Rafał Weron : Citation Profile


Are you Rafał Weron?

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

21

H index

42

i10 index

1653

Citations

RESEARCH PRODUCTION:

45

Articles

133

Papers

3

Books

EDITOR:

2

Books edited

2

Series edited

RESEARCH ACTIVITY:

   23 years (1995 - 2018). See details.
   Cites by year: 71
   Journals where Rafał Weron has often published
   Relations with other researchers
   Recent citing documents: 294.    Total self citations: 125 (7.03 %)

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   Permalink: http://citec.repec.org/pwe42
   Updated: 2019-03-23    RAS profile: 2019-03-19    
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Relations with other researchers


Works with:

Nowotarski, Jakub (20)

Maciejowska, Katarzyna (14)

Sznajd-Weron, Katarzyna (11)

Uniejewski, Bartosz (9)

Kowalska-Pyzalska, Anna (9)

Trueck, Stefan (7)

Zator, Michał (4)

Marcjasz, Grzegorz (4)

Hong, Tao (4)

Janczura, Joanna (2)

Serafin, Tomasz (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 (31)

Afanasyev, Dmitriy (30)

Climent-Hernández, José (30)

Sapio, Sandro (28)

Janczura, Joanna (27)

Gianfreda, Angelica (26)

Nan, Fany (25)

Paraschiv, Florentina (23)

Ravazzolo, Francesco (22)

Härdle, Wolfgang (21)

Rodríguez Caballero, Carlos (21)

Cites to:

Nowotarski, Jakub (149)

Trueck, Stefan (116)

Misiorek, Adam (104)

Janczura, Joanna (69)

Maciejowska, Katarzyna (53)

Cartea, Álvaro (46)

Hong, Tao (45)

Uniejewski, Bartosz (44)

Härdle, Wolfgang (44)

Sznajd-Weron, Katarzyna (37)

Burnecki, Krzysztof (28)

Main data


Where Rafał Weron has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications13
Energy Economics9
International Journal of Forecasting3
Computational Statistics3
Energies3
AStA Advances in Statistical Analysis2
International Journal of Modern Physics C (IJMPC)2
Renewable and Sustainable Energy Reviews2

Working Papers Series with more than one paper published# docs
HSC Research Reports / Hugo Steinhaus Center, Wroclaw University of Technology80
MPRA Paper / University Library of Munich, Germany27
Econometrics / University Library of Munich, Germany7
Papers / arXiv.org7
SFB 649 Discussion Papers / Sonderforschungsbereich 649, Humboldt University, Berlin, Germany6
Papers / Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE)3
Risk and Insurance / University Library of Munich, Germany2

Recent works citing Rafał Weron (2018 and 2017)


YearTitle of citing document
2017Spikes and memory in (Nord Pool) electricity price spot prices. (2017). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar. In: CREATES Research Papers. RePEc:aah:create:2017-39.

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2017The Effect of Transmission Constraints on Electricity Prices. (2017). Hurn, Stan ; Clements, Adam ; Li, Zili. In: The Energy Journal. RePEc:aen:journl:ej38-4-hurn.

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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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2019Predicting 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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2018Probabilistic Mid- and Long-Term Electricity Price Forecasting. (2018). Ziel, Florian ; Steinert, Rick. In: Papers. RePEc:arx:papers:1703.10806.

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2018An adverse selection approach to power pricing. (2018). 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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2017Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece. (2017). Papaioannou, Panagiotis G ; Dikaiakos, Christos ; Stratigakos, Akylas ; Siettos, Kostas . In: Papers. RePEc:arx:papers:1708.07063.

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2018Polynomial processes for power prices. (2018). Filipovic, Damir ; Ware, Tony ; Larsson, Martin. In: Papers. RePEc:arx:papers:1710.10293.

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2017Using nonlinear stochastic and deterministic (chaotic tools) to test the EMH of two Electricity Markets the case of Italy and Greece. (2017). Papaioannou, George P ; Georgiadis, Dionysios S ; Dramountanis, Anargyros ; Dikaiakos, Christos. In: Papers. RePEc:arx:papers:1711.10552.

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2018Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Ravazzolo, Francesco ; Rossini, Luca ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093.

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2018Stochastic Dynamic Pricing for EV Charging Stations with Renewables Integration and Energy Storage. (2018). Luo, Chao ; Gupta, Vijay ; Huang, Yih-Fang . In: Papers. RePEc:arx:papers:1801.02128.

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2018Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures. (2018). Steinert, Rick ; Ziel, Florian. In: Papers. RePEc:arx:papers:1801.10583.

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2018Technical Uncertainty in Real Options with Learning. (2018). Al-Aradi, Ali ; Jaimungal, Sebastian ; Cartea, Alvaro. In: Papers. RePEc:arx:papers:1803.05831.

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2018Valuation of contingent convertible catastrophe bonds - the case for equity conversion. (2018). Burnecki, Krzysztof ; Palmowski, Zbigniew ; Nicol, Mario. In: Papers. RePEc:arx:papers:1804.07997.

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2018Econometric Modeling of Regional Electricity Spot Prices in the Australian Market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Papers. RePEc:arx:papers:1804.08218.

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2018Closed-form approximations in derivatives pricing: The Kristensen-Mele approach. (2018). Kurz, Michael. In: Papers. RePEc:arx:papers:1804.08904.

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2018Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Gyamerah, Samuel Asante ; Ikpe, Dennis ; Ngare, Philip. In: Papers. RePEc:arx:papers:1808.04710.

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2018Fast calibration of two-factor models for energy option pricing. (2018). Fabbiani, Emanuele ; de Nicolao, Giuseppe ; Marziali, Andrea. In: Papers. RePEc:arx:papers:1809.03941.

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2018Probabilistic forecasting and simulation of electricity prices. (2018). Muniain, Peru ; Ziel, Florian. In: Papers. RePEc:arx:papers:1810.08418.

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2018An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions. (2018). van Zyl, Martin J. In: Papers. RePEc:arx:papers:1811.00476.

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2018The value of forecasts: Quantifying the economic gains of accurate quarter-hourly electricity price forecasts. (2018). Kath, Christopher ; Ziel, Florian. In: Papers. RePEc:arx:papers:1811.08604.

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2018Using published bid/ask curves to error dress spot electricity price forecasts. (2018). Steinbakk, Gunnhildur H ; Oigaard, Tor Arne ; Loland, Anders ; Huseby, Ragnar Bang ; Lenkoski, Alex. In: Papers. RePEc:arx:papers:1812.02433.

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2018Econometric modelling and forecasting of intraday electricity prices. (2018). Narajewski, Michal ; Ziel, Florian. In: Papers. RePEc:arx:papers:1812.09081.

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2017How To Manage Long†term Financial Self†sufficiency of a National Catastrophe Insurance Fund? The Feasibility of Three Bailout Programmes. (2017). Yu, Joa ; Yang, Ming Jing ; Wu, Yanga Che. In: European Financial Management. RePEc:bla:eufman:v:23:y:2017:i:5:p:951-974.

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2018The effectiveness of asset, liability and equity hedging against catastrophe risk: the cases of winter storms in North America and Europe. (2018). Wu, Yangche ; Yang, Ming Jing. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:5:p:893-918.

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2018Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Working Papers. RePEc:bny:wpaper:0060.

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2018A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46.

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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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2017Strategic Bidding of Electric Power Generating Companies: Evidence from the Australian National Energy Market. (2017). Long, Ngo ; Dungey, Mardi ; van Long, Ngo ; Ghahremanlou, Ali. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6819.

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

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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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2017Long Memory and Data Frequency in Financial Markets. (2017). Plastun, Alex ; Gil-Alana, Luis ; Caporale, Guglielmo Maria. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1647.

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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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2018Modelling German electricity wholesale spot prices with a parsimonious fundamental model – Validation and application. (2018). Beran, Philip ; Weber, Christoph ; Pape, Christian. In: EWL Working Papers. RePEc:dui:wpaper:1801.

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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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2017Comparing Iranian and Spanish Electricity Markets with Nonlinear Time Series. (2017). Nasrazadani, Hajar ; Muoz, Maria Pilar . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-02-33.

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2017Impact of Vertical Integration on Electricity Prices in TurkeyImpact of Vertical Integration on Electricity Prices in Turkey. (2017). Ozdurak, Caner ; Ulusoy, Veysel. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-03-31.

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2018Forecasting electricity price in Colombia: A comparison between Neural Network, ARMA process and Hybrid Models. (2018). Barrientos Marin, Jorge ; Orozco, Elkin Tabares ; Velilla, Esteban. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-03-15.

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2018Quantile Regression Model for Peak Load Demand Forecasting with Approximation by Triangular Distribution to Avoid Blackouts. (2018). Fukushige, Mototsugu ; Elamin, Niematallah. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-05-16.

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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). Staffell, Iain ; Vijay, Avinash ; Hawkes, Adam ; 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). woo, chi-keung ; Chen, Yan ; Schlag, N ; 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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2018Microgrid to enable optimal distributed energy retail and end-user demand response. (2018). Jin, Ming ; Spanos, Costas ; Marnay, Chris ; Feng, Wei. In: Applied Energy. RePEc:eee:appene:v:210:y:2018:i:c:p:1321-1335.

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2018A bat optimized neural network and wavelet transform approach for short-term price forecasting. (2018). Bento, P. M. R., ; Mariano, S. J. P. S., ; Calado, M. R. A., ; Pombo, J. A. N., . In: Applied Energy. RePEc:eee:appene:v:210:y:2018:i:c:p:88-97.

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2018Forecasting day-ahead electricity prices in Europe: The importance of considering market integration. (2018). Lago, Jesus ; de Schutter, Bart ; Vrancx, Peter ; de Ridder, Fjo. In: Applied Energy. RePEc:eee:appene:v:211:y:2018:i:c:p:890-903.

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2018Anticipating electricity prices for future needs – Implications for liberalised retail markets. (2018). Allan, Tian Sheng ; le Ng, Jia. In: Applied Energy. RePEc:eee:appene:v:212:y:2018:i:c:p:244-264.

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2018Power load probability density forecasting using Gaussian process quantile regression. (2018). Yang, Yandong ; Qu, Meijun ; Li, Wenqi. In: Applied Energy. RePEc:eee:appene:v:213:y:2018:i:c:p:499-509.

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2018Probabilistic characterization of electricity consumer responsiveness to economic incentives. (2018). Valles, Mercedes ; Frias, Pablo ; Reneses, Javier ; Bello, Antonio . In: Applied Energy. RePEc:eee:appene:v:216:y:2018:i:c:p:296-310.

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2018Experimental validation of an electrical and thermal energy demand model for rapid assessment of rural health centers in sub-Saharan Africa. (2018). Orosz, Matthew ; Lemort, Vincent ; Mueller, Amy ; Altes-Buch, Queralt. In: Applied Energy. RePEc:eee:appene:v:218:y:2018:i:c:p:382-390.

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2018Forecasting spot electricity prices: Deep learning approaches and empirical comparison of traditional algorithms. (2018). Lago, Jesus ; de Schutter, Bart ; de Ridder, Fjo. In: Applied Energy. RePEc:eee:appene:v:221:y:2018:i:c:p:386-405.

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2018Price elasticities of retail energy demands in the United States: New evidence from a panel of monthly data for 2001–2016. (2018). Zarnikau, Jay ; Woo, C K ; Kahrl, F ; Luo, X ; Shiu, A ; Liu, Y. In: Applied Energy. RePEc:eee:appene:v:222:y:2018:i:c:p:460-474.

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2018Policy simulation for promoting residential PV considering anecdotal information exchanges based on social network modelling. (2018). Wang, GE ; Li, Hailong ; Zhang, QI. In: Applied Energy. RePEc:eee:appene:v:223:y:2018:i:c:p:1-10.

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2018Demand-side management via optimal production scheduling in power-intensive industries: The case of metal casting process. (2018). Ramin, D ; Brusaferri, A ; Spinelli, S. In: Applied Energy. RePEc:eee:appene:v:225:y:2018:i:c:p:622-636.

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2018Forecasting day-ahead high-resolution natural-gas demand and supply in Germany. (2018). Chen, Ying ; Koch, Thorsten ; Chua, Wee Song. In: Applied Energy. RePEc:eee:appene:v:228:y:2018:i:c:p:1091-1110.

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2018A machine learning based stochastic optimization framework for a wind and storage power plant participating in energy pool market. (2018). Crespo-Vazquez, Jose L ; Noor, MD ; Martinez-Lorenzo, Jose A ; Diaz-Dorado, E ; Carrillo, C. In: Applied Energy. RePEc:eee:appene:v:232:y:2018:i:c:p:341-357.

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2018Recurrence statistics for anomalous diffusion regime change detection. (2018). Sikora, Grzegorz ; Krapf, Diego ; Wyomaska, Agnieszka. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:128:y:2018:i:c:p:380-394.

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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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2018Time-varying efficiency in food and energy markets: Evidence and implications. (2018). Roubaud, David ; Jebabli, Ikram . In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:97-114.

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

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2018Price discovery of cryptocurrencies: Bitcoin and beyond. (2018). Mestel, Roland ; Brauneis, Alexander. In: Economics Letters. RePEc:eee:ecolet:v:165:y:2018:i:c:p:58-61.

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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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2018Approximating expected shortfall for heavy-tailed distributions. (2018). Broda, Simon A ; Paolella, Marc S ; Krause, Jochen . In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:184-203.

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2019Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94.

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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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2019Wavelet-based option pricing: An empirical study. (2019). Liu, Xiaoquan ; Shen, Liya ; Ma, Chenghu ; Cao, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:3:p:1132-1142.

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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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2017A regime-switching copula approach to modeling day-ahead prices in coupled electricity markets. (2017). Pircalabu, A ; Benth, F E. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:283-302.

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2017Risk-minimisation in electricity markets: Fixed price, unknown consumption. (2017). Tegner, Martin ; Poulsen, Rolf ; Skajaa, Anders ; Ernstsen, Rune Ramsdal. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:423-439.

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2017Hedging local volume risk using forward markets: Nordic case. (2017). Ernstsen, Rune Ramsdal ; Skajaa, Anders ; Tegner, Martin ; Boomsma, Trine Krogh. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:490-514.

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2018Wind, storage, interconnection and the cost of electricity generation. (2018). Malaguzzi Valeri, Laura ; Di Cosmo, Valeria. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:1-18.

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2018Pricing of electricity futures based on locational price differences: The case of Finland. (2018). Junttila, Juha ; Raatikainen, Juhani ; Myllymaki, Valtteri. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:222-237.

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2018A generalized Schwartz model for energy spot prices — Estimation using a particle MCMC method. (2018). Brix, Anne Floor ; Wei, Wei ; Lunde, Asger. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:560-582.

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2018Component estimation for electricity market data: Deterministic or stochastic?. (2018). Lisi, Francesco ; Pelagatti, Matteo M. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:13-37.

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2018Equation-by-equation estimation of multivariate periodic electricity price volatility. (2018). Escribano, Alvaro ; Sucarrat, Genaro. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:287-298.

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2018Counterfactual comparisons of investment options for wind power and agricultural production in the United States: Lessons from Northern Ohio. (2018). Scarcioffolo, Alexandre Ribeiro ; Chimeli, Ariaster Baumgratz ; Cordeiro, Fernanda Finotti . In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:299-309.

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2018Econometric modeling of regional electricity spot prices in the Australian market. (2018). Smith, Michael Stanley ; Shively, Thomas S. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:886-903.

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2018Structural price model for coupled electricity markets. (2018). Alasseur, C ; Feron, O. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:104-119.

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2018Liquidity and risk premia in electricity futures. (2018). Bevin-McCrimmon, Fergus ; Sise, Greg ; McCarten, Matthew ; Diaz-Rainey, Ivan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:503-517.

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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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paper0
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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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks In: Papers.
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paper11
2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks.(2018) In: Energy Economics.
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2001A simple model of price formation In: Papers.
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paper10
2002A SIMPLE MODEL OF PRICE FORMATION.(2002) In: International Journal of Modern Physics C (IJMPC).
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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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paper9
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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article63
2008Market price of risk implied by Asian-style electricity options and futures In: Energy Economics.
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article43
2010An empirical comparison of alternate regime-switching models for electricity spot prices In: Energy Economics.
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article67
2010An empirical comparison of alternate regime-switching models or electricity spot prices.(2010) In: MPRA Paper.
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2013Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling In: Energy Economics.
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article40
2012Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling.(2012) In: MPRA Paper.
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2013Robust estimation and forecasting of the long-term seasonal component of electricity spot prices In: Energy Economics.
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article24
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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article12
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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article26
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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article4
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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article11
2016On the importance of the long-term seasonal component in day-ahead electricity price forecasting.(2016) In: HSC Research Reports.
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article22
2013Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs.(2013) In: HSC Research Reports.
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2016Improving short term load forecast accuracy via combining sister forecasts In: Energy.
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article13
2015Improving short term load forecast accuracy via combining sister forecasts.(2015) In: HSC Research Reports.
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2008Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models In: International Journal of Forecasting.
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article75
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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article136
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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article27
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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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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article17
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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article9
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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article0
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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article68
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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article6
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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article68
2003Modeling electricity prices: jump diffusion and regime switching.(2003) In: HSC Research Reports.
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2018The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach In: Physica A: Statistical Mechanics and its Applications.
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article0
2017The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach.(2017) 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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article6
2018Recent advances in electricity price forecasting: A review of probabilistic forecasting In: Renewable and Sustainable Energy Reviews.
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article11
2016Recent advances in electricity price forecasting: A review of probabilistic forecasting.(2016) In: HSC Research Reports.
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paper
1996On the Chambers-Mallows-Stuck method for simulating skewed stable random variables In: Statistics & Probability Letters.
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article35
2018Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models In: Energies.
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article1
2018Efficient forecasting of electricity spot prices with expert and LASSO models.(2018) In: HSC Research Reports.
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2018Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting In: Energies.
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article2
2018Selection of calibration windows for day-ahead electricity price forecasting.(2018) In: HSC Research Reports.
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2016Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting In: Energies.
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article8
2016Automated variable selection and shrinkage for day-ahead electricity price forecasting.(2016) In: HSC Research Reports.
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paper
2005Stable Distributions In: SFB 649 Discussion Papers.
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paper34
2006Convenience Yields for CO2 Emission Allowance Futures Contracts In: SFB 649 Discussion Papers.
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paper39
2008A semiparametric factor model for electricity forward curve dynamics In: SFB 649 Discussion Papers.
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paper8
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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paper
2008Heavy-tails and regime-switching in electricity prices In: MPRA Paper.
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paper30
2009Heavy-tails and regime-switching in electricity prices.(2009) In: Mathematical Methods of Operations Research.
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This paper has another version. Agregated cites: 30
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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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paper4
2004Structure and stylized facts of a deregulated power market In: MPRA Paper.
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paper11
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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paper21
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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2010Loss Distributions In: MPRA Paper.
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paper13
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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2002Origins of scaling in FX markets In: MPRA Paper.
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2010Modeling electricity spot prices: Regime switching models with price-capped spike distributions In: MPRA Paper.
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2010Simulation of Risk Processes In: MPRA Paper.
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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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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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2012Efficient estimation of Markov regime-switching models: An application to electricity spot prices In: AStA Advances in Statistical Analysis.
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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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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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article7
2013Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships.(2013) In: HSC Research Reports.
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2013Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ In: Applied Stochastic Models in Business and Industry.
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article0
2016Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period In: Journal of Futures Markets.
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article6
2015Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period.(2015) In: HSC Research Reports.
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paper
2003Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market In: Econometrics.
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paper20
2003Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime In: Econometrics.
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2001LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX> 2DOES NOT EXCLUDE THE LEVY-STABLE REGIME.(2001) In: International Journal of Modern Physics C (IJMPC).
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2001Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime.(2001) In: HSC Research Reports.
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paper
2005Market price of risk implied by Asian-style electricity options In: Econometrics.
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paper3
2005Modeling and forecasting electricity loads: A comparison In: Econometrics.
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paper5
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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2014DIFFUSION OF INNOVATION WITHIN AN AGENT-BASED MODEL: SPINSONS, INDEPENDENCE AND ADVERTISING In: Advances in Complex Systems (ACS).
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article4
2013Diffusion of innovation within an agent-based model: Spinsons, independence and advertising.(2013) In: HSC Research Reports.
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2000Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) In: HSC Books.
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book0
2006Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach In: HSC Books.
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book178
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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paper20
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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paper9
2006Short-term electricity price forecasting with time series models: A review and evaluation In: HSC Research Reports.
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paper6
2006Interval forecasting of spot electricity prices In: HSC Research Reports.
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paper7
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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paper0
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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paper11
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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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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paper2
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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paper1
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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paper2
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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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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2017Habitat momentum In: HSC Research Reports.
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2018A note on averaging day-ahead electricity price forecasts across calibration windows In: HSC Research Reports.
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2018Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? In: HSC Research Reports.
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2018Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO In: HSC Research Reports.
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2018Electricity price forecasting 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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