maren Diane . In: Papers. RePEc:arx:papers:1602.03402.

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2016The characteristic function of rough Heston models. (2016). el Euch, Omar ; Rosenbaum, Mathieu . In: Papers. RePEc:arx:papers:1609.02108.

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2016Uncertainty Estimates in the Heston Model via Fisher Information. (2016). Pfante, Oliver ; Bertschinger, Nils . In: Papers. RePEc:arx:papers:1610.04760.

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2016Calibration to American Options: Numerical Investigation of the de-Americanization. (2016). Schoutens, Wim ; Mahlstedt, Mirco ; Glau, Kathrin ; Gass, Maximilian ; Burkovska, Olena ; Wohlmuth, Barbara . In: Papers. RePEc:arx:papers:1611.06181.

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2017Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network. (2017). Chow, Vinci . In: Papers. RePEc:arx:papers:1701.08711.

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2017Zipfs law for share price and company fundamentals. (2017). Kaizoji, Taisei ; Miyano, Michiko . In: Papers. RePEc:arx:papers:1702.00144.

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2017Probabilistic Mid- and Long-Term Electricity Price Forecasting. (2017). Ziel, Florian ; Steinert, Rick . In: Papers. RePEc:arx:papers:1703.10806.

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2017An adverse selection approach to power pricing. (2017). Alasseur, Cl'Emence ; Possamai, Dylan ; Santib, Nicol'As Hern'Andez ; Elie, Romuald ; Ekeland, Ivar . In: Papers. RePEc:arx:papers:1706.01934.

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2017Forecasting day-ahead electricity prices in Europe: the importance of considering market integration. (2017). Lago, Jesus ; de Schutter, Bart ; Vrancx, Peter ; de Ridder, Fjo . In: Papers. RePEc:arx:papers:1708.07061.

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2017Polynomial processes for power prices. (2017). Filipovic, Damir ; Ware, Tony ; Larsson, Martin . In: Papers. RePEc:arx:papers:1710.10293.

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2016Optimal Power Generation Portfolios with Renewables: An Application to the UK. (2016). Jamasb, Tooraj ; Adams, R. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1646.

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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6396.

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2016AGGREGATE LOSS DISTRIBUTION AND DEPENDENCE: COMPOSITE MODELS, COPULA FUNCTIONS AND FAST FOURIER TRANSFORM FOR THE DANISH RE INSURANCE DATA. (2016). Cerchiara, Rocco Roberto ; Acri, Francesco . In: Working Papers. RePEc:clb:wpaper:201608.

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2017Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data. (2017). Wilfling, Bernd ; GUPTA, RANGAN ; Lau, Chi Keung ; Segnon, Mawuli . In: CQE Working Papers. RePEc:cqe:wpaper:6117.

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2016Equation-by-Equation Estimation of Multivariate Periodic Electricity Price Volatility. (2016). Sucarrat, Genaro ; Escribano, Alvaro. In: UC3M Working papers. Economics. RePEc:cte:werepe:23436.

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2017Electricity prices forecasting by averaging dynamic factor models. (2017). Alonso, Andres Modesto ; Garcia-Martos, Carolina ; Bastos, Guadalupe . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24028.

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2017Estimation of a Dynamic Multilevel Factor Model with possible long-range dependence. (2017). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodriguez, Carlos Vladimir ; Ergemen, Yunus Emre . In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:24614.

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2017Forecasting the distributions of hourly electricity spot prices. (2017). Pape, Christian ; Weber, Christoph ; Woll, Oliver ; Vogler, Arne . In: EWL Working Papers. RePEc:dui:wpaper:1705.

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2016A comparison of different univariate forecasting models forSpot Electricity Price in India. (2016). Tiwari, Aviral ; Girish, G P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00633.

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2017Asymmetric Spillover Effects between Agricultural Commodity Prices and Biofuel Energy Prices. (2017). Voliotis, Dimitrios ; Apergis, Nicholas ; Eleftheriou, Sofia . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-01-18.

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2016Measuring Consumer Inflation Expectations in Turkey. (2016). Oral, Ece. In: Eastern European Business and Economics Journal. RePEc:eeb:articl:v:2:y:2016:n:1:p:43-74.

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2016Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks. (2016). Paraschiv, Florentina ; Keles, Dogan ; Fichtner, Wolf ; Scelle, Jonathan . In: Applied Energy. RePEc:eee:appene:v:162:y:2016:i:c:p:218-230.

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2016A MPC approach for optimal generation scheduling in CSP plants. (2016). Vasallo, Manuel Jesus ; Bravo, Jose Manuel . In: Applied Energy. RePEc:eee:appene:v:165:y:2016:i:c:p:357-370.

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2016Day-ahead electricity price forecasting via the application of artificial neural network based models. (2016). Panapakidis, Ioannis P ; Dagoumas, Athanasios S. In: Applied Energy. RePEc:eee:appene:v:172:y:2016:i:c:p:132-151.

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2016Modelling electricity futures prices using seasonal path-dependent volatility. (2016). Musti, Silvana ; Fanelli, Viviana ; Maddalena, Lucia . In: Applied Energy. RePEc:eee:appene:v:173:y:2016:i:c:p:92-102.

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2016Valuation under uncertain energy prices and load demands of micro-CHP plants supplemented by optimally switched thermal energy storage. (2016). Moreno, Blanca . In: Applied Energy. RePEc:eee:appene:v:177:y:2016:i:c:p:553-569.

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2017Short-term power load probability density forecasting method using kernel-based support vector quantile regression and Copula theory. (2017). Liu, Rui ; Lu, Xiaofen ; He, Yaoyao ; Wang, Shuo . In: Applied Energy. RePEc:eee:appene:v:185:y:2017:i:p1:p:254-266.

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2017MOD-DR: Microgrid optimal dispatch with demand response. (2017). Spanos, Costas ; Liu, Ping ; Feng, Wei ; Jin, Ming ; Marnay, Chris . In: Applied Energy. RePEc:eee:appene:v:187:y:2017:i:c:p:758-776.

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2017Multi-agent systems applied for energy systems integration: State-of-the-art applications and trends in microgrids. (2017). Coelho, Vitor N ; Guimares, Frederico Gadelha ; Liu, Nian ; Cohen, Miri Weiss . In: Applied Energy. RePEc:eee:appene:v:187:y:2017:i:c:p:820-832.

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2017Electricity price forecasting by a hybrid model, combining wavelet transform, ARMA and kernel-based extreme learning machine methods. (2017). Yang, Zhang ; Lian, LI ; Ce, LI. In: Applied Energy. RePEc:eee:appene:v:190:y:2017:i:c:p:291-305.

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2017Multi-step ahead electricity price forecasting using a hybrid model based on two-layer decomposition technique and BP neural network optimized by firefly algorithm. (2017). Wang, Deyun ; Guo, Haixiang ; Lin, Yanbing ; Grunder, Olivier ; Luo, Hongyuan . In: Applied Energy. RePEc:eee:appene:v:190:y:2017:i:c:p:390-407.

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2017A probabilistic portfolio-based model for financial valuation of community solar. (2017). Shakouri, Mahmoud ; Kim, Yong-Woo ; Lee, Hyun Woo . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:709-726.

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2017The value of electricity and reserve services in low carbon electricity systems. (2017). Vijay, Avinash ; Hawkes, Adam ; Staffell, Iain ; Fouquet, Nicolas . In: Applied Energy. RePEc:eee:appene:v:201:y:2017:i:c:p:111-123.

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2017Electricity price behavior and carbon trading: New evidence from California. (2017). , Tho ; Schlag, N ; Woo, C K ; Chen, Y ; Olson, A ; Moore, J ; Ong, A ; Ho, T. In: Applied Energy. RePEc:eee:appene:v:204:y:2017:i:c:p:531-543.

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2017Online short-term forecast of greenhouse heat load using a weather forecast service. (2017). Madsen, H ; Bacher, P ; Vogler–Finck, P. J. C., . In: Applied Energy. RePEc:eee:appene:v:205:y:2017:i:c:p:1298-1310.

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2016An options pricing approach to ramping rate restrictions at hydro power plants. (2016). Niu, Shilei ; Insley, Margaret. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:63:y:2016:i:c:p:25-52.

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2017How should a local regime-switching model be calibrated?. (2017). He, Xin-Jiang ; Zhu, Song-Ping . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:149-163.

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2016Modelling the extreme variability of the US Consumer Price Index inflation with a stable non-symmetric distribution. (2016). Chronis, George A. In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:271-277.

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2017Complexity and the Economics of Climate Change: A Survey and a Look Forward. (2017). Roventini, Andrea ; Mandel, Antoine ; Lamperti, Francesco ; Sapio, A ; Napoletano, M ; Balint, T. In: Ecological Economics. RePEc:eee:ecolec:v:138:y:2017:i:c:p:252-265.

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2017Asymmetric stable Paretian distribution testing. (2017). Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:19-39.

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2017Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market. (2017). Caldana, Ruggero ; Roncoroni, Andrea ; Fusai, Gianluca . In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:2:p:715-734.

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2017Full and fast calibration of the Heston stochastic volatility model. (2017). Cui, Yiran ; Germano, Guido ; del Bao, Sebastian . In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:625-638.

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2018Short-run electricity load forecasting with combinations of stationary wavelet transforms. (2018). Bessec, Marie ; Fouquau, Julien . In: European Journal of Operational Research. RePEc:eee:ejores:v:264:y:2018:i:1:p:149-164.

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2016On time-varying predictability of emerging stock market returns. (2016). Auer, Benjamin R. In: Emerging Markets Review. RePEc:eee:ememar:v:27:y:2016:i:c:p:1-13.

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2016Are fundamentals enough? Explaining price variations in the German day-ahead and intraday power market. (2016). Pape, Christian ; Weber, Christoph ; Hagemann, Simon . In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:376-387.

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2016Bidding structure, market efficiency and persistence in a multi-time tariff setting. (2016). AVCI-SURUCU, Ezgi ; Akgul, Doganbey ; Aydogan, Kursat A. In: Energy Economics. RePEc:eee:eneeco:v:54:y:2016:i:c:p:77-87.

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2016Price regimes in an energy island: Tacit collusion vs. cost and network explanations. (2016). Spagnolo, Nicola ; Sapio, Sandro. In: Energy Economics. RePEc:eee:eneeco:v:55:y:2016:i:c:p:157-172.

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2016Forecasting crude oil price volatility and value-at-risk: Evidence from historical and recent data. (2016). GUPTA, RANGAN ; Lux, Thomas ; Segnon, Mawuli . In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:117-133.

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2016Asymmetric volatility in European day-ahead power markets: A comparative microeconomic analysis. (2016). Erdoğdu, Erkan. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:398-409.

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2016The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions. (2016). Afanasyev, Dmitriy ; Fedorova, Elena A. In: Energy Economics. RePEc:eee:eneeco:v:56:y:2016:i:c:p:432-442.

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2016Why the long-term auto-correlation has not been eliminated by arbitragers: Evidences from NYMEX. (2016). Li, Daye ; Men, Ming ; Nishimura, Yusaku . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:167-178.

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2016Strategic bidding and rebidding in electricity markets. (2016). Hurn, Stan ; Clements, Adam ; Li, Z. In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:24-36.

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2016Parametric model risk and power plant valuation. (2016). Bannor, Karl ; Scherer, Matthias ; Nazarova, Anna ; Kiesel, Rudiger . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:423-434.

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2016Electricity price forecasting using sale and purchase curves: The X-Model. (2016). Ziel, Florian ; Steinert, Rick . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:435-454.

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2016Modeling and forecasting multivariate electricity price spikes. (2016). Eichler, Michael ; Manner, Hans ; Turk, Dennis . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:255-265.

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2016Common long-range dependence in a panel of hourly Nord Pool electricity prices and loads. (2016). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Haldrup, Niels ; Rodriguez-Caballero, Carlos Vladimir ; Ergemen, Yunus Emre . In: Energy Economics. RePEc:eee:eneeco:v:60:y:2016:i:c:p:79-96.

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2017Does renewable energy generation decrease the volatility of electricity prices? An analysis of Denmark and Germany. (2017). Rintamaki, Tuomas ; Salo, Ahti ; Siddiqui, Afzal S. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:270-282.

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2017A rough multi-factor model of electricity spot prices. (2017). Bennedsen, Mikkel . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:301-313.

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2017Electricity price modeling with stochastic time change. (2017). Borovkova, Svetlana ; Schmeck, Maren Diane . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:51-65.

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2017Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff. (2017). Contreras, Javier ; Sosa, Anibal ; Rodriguez, Yeny E. In: Energy Economics. RePEc:eee:eneeco:v:64:y:2017:i:c:p:286-297.

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2017An equilibrium pricing model for wind power futures. (2017). Gersema, Gerke ; Wozabal, David . In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:64-74.

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2017Regime-switching based vehicle-to-building operation against electricity price spikes. (2017). Zhang, Lei ; Li, Yaoyu. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:1-8.

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2017Composite forecasting approach, application for next-day electricity price forecasting. (2017). Mirakyan, Atom ; Koch, Andreas ; Meyer-Renschhausen, Martin . In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:228-237.

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2017Resource extraction with a carbon tax and regime switching prices: Exercising your options. (2017). Insley, Margaret . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:1-16.

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2017Exploring the price dynamics of CO2 emissions allowances in Chinas emissions trading scheme pilots. (2017). Chang, Kai ; Pei, Ping ; Zhang, Chao ; Wu, Xin. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:213-223.

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2017Electricity prices, large-scale renewable integration, and policy implications. (2017). Serletis, Apostolos ; Kyritsis, Evangelos ; Andersson, Jonas . In: Energy Policy. RePEc:eee:enepol:v:101:y:2017:i:c:p:550-560.

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2017What policy adjustments in the EU ETS truly affected the carbon prices?. (2017). Fan, Ying ; Xu, Jin-Hua ; Wang, Xin ; Jia, Jun-Jun . In: Energy Policy. RePEc:eee:enepol:v:103:y:2017:i:c:p:145-164.

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2017The merit order effect of Czech photovoltaic plants. (2017). Janda, Karel ; Luakova, Petra ; Pra, Jan . In: Energy Policy. RePEc:eee:enepol:v:106:y:2017:i:c:p:138-147.

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2017Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market. (2017). Asan, Goksel ; Tasaltin, Kamil . In: Energy Policy. RePEc:eee:enepol:v:107:y:2017:i:c:p:109-118.

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2016Merit-order effects of renewable energy and price divergence in California’s day-ahead and real-time electricity markets. (2016). Zarnikau, Jay ; Toyama, N ; Chawla, K ; Alagappan, L ; Olson, A ; Ho, T ; Schneiderman, B ; Moore, J ; Woo, C K. In: Energy Policy. RePEc:eee:enepol:v:92:y:2016:i:c:p:299-312.

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2016Variance risk premia in CO2 markets: A political perspective. (2016). Reckling, Dennis . In: Energy Policy. RePEc:eee:enepol:v:94:y:2016:i:c:p:345-354.

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2016The plunge in German electricity futures prices – Analysis using a parsimonious fundamental model. (2016). Kallabis, Thomas ; Weber, Christoph ; Pape, Christian . In: Energy Policy. RePEc:eee:enepol:v:95:y:2016:i:c:p:280-290.

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2016A quantile regression analysis of Chinas provincial CO2 emissions: Where does the difference lie?. (2016). Xu, Bin ; Lin, Boqiang . In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:328-342.

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2016How does Germanys green energy policy affect electricity market volatility? An application of conditional autoregressive range models. (2016). Auer, Benjamin R. In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:621-628.

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2016Estimating the hedging value of an energy exchange in Turkey to a retail power consumer. (2016). Kurucak, Abdurrahman ; Shcherbakova, Anastasia . In: Energy. RePEc:eee:energy:v:101:y:2016:i:c:p:16-26.

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2016Weather and market specificities in the regional transmission of renewable energy price effects. (2016). Silva, Patricia ; Bunn, Derek ; da Silva, Patricia Pereira ; Figueiredo, Nuno Carvalho . In: Energy. RePEc:eee:energy:v:114:y:2016:i:c:p:188-200.

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2016Short-term power load probability density forecasting based on quantile regression neural network and triangle kernel function. (2016). He, Yaoyao ; Yang, Shanlin ; Wan, Jinhong ; Xu, Qifa . In: Energy. RePEc:eee:energy:v:114:y:2016:i:c:p:498-512.

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2016A novel two-stage stochastic programming model for uncertainty characterization in short-term optimal strategy for a distribution company. (2016). Ahmadi, Abdollah ; Raeisi, Fatima ; Gitizadeh, Mohsen ; Sarno, Debora ; Nezhad, Ali Esmaeel ; Siano, Pierluigi ; Charwand, Mansour . In: Energy. RePEc:eee:energy:v:117:y:2016:i:p1:p:1-9.

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2017Profitability, risk, and financial modeling of energy storage in residential and large scale applications. (2017). Loudiyi, Khalid ; Berrada, Asmae ; Zorkani, Izeddine . In: Energy. RePEc:eee:energy:v:119:y:2017:i:c:p:94-109.

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2017Electricity consumption forecasting in Brazil: A spatial econometrics approach. (2017). de Assis, Joilson ; de Freitas, Maria Viviana ; Loureiro, Luiz Fernando. In: Energy. RePEc:eee:energy:v:126:y:2017:i:c:p:124-131.

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2017The growing importance of natural gas as a predictor for retail electricity prices in US. (2017). Alexopoulos, Thomas A. In: Energy. RePEc:eee:energy:v:137:y:2017:i:c:p:219-233.

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2017Electricity load forecasting by an improved forecast engine for building level consumers. (2017). Liu, Yang ; Ghadimi, Noradin ; Wang, Wei. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:18-30.

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2017Nonlinear empirical pricing in electricity markets using fundamental weather factors. (2017). Uribe, Jorge ; Mosquera-Lopez, Stephania ; Manotas-Duque, Diego Fernando. In: Energy. RePEc:eee:energy:v:139:y:2017:i:c:p:594-605.

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2017A seasonal direct optimal hybrid model of computational intelligence and soft computing techniques for electricity load forecasting. (2017). Khashei, Mehdi ; Chahkoutahi, Fatemeh. In: Energy. RePEc:eee:energy:v:140:y:2017:i:p1:p:988-1004.

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2016On the performance of simple trading rules derived from the fractal dynamics of gold and silver price fluctuations. (2016). Auer, Benjamin R. In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:255-267.

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2016Estimating the distortion parameter of the proportional hazards premium for heavy-tailed losses under Lévy-stable regime. (2016). Brahimi, Brahim ; Abdelli, Jihane . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:135-143.

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2016Additive models and robust aggregation for GEFCom2014 probabilistic electric load and electricity price forecasting. (2016). Gaillard, Pierre ; Nedellec, Raphael ; Goude, Yannig . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:1038-1050.

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2016A hybrid model for GEFCom2014 probabilistic electricity price forecasting. (2016). Nowotarski, Jakub ; Maciejowska, Katarzyna. In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:1051-1056.

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2016Multilayer perceptron for GEFCom2014 probabilistic electricity price forecasting. (2016). Dudek, Grzegorz . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:1057-1060.

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2016Electric load forecasting with recency effect: A big data approach. (2016). Hong, Tao ; Wang, PU ; Liu, Bidong . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:585-597.

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2016Probabilistic energy forecasting: Global Energy Forecasting Competition 2014 and beyond. (2016). Hyndman, Rob ; Hong, Tao ; Troccoli, Alberto ; Zareipour, Hamidreza ; Fan, Shu . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:3:p:896-913.

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Rafał Weron is editor of


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YearTitleTypeCited
2008Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland In: Papers.
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2008Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland.(2008) In: MPRA Paper.
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2010FX Smile in the Heston Model.(2010) In: MPRA Paper.
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2010FX Smile in the Heston Model.(2010) In: HSC Research Reports.
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2011Black swans or dragon kings? A simple test for deviations from the power law In: Papers.
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2011Black swans or dragon kings? A simple test for deviations from the power law.(2011) In: MPRA Paper.
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2011Black swans or dragon kings? A simple test for deviations from the power law.(2011) In: HSC Research Reports.
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2001A simple model of price formation In: Papers.
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paper8
2001Measuring long-range dependence in electricity prices In: Papers.
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paper9
2002How effective is advertising in duopoly markets? In: Papers.
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paper8
2003How effective is advertising in duopoly markets?.(2003) In: Physica A: Statistical Mechanics and its Applications.
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2003How effective is advertising in duopoly markets?.(2003) In: Public Economics.
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2006Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models In: Studies in Nonlinear Dynamics & Econometrics.
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article49
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article39
2010An empirical comparison of alternate regime-switching models for electricity spot prices In: Energy Economics.
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article51
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article25
2012Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling.(2012) In: MPRA Paper.
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article18
2012Robust estimation and forecasting of the long-term seasonal component of electricity spot prices.(2012) In: MPRA Paper.
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2012Robust estimation and forecasting of the long-term seasonal component of electricity spot prices.(2012) In: HSC Research Reports.
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2014Revisiting the relationship between spot and futures prices in the Nord Pool electricity market In: Energy Economics.
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article7
2013Revisiting the relationship between spot and futures prices in the Nord Pool electricity market.(2013) In: HSC Research Reports.
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2014An empirical comparison of alternative schemes for combining electricity spot price forecasts In: Energy Economics.
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2013An empirical comparison of alternate schemes for combining electricity spot price forecasts.(2013) In: HSC Research Reports.
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2015A note on using the Hodrick–Prescott filter in electricity markets In: Energy Economics.
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2014A note on using the Hodrick-Prescott filter in electricity markets.(2014) In: HSC Research Reports.
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2016On the importance of the long-term seasonal component in day-ahead electricity price forecasting In: Energy Economics.
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2016On the importance of the long-term seasonal component in day-ahead electricity price forecasting.(2016) In: HSC Research Reports.
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2013Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs.(2013) In: HSC Research Reports.
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2015Improving short term load forecast accuracy via combining sister forecasts.(2015) In: HSC Research Reports.
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article55
2008Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models.(2008) In: MPRA Paper.
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2014Electricity price forecasting: A review of the state-of-the-art with a look into the future In: International Journal of Forecasting.
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article78
2014Electricity price forecasting: A review of the state-of-the-art with a look into the future.(2014) In: HSC Research Reports.
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2016Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging In: International Journal of Forecasting.
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article16
2014Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging.(2014) In: HSC Research Reports.
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1999A conditionally exponential decay approach to scaling in finance In: Physica A: Statistical Mechanics and its Applications.
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article0
1999Origins of the scaling behaviour in the dynamics of financial data In: Physica A: Statistical Mechanics and its Applications.
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article3
1998Origins of the scaling behaviour in the dynamics of financial data.(1998) In: HSC Research Reports.
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1999Scaling in currency exchange: a conditionally exponential decay approach In: Physica A: Statistical Mechanics and its Applications.
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1998Scaling in currency exchange: A Conditionally Exponential Decay approach.(1998) In: HSC Research Reports.
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2000Hurst analysis of electricity price dynamics In: Physica A: Statistical Mechanics and its Applications.
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article26
2000Hurst analysis of electricity price dynamics.(2000) In: HSC Research Reports.
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2000Energy price risk management In: Physica A: Statistical Mechanics and its Applications.
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2000Energy price risk management.(2000) In: HSC Research Reports.
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2000Property insurance loss distributions In: Physica A: Statistical Mechanics and its Applications.
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2000Property insurance loss distributions.(2000) In: HSC Research Reports.
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2001A new model of mass extinctions In: Physica A: Statistical Mechanics and its Applications.
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2001Modeling electricity loads in California: a continuous-time approach In: Physica A: Statistical Mechanics and its Applications.
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article7
2002Estimating long-range dependence: finite sample properties and confidence intervals In: Physica A: Statistical Mechanics and its Applications.
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article56
2001Estimating long range dependence: finite sample properties and confidence intervals.(2001) In: HSC Research Reports.
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2004On detecting and modeling periodic correlation in financial data In: Physica A: Statistical Mechanics and its Applications.
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article3
2005On detecting and modeling periodic correlation in financial data.(2005) In: Econometrics.
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2004Modeling electricity prices: jump diffusion and regime switching In: Physica A: Statistical Mechanics and its Applications.
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article60
2003Modeling electricity prices: jump diffusion and regime switching.(2003) In: HSC Research Reports.
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paper
2016Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices In: Renewable and Sustainable Energy Reviews.
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article2
1996On the Chambers-Mallows-Stuck method for simulating skewed stable random variables In: Statistics & Probability Letters.
[Full Text][Citation analysis]
article32
2016Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting In: Energies.
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article1
2016Automated variable selection and shrinkage for day-ahead electricity price forecasting.(2016) In: HSC Research Reports.
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2005Stable Distributions In: SFB 649 Discussion Papers.
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paper28
2006Convenience Yields for CO2 Emission Allowance Futures Contracts In: SFB 649 Discussion Papers.
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paper33
2008A semiparametric factor model for electricity forward curve dynamics In: SFB 649 Discussion Papers.
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paper7
2008A semiparametric factor model for electricity forward curve dynamics.(2008) In: MPRA Paper.
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2010Building Loss Models In: SFB 649 Discussion Papers.
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2010Building Loss Models.(2010) In: MPRA Paper.
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2010Building Loss Models.(2010) In: HSC Research Reports.
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2010Models for Heavy-tailed Asset Returns In: SFB 649 Discussion Papers.
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paper17
2010Models for Heavy-tailed Asset Returns.(2010) In: MPRA Paper.
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2010Models for Heavy-tailed Asset Returns.(2010) In: HSC Research Reports.
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2005Modelling catastrophe claims with left-truncated severity distributions (extended version) In: MPRA Paper.
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paper1
2005Modeling catastrophe claims with left-truncated severity distributions (extended version).(2005) In: HSC Research Reports.
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2008Heavy-tails and regime-switching in electricity prices In: MPRA Paper.
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paper23
2009Heavy-tails and regime-switching in electricity prices.(2009) In: Mathematical Methods of Operations Research.
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2006Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market In: MPRA Paper.
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paper2
2004Structure and stylized facts of a deregulated power market In: MPRA Paper.
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paper10
2009Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions In: MPRA Paper.
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paper9
2008Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo In: MPRA Paper.
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paper0
2010Correction to: On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables In: MPRA Paper.
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paper19
1996Correction to: On the Chambers-Mallows-Stuck Method for Simulating Skewed Stable Random Variables.(1996) In: HSC Research Reports.
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2009Forecasting wholesale electricity prices: A review of time series models In: MPRA Paper.
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paper0
2010Loss Distributions In: MPRA Paper.
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paper12
2010Goodness-of-fit testing for regime-switching models In: MPRA Paper.
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paper5
2011Goodness-of-fit testing for the marginal distribution of regime-switching models.(2011) In: MPRA Paper.
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2007Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? In: MPRA Paper.
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paper2
2002Origins of scaling in FX markets In: MPRA Paper.
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paper0
2010Modeling electricity spot prices: Regime switching models with price-capped spike distributions In: MPRA Paper.
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paper1
2010Simulation of Risk Processes In: MPRA Paper.
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paper6
2004Simulation of risk processes.(2004) In: Papers.
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2010Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices In: MPRA Paper.
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paper13
2011Efficient estimation of Markov regime-switching models: An application to electricity spot prices.(2011) In: HSC Research Reports.
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2007Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices In: MPRA Paper.
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paper19
2012Efficient estimation of Markov regime-switching models: An application to electricity spot prices In: AStA Advances in Statistical Analysis.
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article19
2011Efficient estimation of Markov regime-switching models: An application to electricity spot prices.(2011) In: HSC Research Reports.
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2013Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices In: AStA Advances in Statistical Analysis.
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2006Modelling catastrophe claims with left-truncated severity distributions In: Computational Statistics.
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article3
2015Computing electricity spot price prediction intervals using quantile regression and forecast averaging In: Computational Statistics.
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2013Computing electricity spot price prediction intervals using quantile regression and forecast averaging.(2013) In: HSC Research Reports.
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2015Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships In: Computational Statistics.
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2016Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period In: Journal of Futures Markets.
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2015Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period.(2015) In: HSC Research Reports.
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2003Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market In: Econometrics.
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paper16
2003Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime In: Econometrics.
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paper23
2001Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime.(2001) In: HSC Research Reports.
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2005Market price of risk implied by Asian-style electricity options In: Econometrics.
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2005Modeling and forecasting electricity loads: A comparison In: Econometrics.
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paper4
2005Modeling electricity prices with regime switching models In: Econometrics.
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2005FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS In: Econometrics.
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2005Modeling the risk process in the XploRe computing environment In: Risk and Insurance.
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2004Modeling the risk process in the XploRe computing environment.(2004) In: Papers.
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2005Blackouts, risk, and fat-tailed distributions In: Risk and Insurance.
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paper0
2000Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) In: HSC Books.
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2006Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach In: HSC Books.
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1998Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku) In: HSC Books.
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book0
2002Modeling electricity loads in California: ARMA models with hyperbolic noise In: HSC Research Reports.
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paper17
2002Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach In: HSC Research Reports.
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paper0
2003An introduction to simulation of risk processes In: HSC Research Reports.
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paper1
2004Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) In: HSC Research Reports.
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paper0
2004Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci) In: HSC Research Reports.
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paper0
2005Heavy tails and electricity prices In: HSC Research Reports.
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2006Short-term electricity price forecasting with time series models: A review and evaluation In: HSC Research Reports.
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2006Interval forecasting of spot electricity prices In: HSC Research Reports.
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2006Visualization tools for insurance risk processes In: HSC Research Reports.
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paper2
2009Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat) In: HSC Research Reports.
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2010Heavy-tailed distributions in VaR calculations In: HSC Research Reports.
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paper2
2012Inference for Markov-regime switching models of electricity spot prices In: HSC Research Reports.
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paper2
2012The relationship between spot and futures CO2 emission allowance prices in the EU-ETS In: HSC Research Reports.
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paper9
2012A new method for automated noise cancellation in electromagnetic field measurement In: HSC Research Reports.
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paper0
2013Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market In: HSC Research Reports.
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paper3
2013Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices In: HSC Research Reports.
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paper1
2013Diffusion of innovation within an agent-based model: Spinsons, independence and advertising In: HSC Research Reports.
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2013Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs In: HSC Research Reports.
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2013Rewiring the network. What helps an innovation to diffuse? In: HSC Research Reports.
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2014Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach In: HSC Research Reports.
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2014A review of electricity price forecasting: The past, the present and the future In: HSC Research Reports.
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2014Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices In: HSC Research Reports.
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paper1
2014Modeling consumer opinions towards dynamic pricing: An agent-based approach In: HSC Research Reports.
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2014Modelling price spikes in electricity markets - the impact of load, weather and capacity In: HSC Research Reports.
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2014Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts In: HSC Research Reports.
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2014Forecasting the occurrence of electricity price spikes in the UK power market In: HSC Research Reports.
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2014Evaluating the performance of VaR models in energy markets In: HSC Research Reports.
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2015Probabilistic load forecasting via Quantile Regression Averaging on sister forecasts In: HSC Research Reports.
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2015Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals In: HSC Research Reports.
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2015Two faces of word-of-mouth: Understanding the impact of social interactions on demand curves for innovative products In: HSC Research Reports.
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2015Difficulty is critical: Psychological factors in modeling diffusion of green products and practices In: HSC Research Reports.
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2016To combine or not to combine? Recent trends in electricity price forecasting In: HSC Research Reports.
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2016Impact of social interactions on demand curves for innovative products In: HSC Research Reports.
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2016Recent advances in electricity price forecasting: A review of probabilistic forecasting In: HSC Research Reports.
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2016Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models In: HSC Research Reports.
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2016Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets In: HSC Research Reports.
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2017Variance stabilizing transformations for electricity spot price forecasting In: HSC Research Reports.
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2017On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting In: HSC Research Reports.
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2017Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models In: HSC Research Reports.
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1995Performance of the estimators of stable law parameters In: HSC Research Reports.
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1995Analysis of ROBECO data by neural networks In: HSC Research Reports.
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1997Evolution in a changing environment In: HSC Research Reports.
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1999A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia) In: HSC Research Reports.
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2004Computationally intensive Value at Risk calculations In: Papers.
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