Rafał Weron : Citation Profile


Are you Rafał Weron?

Politechnika Wrocławska

23

H index

47

i10 index

1984

Citations

RESEARCH PRODUCTION:

54

Articles

136

Papers

3

Books

1

Chapters

EDITOR:

2

Books edited

2

Series edited

RESEARCH ACTIVITY:

   25 years (1995 - 2020). See details.
   Cites by year: 79
   Journals where Rafał Weron has often published
   Relations with other researchers
   Recent citing documents: 200.    Total self citations: 136 (6.42 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pwe42
   Updated: 2020-07-04    RAS profile: 2020-06-16    
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Relations with other researchers


Works with:

Uniejewski, Bartosz (15)

Nowotarski, Jakub (12)

Marcjasz, Grzegorz (11)

Serafin, Tomasz (5)

Maciejowska, Katarzyna (5)

Kowalska-Pyzalska, Anna (4)

Weron, Tomasz (4)

Trueck, Stefan (4)

Jędrzejewski, Arkadiusz (4)

Hong, Tao (3)

Sznajd-Weron, Katarzyna (3)

Nitka, Weronika (2)

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

Is cited by:

Maciejowska, Katarzyna (37)

Climent-Hernández, José (35)

Nan, Fany (33)

Janczura, Joanna (33)

Afanasyev, Dmitriy (32)

Krištoufek, Ladislav (32)

Sapio, Sandro (28)

Gianfreda, Angelica (28)

Rodríguez Caballero, Carlos (27)

Grossi, Luigi (26)

Ravazzolo, Francesco (24)

Cites to:

Nowotarski, Jakub (176)

Trueck, Stefan (128)

Misiorek, Adam (109)

Janczura, Joanna (75)

Maciejowska, Katarzyna (71)

Uniejewski, Bartosz (70)

Cartea, Álvaro (50)

Hong, Tao (49)

Härdle, Wolfgang (44)

Sznajd-Weron, Katarzyna (37)

Marcjasz, Grzegorz (36)

Main data


Where Rafał Weron has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications13
Energy Economics11
International Journal of Forecasting6
Energies6
Computational Statistics3
International Journal of Modern Physics C (IJMPC)2
Renewable and Sustainable Energy Reviews2
AStA Advances in Statistical Analysis2

Working Papers Series with more than one paper published# docs
HSC Research Reports / Hugo Steinhaus Center, Wroclaw University of Technology82
MPRA Paper / University Library of Munich, Germany27
Papers / arXiv.org7
Econometrics / University Library of Munich, Germany7
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 (2020 and 2019)


YearTitle of citing document
2019Wavelet Estimation for Dynamic Factor Models with Time-Varying Loadings. (2019). Pea, Daniel ; Rodriguez-Caballero, Carlos Vladimir ; Catao, Duvan Humberto. In: CREATES Research Papers. RePEc:aah:create:2019-23.

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2020PCA forecast averaging - predicting day-ahead and intraday electricity prices. (2020). Uniejewski, Bartosz ; Serafin, Tomasz ; Maciejowska, Katarzyna. In: WORking papers in Management Science (WORMS). RePEc:ahh:wpaper:worms2002.

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2019Predicting Auction Price of Vehicle License Plate with Deep Recurrent Neural Network. (2019). 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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2019An adverse selection approach to power pricing. (2019). Possamai, Dylan ; Santib, Nicol'As Hern'Andez ; Elie, Romuald ; Ekeland, Ivar ; Alasseur, Cl'Emence . In: Papers. RePEc:arx:papers:1706.01934.

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2019Comparing the Forecasting Performances of Linear Models for Electricity Prices with High RES Penetration. (2018). Rossini, Luca ; Ravazzolo, Francesco ; Gianfreda, Angelica. In: Papers. RePEc:arx:papers:1801.01093.

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2019A structural Heath-Jarrow-Morton framework for consistent intraday, spot, and futures electricity prices. (2019). Korn, Ralf ; Wagner, Andreas ; Hinderks, Wieger. In: Papers. RePEc:arx:papers:1803.08831.

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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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2020Fast calibration of two-factor models for energy option pricing. (2018). de Nicolao, Giuseppe ; Marziali, Andrea ; Fabbiani, Emanuele. In: Papers. RePEc:arx:papers:1809.03941.

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2019Probabilistic forecasting and simulation of electricity prices. (2018). Ziel, Florian ; Muniain, Peru. 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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2019Econometric modelling and forecasting of intraday electricity prices. (2019). Ziel, Florian ; Narajewski, Michal. In: Papers. RePEc:arx:papers:1812.09081.

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2019Intensity estimation of transaction arrivals on the intraday electricity market. (2019). Ziel, Florian ; Narajewski, Michal. In: Papers. RePEc:arx:papers:1901.09729.

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2019Development of an agent-based speculation game for higher reproducibility of financial stylized facts. (2019). Okuda, Hiroshi ; Hashimoto, Gaku ; Chen, YU ; Katahira, Kei. In: Papers. RePEc:arx:papers:1902.02040.

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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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2019Heterogeneous wealth distribution, round-trip trading and the emergence of volatility clustering in Speculation Game. (2019). Chen, YU ; Katahira, Kei. In: Papers. RePEc:arx:papers:1909.03185.

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2019Multivariate Forecasting Evaluation: On Sensitive and Strictly Proper Scoring Rules. (2019). Ziel, Florian ; Berk, Kevin. In: Papers. RePEc:arx:papers:1910.07325.

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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Papers. RePEc:arx:papers:1911.04223.

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2020A New Metric for Lumpy and Intermittent Demand Forecasts: Stock-keeping-oriented Prediction Error Costs. (2020). Kuhl, Niklas ; Spitzer, Philipp ; Martin, Dominik. In: Papers. RePEc:arx:papers:2004.10537.

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2020Ensemble Forecasting for Intraday Electricity Prices: Simulating Trajectories. (2020). Ziel, Florian ; Narajewski, Michal. In: Papers. RePEc:arx:papers:2005.01365.

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2020Application of Nonlinear Autoregressive with Exogenous Input (NARX) neural network in macroeconomic forecasting, national goal setting and global competitiveness assessment. (2020). Tang, Liyang. In: Papers. RePEc:arx:papers:2005.08735.

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2020Probabilistic multivariate electricity price forecasting using implicit generative ensemble post-processing. (2020). Steinke, Florian ; Janke, Tim. In: Papers. RePEc:arx:papers:2005.13417.

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2020Pricing Energy Contracts under Regime Switching Time-Changed models. (2020). Olivares, Pablo ; Ferrando, Sebastian ; Gajewski, Konrad. In: Papers. RePEc:arx:papers:2005.14361.

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2019Optimal Installation of Solar Panels with Price Impact: a Solvable Singular Stochastic Control Problem. (2019). Vargiolu, Tiziano ; Koch, Torben. In: Center for Mathematical Economics Working Papers. RePEc:bie:wpaper:627.

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2019Emissions trading with rolling horizons. (2019). Trotignon, Raphael ; Quemin, Simon. In: Working Papers. RePEc:cec:wpaper:1901.

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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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2019Modeling the electricity spot price with switching regime semi-nonparametric distributions. (2019). Perote, Javier ; Cortés, Lina ; Cortes, Lina M ; Trespalacios, Alfredo. In: Documentos de Trabajo CIEF. RePEc:col:000122:017618.

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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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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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2020Passive Balancing Through Intraday Trading: Whether Interactions Between Short-term Trading and Balancing Stabilize Germany’s Electricity System. (2020). Koch, Christopher ; Maskos, Philipp. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-14.

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2020Impact of Solar and Wind Prices on the Integrated Global Electricity Spot and Options Markets: A Time Series Analysis. (2020). Alsaedi, Yasir ; Wong, Victor ; Tularam, Gurudeo Anand. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2020-02-40.

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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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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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2019Bayesian deep learning based method for probabilistic forecast of day-ahead electricity prices. (2019). Portolani, Pietro ; Matteucci, Matteo ; Brusaferri, Alessandro ; Vitali, Andrea. In: Applied Energy. RePEc:eee:appene:v:250:y:2019:i:c:p:1158-1175.

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2019Ensemble of relevance vector machines and boosted trees for electricity price forecasting. (2019). Tripathi, Madan Mohan ; Muchahary, Frankle ; Agrawal, Rahul Kumar. In: Applied Energy. RePEc:eee:appene:v:250:y:2019:i:c:p:540-548.

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2019The value of enhanced flexibility of gas-fired power plants: A real options analysis. (2019). Madlener, Reinhard ; Glensk, Barbara. In: Applied Energy. RePEc:eee:appene:v:251:y:2019:i:c:45.

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2020Energy-intense production-inventory planning with participation in sequential energy markets. (2020). Bohlayer, Markus ; Zottl, Gregor ; Braun, Marco ; Fleschutz, Markus. In: Applied Energy. RePEc:eee:appene:v:258:y:2020:i:c:s0306261919316411.

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2020An adaptive hybrid model for short term electricity price forecasting. (2020). Wei, Yi-Ming ; Tan, Zhongfu ; Zhang, Jinliang. In: Applied Energy. RePEc:eee:appene:v:258:y:2020:i:c:s030626191931774x.

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2020Day-ahead high-resolution forecasting of natural gas demand and supply in Germany with a hybrid model. (2020). Koch, Thorsten ; Xu, Xiuqin ; Chen, Ying. In: Applied Energy. RePEc:eee:appene:v:262:y:2020:i:c:s0306261919321749.

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2020Leveraging inter-firm influence in the diffusion of energy efficiency technologies: An agent-based model. (2020). Muehleisen, Ralph T ; Li, Yang ; Han, Botang ; Engo, Jean ; Zeng, Yongchao ; Shi, Yingying. In: Applied Energy. RePEc:eee:appene:v:263:y:2020:i:c:s0306261920301537.

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2020An integrated model of coupled heat and power sectors for large-scale energy system analyses. (2020). Felten, Bjorn. In: Applied Energy. RePEc:eee:appene:v:266:y:2020:i:c:s0306261920300337.

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2020Probabilistic solar power forecasting based on weather scenario generation. (2020). Zhang, Jie ; Feng, Cong ; Sun, Mucun. In: Applied Energy. RePEc:eee:appene:v:266:y:2020:i:c:s0306261920303354.

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2020Designing a short-term load forecasting model in the urban smart grid system. (2020). Li, Chen. In: Applied Energy. RePEc:eee:appene:v:266:y:2020:i:c:s0306261920303627.

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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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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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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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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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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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2020Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. (2020). Tan, Ken Seng ; Zhuang, Sheng Chao ; Wei, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:1:p:345-362.

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2020Risk management of renewable power producers from co-dependencies in cash flows. (2020). Owusu, Abena ; Kar, Koushik ; Gupta, Aparna ; Bhattacharya, Saptarshi. In: European Journal of Operational Research. RePEc:eee:ejores:v:283:y:2020:i:3:p:1081-1093.

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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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2019Mitigation of price spike in unit commitment: A probabilistic approach. (2019). Vargas, Alberto ; Samudio-Carter, Cristobal ; Lin, Jeremy ; Albarracin-Sanchez, Ricardo. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:1041-1049.

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2019Probabilistic electricity price forecasting with Bayesian stochastic volatility models. (2019). Kostrzewska, Jadwiga ; Kostrzewski, Maciej . In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:610-620.

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2019Price risk and hedging strategies in Nord Pool electricity market evidence with sector indexes. (2019). Heni, Boubaker ; Souhir, Ben Amor ; Lotfi, Belkacem. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:635-655.

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2019Stochastic modeling of intraday photovoltaic power generation. (2019). Muller, Gernot ; Lingohr, Daniel. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:175-186.

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2019Price volatility in commodity markets with restricted participation. (2019). Paschmann, Martin ; Knaut, Andreas. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:37-51.

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2019Are the crude oil markets really becoming more efficient over time? Some new evidence. (2019). Krištoufek, Ladislav ; Kristoufek, Ladislav. In: Energy Economics. RePEc:eee:eneeco:v:82:y:2019:i:c:p:253-263.

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2019An effective and robust decomposition-ensemble energy price forecasting paradigm with local linear prediction. (2019). Wei, Yi-Ming ; Chu, Xianghua ; Li, LI ; He, Huangda ; Xie, Kangqiang ; Qin, Quande ; Wu, Teresa. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:402-414.

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2020Factor models in the German electricity market: Stylized facts, seasonality, and calibration. (2020). Wagner, A ; Hinderks, W J. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319301033.

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2020Assessing the impact of renewable energy sources on the electricity price level and variability – A quantile regression approach. (2020). Maciejowska, Katarzyna. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303275.

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2020Volatility spillovers in commodity markets: A large t-vector autoregressive approach. (2020). Wilms, Ines ; Barbaglia, Luca ; Croux, Christophe. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303500.

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2020Modeling and forecasting the electricity clearing price: A novel BELM based pattern classification framework and a comparative analytic study on multi-layer BELM and LSTM. (2020). Liu, Chen ; Zhang, Qiang ; Cheng, Manli ; Gao, Fei ; Yang, Shanlin ; Zheng, Qingru ; Shao, Zhen. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304451.

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2019Changes to Gate Closure and its impact on wholesale electricity prices: The case of the UK. (2019). di Liddo, Giuseppe ; Caldarelli, Guido ; Rubino, Alessandro ; Facchini, Angelo. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:110-121.

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2019Market price behavior of wholesale electricity products: Texas. (2019). Tsai, C H ; Zhu, S ; Woo, C K ; Zarnikau, J. In: Energy Policy. RePEc:eee:enepol:v:125:y:2019:i:c:p:418-428.

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2019Making incentive policies more effective: An agent-based model for energy-efficiency retrofit in China. (2019). Shen, Geoffrey Qiping ; Hong, Jingke ; Yu, Tao ; Liang, Xin. In: Energy Policy. RePEc:eee:enepol:v:126:y:2019:i:c:p:177-189.

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2019Getting prices right in structural electricity market models. (2019). Green, Richard ; Staffell, I ; Ward, K R. In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:1190-1206.

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2019Integration in the European electricity market: A machine learning-based convergence analysis for the Central Western Europe region. (2019). Corona, Luis ; Mochon, Asuncion ; Saez, Yago ; Isasi, Pedro. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:549-566.

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2019Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China. (2019). Farnoosh, Arash ; Zhang, Yue. In: Energy Policy. RePEc:eee:enepol:v:132:y:2019:i:c:p:678-690.

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2019The impact of renewable energy forecast errors on imbalance volumes and electricity spot prices. (2019). Bunn, Derek ; Perera, Niles H ; Goodarzi, Shadi. In: Energy Policy. RePEc:eee:enepol:v:134:y:2019:i:c:s0301421519304057.

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2020Uncertainty in electricity markets from a semi-nonparametric approach. (2020). Perote, Javier ; Cortes, Lina M ; Trespalacios, Alfredo. In: Energy Policy. RePEc:eee:enepol:v:137:y:2020:i:c:s0301421519306780.

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2020When and why does transition fail? A model-based identification of adoption barriers and policy vulnerabilities for transition to natural gas vehicles. (2020). Purwanto, Widodo Wahyu ; Setiawan, Andri D ; Jafino, Bramka Arga ; Hidayatno, Akhmad. In: Energy Policy. RePEc:eee:enepol:v:138:y:2020:i:c:s0301421520300021.

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2019The impact of wind generation on wholesale electricity market prices in the midcontinent independent system operator energy market: An empirical investigation. (2019). Dahlke, Steve ; Quint, Dov. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:456-466.

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2019An innovative hybrid system for wind speed forecasting based on fuzzy preprocessing scheme and multi-objective optimization. (2019). Li, Ranran ; Yang, Hufang ; Zhu, Zhijie. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:1219-1237.

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2019Investigating structural and occupant drivers of annual residential electricity consumption using regularization in regression models. (2019). Satre-Meloy, Aven. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:148-168.

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2019A hybrid method based on neural network and improved environmental adaptation method using Controlled Gaussian Mutation with real parameter for short-term load forecasting. (2019). Kant, Vibhor ; Dwivedi, Pragya ; Singh, Priyanka. In: Energy. RePEc:eee:energy:v:174:y:2019:i:c:p:460-477.

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2019Modeling electricity consumption using nighttime light images and artificial neural networks. (2019). Jasiski, Tomasz . In: Energy. RePEc:eee:energy:v:179:y:2019:i:c:p:831-842.

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2019Are EUs Climate and Energy Package 20-20-20 targets achievable and compatible? Evidence from the impact of renewables on electricity prices. (2019). Rodriguez, Rosa ; Pea, Juan Ignacio. In: Energy. RePEc:eee:energy:v:183:y:2019:i:c:p:477-486.

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2019Electricity price prediction based on hybrid model of adam optimized LSTM neural network and wavelet transform. (2019). Chen, Wenbo ; Zhang, Yang ; Chang, Zihan. In: Energy. RePEc:eee:energy:v:187:y:2019:i:c:s0360544219314768.

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2020Forecast the electricity price of U.S. using a wavelet transform-based hybrid model. (2020). Yang, Zhe ; Qiao, Weibiao. In: Energy. RePEc:eee:energy:v:193:y:2020:i:c:s0360544219323990.

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2020An interval-prediction based robust optimization approach for energy-hub operation scheduling considering flexible ramping products. (2020). Liu, Jiaomin ; Dong, Houqi ; Zeng, BO ; Zhu, XI. In: Energy. RePEc:eee:energy:v:194:y:2020:i:c:s0360544219325162.

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2020The impact of probability of electricity price spike and outside temperature to define total expected cost for air conditioning. (2020). Marwan, Marwan. In: Energy. RePEc:eee:energy:v:195:y:2020:i:c:s0360544220301018.

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2020Determinants of the wholesale prices of energy and ancillary services in the U.S. Midcontinent electricity market. (2020). Zarnikau, Jay ; Woo, C K ; Tsai, C H. In: Energy. RePEc:eee:energy:v:195:y:2020:i:c:s0360544220301584.

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2020Forecasting based on an ensemble Autoregressive Moving Average - Adaptive neuro - Fuzzy inference system – Neural network - Genetic Algorithm Framework. (2020). Minutolo, Marcel ; Kristjanpoller, Werner ; Prado, Francisco. In: Energy. RePEc:eee:energy:v:197:y:2020:i:c:s0360544220302668.

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2019A characterization of CAT bond performance indices. (2019). Lai, Van Son ; Godin, Frederic ; Trottier, Denis-Alexandre. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:431-437.

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2019Rethinking the forestry in the Aquitaine massif through portfolio management. (2019). Dragicevic, Arnaud Z. In: Forest Policy and Economics. RePEc:eee:forpol:v:109:y:2019:i:c:s138993411930423x.

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2019Valuation of contingent convertible catastrophe bonds — The case for equity conversion. (2019). Burnecki, Krzysztof ; Giuricich, Mario Nicolo ; Palmowski, Zbigniew. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:238-254.

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2020Regime dependent effects and cyclical volatility spillover between crude oil price movements and stock returns. (2020). Yuni, Denis N ; Uma, Kalu E ; Onwuka, Kevin O ; Urom, Christian. In: International Economics. RePEc:eee:inteco:v:161:y:2020:i:c:p:10-29.

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Rafał Weron is editor of


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YearTitleTypeCited
2020Beating the naive: Combining LASSO with naive intraday electricity price forecasts In: WORking papers in Management Science (WORMS).
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2020Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts.(2020) In: Energies.
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2008Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland In: Papers.
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paper2
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 In: Papers.
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2010FX Smile in the Heston Model.(2010) In: SFB 649 Discussion Papers.
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2010FX Smile in the Heston Model.(2010) In: MPRA Paper.
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2010FX Smile in the Heston Model.(2010) In: HSC Research Reports.
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2011Black swans or dragon kings? A simple test for deviations from the power law In: Papers.
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2011Black swans or dragon kings? A simple test for deviations from the power law.(2011) In: MPRA Paper.
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2011Black swans or dragon kings? A simple test for deviations from the power law.(2011) In: HSC Research Reports.
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2018Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks In: Papers.
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paper25
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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paper12
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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article70
2008Market price of risk implied by Asian-style electricity options and futures In: Energy Economics.
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article46
2010An empirical comparison of alternate regime-switching models for electricity spot prices In: Energy Economics.
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article79
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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article52
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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article30
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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article14
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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article36
2013An empirical comparison of alternate schemes for combining electricity spot price forecasts.(2013) In: HSC Research Reports.
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2015A note on using the Hodrick–Prescott filter in electricity markets In: Energy Economics.
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2014A note on using the Hodrick-Prescott filter in electricity markets.(2014) In: HSC Research Reports.
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2016On the importance of the long-term seasonal component in day-ahead electricity price forecasting In: Energy Economics.
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article17
2016On the importance of the long-term seasonal component in day-ahead electricity price forecasting.(2016) In: HSC Research Reports.
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2019On the importance of the long-term seasonal component in day-ahead electricity price forecasting: Part II — Probabilistic forecasting In: Energy Economics.
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article9
2017On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting.(2017) In: HSC Research Reports.
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2019Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill In: Energy Economics.
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article5
2014Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs In: Energy Policy.
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article28
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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article18
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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article92
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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article192
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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article33
2014Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging.(2014) In: HSC Research Reports.
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2019On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks In: International Journal of Forecasting.
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article0
2019Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO In: International Journal of Forecasting.
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article12
2018Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO.(2018) In: HSC Research Reports.
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2020Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? In: International Journal of Forecasting.
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article1
2018Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?.(2018) In: HSC Research Reports.
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1999A conditionally exponential decay approach to scaling in finance In: Physica A: Statistical Mechanics and its Applications.
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article0
1999Origins of the scaling behaviour in the dynamics of financial data In: Physica A: Statistical Mechanics and its Applications.
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article3
1998Origins of the scaling behaviour in the dynamics of financial data.(1998) In: HSC Research Reports.
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1999Scaling in currency exchange: a conditionally exponential decay approach In: Physica A: Statistical Mechanics and its Applications.
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article0
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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article27
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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article19
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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article11
2000Property insurance loss distributions.(2000) In: HSC Research Reports.
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paper
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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article73
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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article8
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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article77
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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article3
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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article9
2018Recent advances in electricity price forecasting: A review of probabilistic forecasting In: Renewable and Sustainable Energy Reviews.
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article33
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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article5
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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article7
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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2020Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader In: Energies.
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2016Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting In: Energies.
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article15
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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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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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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2014Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? In: PLOS ONE.
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2005Modelling catastrophe claims with left-truncated severity distributions (extended version) In: MPRA Paper.
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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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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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2004Structure and stylized facts of a deregulated power market In: MPRA Paper.
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2009Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions In: MPRA Paper.
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2008Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo In: MPRA Paper.
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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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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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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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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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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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2005Modeling and forecasting electricity loads: A comparison In: Econometrics.
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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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2013Diffusion of innovation within an agent-based model: Spinsons, independence and advertising.(2013) In: HSC Research Reports.
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2020What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market In: World Scientific Book Chapters.
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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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2002Modeling electricity loads in California: ARMA models with hyperbolic noise In: HSC Research Reports.
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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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2004Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie) In: HSC Research Reports.
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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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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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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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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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2018Electricity price forecasting In: HSC Research Reports.
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2019Regularized Quantile Regression Averaging for probabilistic electricity price forecasting In: HSC Research Reports.
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2019Balancing RES generation: Profitability of an energy trader 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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