Aleksander Weron : Citation Profile


Are you Aleksander Weron?

Politechnika Wrocławska

5

H index

2

i10 index

176

Citations

RESEARCH PRODUCTION:

13

Articles

16

Papers

3

Books

RESEARCH ACTIVITY:

   35 years (1976 - 2011). See details.
   Cites by year: 5
   Journals where Aleksander Weron has often published
   Relations with other researchers
   Recent citing documents: 24.    Total self citations: 6 (3.3 %)

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   Permalink: http://citec.repec.org/pwe437
   Updated: 2020-07-04    RAS profile: 2019-01-28    
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Relations with other researchers


Works with:

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

Is cited by:

Weron, Rafał (29)

Burnecki, Krzysztof (12)

Wyłomańska, Agnieszka (7)

Magdziarz, Marcin (5)

Janczura, Joanna (5)

Misiorek, Adam (4)

Wu, Liuren (4)

Orzeł, Sebastian (4)

Frain, John (3)

Scalas, Enrico (3)

Weron, Aleksander (3)

Cites to:

Weron, Rafał (4)

Weron, Aleksander (3)

Olsen, Richard (3)

Dacorogna, Michel (3)

Platen, Eckhard (2)

de Vries, Casper (1)

Mandelbrot, Benoît (1)

Klemperer, Paul (1)

Green, Richard (1)

Galluccio, Stefano (1)

Fama, Eugene (1)

Main data


Where Aleksander Weron has published?


Journals with more than one article published# docs
Physica A: Statistical Mechanics and its Applications4
Journal of Multivariate Analysis3
Insurance: Mathematics and Economics2

Working Papers Series with more than one paper published# docs
HSC Research Reports / Hugo Steinhaus Center, Wroclaw University of Technology16

Recent works citing Aleksander Weron (2018 and 2017)


YearTitle of citing document
2017Subdiffusive fractional Brownian motion regime for pricing currency options under transaction costs. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1612.06665.

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2017The evaluation of geometric Asian power options under time changed mixed fractional Brownian motion. (2017). Shokrollahi, Foad. In: Papers. RePEc:arx:papers:1712.05254.

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2018Ruin probabilities for two collaborating insurance companies. (2018). Michna, Zbigniew. In: Papers. RePEc:arx:papers:1804.06598.

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2020A weighted finite difference method for subdiffusive Black Scholes Model. (2019). Plociniczak, Lukasz ; Magdziarz, Marcin ; Zanowski, Grzegorz Krzy. In: Papers. RePEc:arx:papers:1907.00297.

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2020Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory. (2019). Spielmann, J'Erome ; Dong, Yuchao. In: Papers. RePEc:arx:papers:1907.01828.

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2020Weak limits of random coefficient autoregressive processes and their application in ruin theory. (2020). Spielmann, J ; Dong, Y. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:1-11.

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2017The modified Yule-Walker method for α-stable time series models. (2017). Gajda, Janusz ; Kruczek, Piotr ; Wyomaska, Agnieszka ; Teuerle, Marek . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:469:y:2017:i:c:p:588-603.

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2017Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models. (2017). Christian, ; Gramacy, Robert B ; Watkins, Nicholas W ; Tindale, Elizabeth ; Graves, Timothy . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:473:y:2017:i:c:p:60-71.

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2018Investigating the interaction between rough surfaces by using the Fisher–Shannon method: Implications on interaction between tectonic plates. (2018). Moreno-Torres, Lucia Rebeca ; Telesca, Luciano ; Ramirez-Rojas, Alejandro ; Lovallo, Michele ; Gomez-Vieyra, Armando. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:506:y:2018:i:c:p:560-565.

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2018Universal Poisson-process limits for general random walks. (2018). Eliazar, Iddo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:1160-1174.

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2018Phase transition and alternation in a model of perceptual bistability in the presence of Lévy noise. (2018). Feng, Jing ; Wang, Xiaolong ; Xu, Yong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:512:y:2018:i:c:p:367-378.

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2019Investigating the time dynamics of wind speed in complex terrains by using the Fisher–Shannon method. (2019). Telesca, Luciano ; Helbig, Nora ; Kanevski, Mikhail ; Golay, Jean ; Laib, Mohamed ; Lovallo, Michele ; Guignard, Fabian. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:523:y:2019:i:c:p:611-621.

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2019Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process. (2019). Masuda, Hiroki. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:3:p:1013-1059.

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2019Nonparametric estimation of the trend for stochastic differential equations driven by small α-stable noises. (2019). Shu, Huisheng ; Yi, Haoran ; Zhang, Xuekang . In: Statistics & Probability Letters. RePEc:eee:stapro:v:151:y:2019:i:c:p:8-16.

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2017Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing. (2017). Burnecki, Krzysztof ; Giuricich, Mario Nicolo. In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:4:p:64-:d:123183.

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2019The De Vylder-Goovaerts conjecture holds true within the diffusion limit. (2019). Kazi-Tani, Nabil ; Blanchet-Scalliet, Christophette ; Ankirchner, Stefan. In: Post-Print. RePEc:hal:journl:hal-01887402.

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2020Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory. (2020). Spielmann, Jerome ; Dong, Yuchao. In: Post-Print. RePEc:hal:journl:hal-02170829.

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2018The De Vylder-Goovaerts conjecture holds true within the diffusion limit. (2018). Kazi-Tani, Nabil ; Blanchet-Scalliet, Christophette ; Ankirchner, Stefan. In: Working Papers. RePEc:hal:wpaper:hal-01887402.

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2019Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory. (2019). Spielmann, Jerome ; Dong, Yuchao. In: Working Papers. RePEc:hal:wpaper:hal-02170829.

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2018Spectral risk measure of holding stocks in the long run. (2018). Csóka, Péter ; Szabo, David Zoltan ; Bihary, Zsolt. In: IEHAS Discussion Papers. RePEc:has:discpr:1812.

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2018Estimation of the linear fractional stable motion. (2018). Podolskij, Mark ; Otryakhin, Dmitry ; Mazur, Stepan. In: Working Papers. RePEc:hhs:oruesi:2018_003.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2019Lévy noise induced transitions and enhanced stability in a birhythmic van der Pol system. (2019). Filatrella, Giovanni ; Yonkeu, Raoul Mbakob ; Yamapi, Rene ; Kurths, Jurgen. In: The European Physical Journal B: Condensed Matter and Complex Systems. RePEc:spr:eurphb:v:92:y:2019:i:7:d:10.1140_epjb_e2019-100029-x.

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2018Electricity price forecasting. (2018). Weron, Rafał ; Ziel, Florian. In: HSC Research Reports. RePEc:wuu:wpaper:hsc1808.

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Works by Aleksander Weron:


YearTitleTypeCited
1997Stable Lévy motion approximation in collective risk theory In: Insurance: Mathematics and Economics.
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article12
2003Annuities under random rates of interest--revisited In: Insurance: Mathematics and Economics.
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article2
1981Existence of the linear prediction for Banach space valued Gaussian processes In: Journal of Multivariate Analysis.
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article0
1981[alpha]-Stable characterization of Banach spaces (1 In: Journal of Multivariate Analysis.
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article0
1976Wold-Cramér concordance theorems for interpolation of q-variate stationary processes over locally compact Abelian groups In: Journal of Multivariate Analysis.
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article0
1995Computer simulation of attractors in stochastic models with α-stable noise In: Mathematics and Computers in Simulation (MATCOM).
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article0
1990Characterizations of intrinsically random dynamical systems In: Physica A: Statistical Mechanics and its Applications.
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article1
1999A conditionally exponential decay approach to scaling in finance In: Physica A: Statistical Mechanics and its Applications.
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article1
1999Origins of the scaling behaviour in the dynamics of financial data In: Physica A: Statistical Mechanics and its Applications.
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article4
1998Origins of the scaling behaviour in the dynamics of financial data.(1998) In: HSC Research Reports.
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This paper has another version. Agregated cites: 4
paper
2008From solar flare time series to fractional dynamics In: Physica A: Statistical Mechanics and its Applications.
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article3
1987Ergodic properties of stationary stable processes In: Stochastic Processes and their Applications.
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article9
1992Ergodic behavior and estimation for periodically correlated processes In: Statistics & Probability Letters.
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article1
2009Stochastic models for bidding strategies on oligopoly electricity market In: Mathematical Methods of Operations Research.
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article5
2000Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem) In: HSC Books.
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book0
1994Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes In: HSC Books.
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book120
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
2001Dependence structure of stable R-GARCH processes In: HSC Research Reports.
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paper1
2002On annuities under random rates of interest In: HSC Research Reports.
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paper0
2003On ARMA(1,q) models with bounded and periodically correlated solutions In: HSC Research Reports.
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paper0
2003A new De Vylder type approximation of the ruin probability in infinite time In: HSC Research Reports.
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paper0
2004Pure risk premiums under deductibles. A quantitative management in actuarial practice In: HSC Research Reports.
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paper1
2005Calibration of the multifactor HJM model for energy market In: HSC Research Reports.
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paper0
2006Simulations of the bidding strategies on the power market (Symulacje strategii wytwórców na rynku energii elektrycznej) In: HSC Research Reports.
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paper0
2007Asymptotic behavior of the finite time ruin probability of a gamma Levy process In: HSC Research Reports.
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2008Modelling energy forward prices In: HSC Research Reports.
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2009Calibration of the subdiffusive Black–Scholes model In: HSC Research Reports.
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paper2
2011Option pricing in subdiffusive Bachelier model In: HSC Research Reports.
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paper2
1994Can One See Alpha-stable Variables and Processes? In: HSC Research Reports.
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paper6
1996Approximation of stochastic differential equations driven by alpha-stable Levy motion In: HSC Research Reports.
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paper1
1997The Lamperti transformation for self-similar processes In: HSC Research Reports.
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paper3
1997Spectral representation and structure of self-similar processes In: HSC Research Reports.
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paper2

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