Browse by Authors

18784

Janczura, Joanna and Weron, Rafal (2009): Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions. Published in: IEEE Conference Proceedings (2009)

22871

Janczura, Joanna and Weron, Rafal (2010): Goodness-of-fit testing for regime-switching models.

22876

Janczura, Joanna and Weron, Rafal (2010): An empirical comparison of alternate regime-switching models for electricity spot prices. Forthcoming in: Energy Economics

23296

Janczura, Joanna and Weron, Rafal (2010): Modeling electricity spot prices: Regime switching models with price-capped spike distributions. Forthcoming in: MEPS'10 Proceedings

25492

Burnecki, Krzysztof and Janczura, Joanna and Weron, Rafal (2010): Building Loss Models.

26628

Weron, Rafal and Janczura, Joanna (2010): Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices.

30649

Janczura, Joanna and Wyłomańska, Agnieszka (2009): Subdynamics of financial data from fractional Fokker-Planck equation. Published in: Acta Physica Polonica B , Vol. 40, No. 5 (2009): pp. 1341-1351.

32489

Janczura, Joanna and Weron, Rafal (2011): Black swans or dragon kings? A simple test for deviations from the power law.

36461

Janczura, Joanna and Weron, Rafal (2012): Goodness-of-fit testing for the marginal distribution of regime-switching models.

39277

Janczura, Joanna and Trueck, Stefan and Weron, Rafal and Wolff, Rodney (2012): Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling.