Publications

by members of

Hugo Steinhaus Center for Stochastic Methods
Politechnika Wrocławska
Wrocław, Poland

(Wroclaw University of Technology))

Working papers

2008

1. Weron, Rafal, 2008. "Heavy-tails and regime-switching in electricity prices," MPRA Paper 10424, University Library of Munich, Germany. [Downloadable!]
2. Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," MPRA Paper 10428, University Library of Munich, Germany. [Downloadable!]
3. Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany. [Downloadable!]
4. Szymon Borak & Rafał Weron, 2008. "A semiparametric factor model for electricity forward curve dynamics," SFB 649 Discussion Papers SFB649DP2008-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
5. Sznajd-Weron, Katarzyna & Weron, Rafal & Wloszczowska, Maja, 2008. "Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland," MPRA Paper 10422, University Library of Munich, Germany. [Downloadable!]
6. Katarzyna Sznajd-Weron & Rafa{\l} Weron & Maja W{\l}oszczowska, 2008. "Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland," Quantitative Finance Papers 0809.1534, arXiv.org. [Downloadable!]

2007

1. Weron, Rafal & Misiorek, Adam, 2007. "Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts?," MPRA Paper 2292, University Library of Munich, Germany, revised Oct 2007. [Downloadable!]
2. Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2007. "Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices," MPRA Paper 4711, University Library of Munich, Germany. [Downloadable!]

2006

1. Szymon Borak & Wolfgang Härdle & Stefan Trück & Rafal Weron, 2006. "Convenience Yields for CO2 Emission Allowance Futures Contracts," SFB 649 Discussion Papers SFB649DP2006-076, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
2. Weron, Rafal & Misiorek, Adam, 2006. "Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market," MPRA Paper 1363, University Library of Munich, Germany. [Downloadable!]

2005

1. Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA. [Downloadable!]
2. Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005. "On detecting and modeling periodic correlation in financial data," Econometrics 0502006, EconWPA. [Downloadable!]
3. Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, EconWPA. [Downloadable!]
4. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, EconWPA. [Downloadable!]
5. Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, EconWPA. [Downloadable!]
6. Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, EconWPA. [Downloadable!]
7. Rafal Weron & Ingve Simonsen, 2005. "Blackouts, risk, and fat-tailed distributions," Risk and Insurance 0510001, EconWPA. [Downloadable!]
8. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
9. Chernobai, Anna & Burnecki, Krzysztof & Rachev, Svetlozar & Trueck, Stefan & Weron, Rafal, 2005. "Modelling catastrophe claims with left-truncated severity distributions (extended version)," MPRA Paper 10423, University Library of Munich, Germany. [Downloadable!]

2004

1. Simonsen, Ingve & Weron, Rafal & Mo, Birger, 2004. "Structure and stylized facts of a deregulated power market," MPRA Paper 1443, University Library of Munich, Germany. [Downloadable!]

2003

1. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, EconWPA. [Downloadable!]
2. Rafal Weron, 2003. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics 0305003, EconWPA. [Downloadable!]
3. Katarzyna Sznajd-Weron & Rafal Weron, 2003. "How effective is advertising in duopoly markets?," Public Economics 0306005, EconWPA. [Downloadable!]

2002

1. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany. [Downloadable!]
2. K. Sznajd-Weron & R. Weron, 2002. "How effective is advertising in duopoly markets?," Quantitative Finance Papers cond-mat/0211058, arXiv.org, revised Dec 2002. [Downloadable!]

2001

1. Rafal Weron, 2001. "Measuring long-range dependence in electricity prices," Quantitative Finance Papers cond-mat/0103621, arXiv.org. [Downloadable!]

2000

1. K. Sznajd-Weron & R. Weron, 2000. "A simple model of price formation," Quantitative Finance Papers cond-mat/0101001, arXiv.org, revised Nov 2001. [Downloadable!]

Journal articles

2008

1. Weron, Rafal, 2008. "Market price of risk implied by Asian-style electricity options and futures," Energy Economics, Elsevier, vol. 30(3), pages 1098-1115, May. [Downloadable!] (restricted)
2. Weron, Rafal & Misiorek, Adam, 2008. "Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models," International Journal of Forecasting, Elsevier, vol. 24(4), pages 744-763. [Downloadable!] (restricted)

2006

1. Anna Chernobai & Krzysztof Burnecki & Svetlozar Rachev & Stefan Trück & Rafał Weron, 2006. "Modelling catastrophe claims with left-truncated severity distributions," Computational Statistics, Springer, vol. 21(3), pages 537-555, December. [Downloadable!] (restricted)
2. Adam Misiorek & Stefan Trueck & Rafal Weron, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 10(3). [Downloadable!]

1996

1. Weron, Rafal, 1996. "On the Chambers-Mallows-Stuck method for simulating skewed stable random variables," Statistics & Probability Letters, Elsevier, vol. 28(2), pages 165-171, June. [Downloadable!] (restricted)

This page was last updated on 2009-12-2.