Browse by Authors

1996

Weron, Rafal (1996): Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables".

July 2002

Mercik, Szymon and Weron, Rafal (2002): Origins of scaling in FX markets.

2004

Simonsen, Ingve and Weron, Rafal and Mo, Birger (2004): Structure and stylized facts of a deregulated power market.

2005

Chernobai, Anna and Burnecki, Krzysztof and Rachev, Svetlozar and Trueck, Stefan and Weron, Rafal (2005): Modelling catastrophe claims with left-truncated severity distributions (extended version).

2006

Weron, Rafal and Misiorek, Adam (2006): Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market. Published in: Proceedings of the Modern Electric Power Systems MEPS'06 International Symposium, September 6-8, 2006, Wrocław, Poland (2006): pp. 34-38.

March 2007

Weron, Rafal and Misiorek, Adam (2007): Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? Published in: Prace Naukowe Akademii Ekonomicznej we Wroclawiu , Vol. 1076, (2007): pp. 472-480.

August 2007

Trueck, Stefan and Weron, Rafal and Wolff, Rodney (2007): Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices.

2008

Weron, Rafal (2008): Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo. Published in: Materiały II Ogólnopolskiej Konferencji "Polska Elektroenergetyka - Realia, Problemy, Dylematy" (2008)

9 May 2008

Weron, Rafal (2008): Heavy-tails and regime-switching in electricity prices. Forthcoming in: Mathematical Methods of Operations Research

10 June 2008

Weron, Rafal and Misiorek, Adam (2008): Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models. Forthcoming in: International Journal of Forecasting

10 July 2008

Borak, Szymon and Weron, Rafal (2008): A semiparametric factor model for electricity forward curve dynamics. Forthcoming in: Journal of Energy Markets No. 1 (3) (2008): pp. 3-16.

10 September 2008

Sznajd-Weron, Katarzyna and Weron, Rafal and Wloszczowska, Maja (2008): Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland.

2009

Weron, Rafal (2009): Forecasting wholesale electricity prices: A review of time series models. Published in: Financial Markets: Principles of Modelling, Forecasting and Decision-Making , Vol. FindEc, (2009): pp. 71-82.

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)

2010

Burnecki, Krzysztof and Misiorek, Adam and Weron, Rafal (2010): Loss Distributions.

Burnecki, Krzysztof and Weron, Rafal (2010): Simulation of Risk Processes.

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.

Janek, Agnieszka and Kluge, Tino and Weron, Rafal and Wystup, Uwe (2010): FX Smile in the Heston Model.

Borak, Szymon and Misiorek, Adam and Weron, Rafal (2010): Models for Heavy-tailed Asset Returns.

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.

11 November 2012

Nowotarski, Jakub and Tomczyk, Jakub and Weron, Rafal (2012): Robust estimation and forecasting of the long-term seasonal component of electricity spot prices.