Browse by Authors

January 2009

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.

April 2009

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)

6 February 2010

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

24 May 2010

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

14 June 2010

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

September 2010

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

November 2010

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

2 May 2011

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

10 January 2012

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

6 June 2012

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.