Rafał Weron : Citation Profile


Are you Rafał Weron?

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

22

H index

43

i10 index

1769

Citations

RESEARCH PRODUCTION:

48

Articles

133

Papers

3

Books

EDITOR:

2

Books edited

2

Series edited

RESEARCH ACTIVITY:

   24 years (1995 - 2019). See details.
   Cites by year: 73
   Journals where Rafał Weron has often published
   Relations with other researchers
   Recent citing documents: 248.    Total self citations: 126 (6.65 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe42
   Updated: 2019-10-15    RAS profile: 2019-07-24    
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Relations with other researchers


Works with:

Nowotarski, Jakub (18)

Uniejewski, Bartosz (10)

Maciejowska, Katarzyna (10)

Sznajd-Weron, Katarzyna (7)

Kowalska-Pyzalska, Anna (7)

Marcjasz, Grzegorz (7)

Trueck, Stefan (7)

Hong, Tao (4)

Zator, Michał (4)

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:

Nan, Fany (33)

Afanasyev, Dmitriy (31)

Krištoufek, Ladislav (31)

Climent Hernández, José (30)

Sapio, Sandro (28)

Janczura, Joanna (27)

Grossi, Luigi (26)

Gianfreda, Angelica (26)

Paraschiv, Florentina (23)

Härdle, Wolfgang (22)

Ravazzolo, Francesco (22)

Cites to:

Nowotarski, Jakub (153)

Trueck, Stefan (118)

Misiorek, Adam (104)

Janczura, Joanna (69)

Maciejowska, Katarzyna (55)

Uniejewski, Bartosz (49)

Cartea, Álvaro (46)

Hong, Tao (45)

Härdle, Wolfgang (44)

Sznajd-Weron, Katarzyna (37)

Nan, Fany (28)

Main data


Where Rafał Weron has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications13
Energy Economics11
Energies4
International Journal of Forecasting3
Computational Statistics3
Renewable and Sustainable Energy Reviews2
International Journal of Modern Physics C (IJMPC)2
AStA Advances in Statistical Analysis2

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 (2019 and 2018)


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

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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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2019Estimating Dynamic Conditional Spread Densities to Optimise Daily Storage Trading of Electricity. (2019). Bunn, Derek ; Abramova, Ekaterina. In: Papers. RePEc:arx:papers:1903.06668.

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2019Machine Learning on EPEX Order Books: Insights and Forecasts. (2019). Wagner, Andreas ; Schnurch, Simon. In: Papers. RePEc:arx:papers:1906.06248.

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2019X-model: further development and possible modifications. (2019). Kulakov, Sergei. In: Papers. RePEc:arx:papers:1907.09206.

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2019Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (2019). Fabozzi, Frank J ; Rache, Svetlozar T ; Hu, Yuan. In: Papers. RePEc:arx:papers:1908.05419.

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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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2019Uncertainty in Electricity Markets from a seminonparametric Approach. (2019). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017304.

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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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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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2019Forecasting daily electricity prices with monthly macroeconomic variables. (2019). Rossini, Luca ; Ravazzolo, Francesco ; Foroni, Claudia. In: Working Paper Series. RePEc:ecb:ecbwps:20192250.

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2019Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2019). Ferreiro, Javier Ojea. In: Working Paper Series. RePEc:ecb:ecbwps:20192296.

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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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2019Volatility Spillovers in Electricity Markets: Evidence from the United States. (2019). Kampouris, Ilias ; Armenatzoglou, Aggelos ; Polyzos, Stathis ; Pantos, Themistoclis. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-17.

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2019Application of ARIMA Modelling for the Forecasting of Solar, Wind, Spot and Options Electricity Prices: The Australian National Electricity Market. (2019). Wong, Victor ; Tularam, Gurudeo Anand ; Alsaedi, Yasir. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-04-33.

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2019The combination of interval forecasts in tourism. (2019). Liu, Anyu ; Zhou, Menglin ; Wu, Doris Chenguang. In: Annals of Tourism Research. RePEc:eee:anture:v:75:y:2019:i:c:p:363-378.

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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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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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2019A hybrid forecasting system based on a dual decomposition strategy and multi-objective optimization for electricity price forecasting. (2019). Du, Pei ; Niu, Tong ; Wang, Jianzhou ; Yang, Wendong. In: Applied Energy. RePEc:eee:appene:v:235:y:2019:i:c:p:1205-1225.

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2019On the impact of outlier filtering on the electricity price forecasting accuracy. (2019). Afanasyev, Dmitriy ; Fedorova, Elena A. In: Applied Energy. RePEc:eee:appene:v:236:y:2019:i:c:p:196-210.

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2019Levelized income loss as a metric of the adaptation of wind and energy storage to variable prices. (2019). Gomez-Aleixandre, Javier ; Coto, Jose ; Diaz, Guzman. In: Applied Energy. RePEc:eee:appene:v:238:y:2019:i:c:p:1179-1191.

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2019Multi-objective optimization of energy arbitrage in community energy storage systems using different battery technologies. (2019). van Sark, Wilfried ; Bauer, Christian ; Alskaif, Tarek ; Terlouw, Tom. In: Applied Energy. RePEc:eee:appene:v:239:y:2019:i:c:p:356-372.

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2019Prediction and explanation of the formation of the Spanish day-ahead electricity price through machine learning regression. (2019). Gomez-Aleixandre, Javier ; Coto, Jose ; Diaz, Guzman. In: Applied Energy. RePEc:eee:appene:v:239:y:2019:i:c:p:610-625.

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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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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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2019Revisiting global economic activity and crude oil prices: A wavelet analysis. (2019). Chu, Yin ; Gong, Qiang ; Chang, Chun-Ping ; Dong, Minyi. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:134-149.

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2019A Fuzzy Stochastic Model for Carbon Price Prediction Under the Effect of Demand-related Policy in Chinas Carbon Market. (2019). Song, Xiaoqiu ; Li, Yin ; Liang, Dapeng ; Liu, Tiansen. In: Ecological Economics. RePEc:eee:ecolec:v:157:y:2019:i:c:p:253-265.

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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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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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2019Structural combination of seasonal exponential smoothing forecasts applied to load forecasting. (2019). de Menezes, Lilian M ; Rendon-Sanchez, Juan F. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:3:p:916-924.

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2019What to do when decision-makers deviate from model recommendations? Empirical evidence from hydropower industry. (2019). Kemppainen, Katariina ; Kaki, Anssi ; Liesio, Juuso. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:869-882.

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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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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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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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2018The impact of intraday markets on the market value of flexibility — Decomposing effects on profile and the imbalance costs. (2018). Pape, Christian. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:186-201.

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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: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:411-423.

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2019Decoding the Australian electricity market: New evidence from three-regime hidden semi-Markov model. (2019). Wang, Shixuan ; Gözgör, Giray ; Apergis, Nicholas ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:129-142.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2019Bayesian estimation of stable CARMA spot models for electricity prices. (2019). Seibert, Armin ; Muller, Gernot. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:267-277.

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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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2018Hedging spark spread risk with futures. (2018). Torro, Hipolit ; Martinez, Beatriz. In: Energy Policy. RePEc:eee:enepol:v:113:y:2018:i:c:p:731-746.

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2018How renewable production depresses electricity prices: Evidence from the German market. (2018). de Lagarde, Cyril Martin ; Lantz, Frederic. In: Energy Policy. RePEc:eee:enepol:v:117:y:2018:i:c:p:263-277.

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2018Estimating temperature effects on the Italian electricity market. (2018). Bigerna, Simona. In: Energy Policy. RePEc:eee:enepol:v:118:y:2018:i:c:p:257-269.

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2018Transition to low-carbon economy: Assessing cumulative impacts of individual behavioral changes. (2018). Niamir, Leila ; Bressers, Hans ; Voinov, Alexey ; Filatova, Tatiana. In: Energy Policy. RePEc:eee:enepol:v:118:y:2018:i:c:p:325-345.

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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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paper15
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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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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article67
2008Market price of risk implied by Asian-style electricity options and futures In: Energy Economics.
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article43
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article72
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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article46
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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article28
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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article12
2013Revisiting the relationship between spot and futures prices in the Nord Pool electricity market.(2013) In: HSC Research Reports.
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article28
2013An empirical comparison of alternate schemes for combining electricity spot price forecasts.(2013) In: HSC Research Reports.
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article5
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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2014Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs In: Energy Policy.
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article24
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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article16
2015Improving short term load forecast accuracy via combining sister forecasts.(2015) In: HSC Research Reports.
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article83
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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article158
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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article29
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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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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article8
2002Estimating long-range dependence: finite sample properties and confidence intervals In: Physica A: Statistical Mechanics and its Applications.
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article69
2001Estimating long range dependence: finite sample properties and confidence intervals.(2001) In: HSC Research Reports.
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This paper has another version. Agregated cites: 69
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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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article7
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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article71
2003Modeling electricity prices: jump diffusion and regime switching.(2003) In: HSC Research Reports.
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paper
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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article2
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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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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article19
2016Recent advances in electricity price forecasting: A review of probabilistic forecasting.(2016) In: HSC Research Reports.
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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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article3
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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article3
2018Selection of calibration windows for day-ahead electricity price forecasting.(2018) In: HSC Research Reports.
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2019Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting In: Energies.
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article0
2016Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting In: Energies.
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article11
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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paper35
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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paper
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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paper30
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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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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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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2010Goodness-of-fit testing for regime-switching models In: MPRA Paper.
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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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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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article16
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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2016Convenience Yields and Risk Premiums in the EU‐ETS—Evidence from the Kyoto Commitment Period In: Journal of Futures Markets.
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article7
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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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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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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paper1
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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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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paper21
2002Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach In: HSC Research Reports.
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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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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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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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2012Inference for Markov-regime switching models of electricity spot prices In: HSC Research Reports.
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2012The relationship between spot and futures CO2 emission allowance prices in the EU-ETS In: HSC Research Reports.
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2012A new method for automated noise cancellation in electromagnetic field measurement In: HSC Research Reports.
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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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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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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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