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Rafal Weron
(Rafał Weron)

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Personal Details

First Name: Rafal
Middle Name:
Last Name: Weron
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RePEc Short-ID: pwe42

Email:
Homepage: http://www.ioz.pwr.wroc.pl/pracownicy/weron/
Postal Address: Institute of Organization and Management, Wrocław University of Technology, Wybrzeże Wyspiańskiego 27, 50-370 Wrocław, Poland
Phone:

Affiliation

(90%) Instytut Organizacji i Zarządzania
Politechnika Wrocławska
Location: Wrocław, Poland
Homepage: http://www.ioz.pwr.wroc.pl/
Email:
Phone:
Fax:
Postal:
Handle: RePEc:edi:iopwrpl (more details at EDIRC)
(10%) Hugo Steinhaus Center for Stochastic Methods
Politechnika Wrocławska
Location: Wrocław, Poland
Homepage: http://www.im.pwr.wroc.pl/~hugo/
Email:
Phone: +48-71-3203530
Fax: +48-71-3202654
Postal: Wybrzeze Wyspianskiego 27, 50-370 Wroclaw
Handle: RePEc:edi:hspwrpl (more details at EDIRC)

Works

as in new window

Working papers

  1. Tao Hong & Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014. "Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts," HSC Research Reports HSC/14/10, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Katarzyna Maciejowska & Jakub Nowotarski & Rafal Weron, 2014. "Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging," HSC Research Reports HSC/14/09, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron, 2014. "Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach," HSC Research Reports HSC/14/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Jakub Nowotarski & Rafal Weron, 2014. "Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices," HSC Research Reports HSC/14/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron, 2014. "Modeling consumer opinions towards dynamic pricing: An agent-based approach," HSC Research Reports HSC/14/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Rangga Handika & Chi Truong & Stefan Trueck & Rafal Weron, 2014. "Modelling price spikes in electricity markets - the impact of load, weather and capacity," HSC Research Reports HSC/14/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Rafal Weron, 2014. "A review of electricity price forecasting: The past, the present and the future," HSC Research Reports HSC/14/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  9. Rafal Weron & Michal Zator, 2014. "A note on using the Hodrick-Prescott filter in electricity markets," HSC Research Reports HSC/14/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  10. Pawel Maryniak & Rafal Weron, 2014. "Forecasting the occurrence of electricity price spikes in the UK power market," HSC Research Reports HSC/14/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  11. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity prices with factor models: Utilizing intra-day and inter-zone relationships," HSC Research Reports HSC/13/11, Hugo Steinhaus Center, Wroclaw University of Technology.
  12. Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron, 2013. "Diffusion of innovation within an agent-based model: Spinsons, independence and advertising," HSC Research Reports HSC/13/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  13. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Technology, revised 15 Apr 2013.
  14. Jakub Nowotarski & Eran Raviv & Stefan Trueck & Rafal Weron, 2013. "An empirical comparison of alternate schemes for combining electricity spot price forecasts," HSC Research Reports HSC/13/07, Hugo Steinhaus Center, Wroclaw University of Technology.
  15. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology.
  16. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices," HSC Research Reports HSC/13/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  17. Katarzyna Sznajd-Weron & Janusz Szwabinski & Rafal Weron & Tomasz Weron, 2013. "Rewiring the network. What helps an innovation to diffuse?," HSC Research Reports HSC/13/09, Hugo Steinhaus Center, Wroclaw University of Technology.
  18. Jakub Nowotarski & Rafal Weron, 2013. "Computing electricity spot price prediction intervals using quantile regression and forecast averaging," HSC Research Reports HSC/13/12, Hugo Steinhaus Center, Wroclaw University of Technology.
  19. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Rafal Weron, 2013. "Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs," HSC Research Reports HSC/13/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  20. Anna Kowalska-Pyzalska & Katarzyna Maciejowska & Katarzyna Sznajd-Weron & Karol Suszczynski & Rafal Weron, 2013. "Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs," HSC Research Reports HSC/13/10, Hugo Steinhaus Center, Wroclaw University of Technology.
  21. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  22. Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  23. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
  24. Pawel Bienkowski & Krzysztof Burnecki & Joanna Janczura & Rafal Weron & Bartlomiej Zubrzak, 2012. "A new method for automated noise cancellation in electromagnetic field measurement," HSC Research Reports HSC/12/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  25. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2012. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," HSC Research Reports HSC/12/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  26. Janczura, Joanna & Weron, Rafal, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," MPRA Paper 28959, University Library of Munich, Germany.
  27. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  28. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  29. Burnecki, Krzysztof & Misiorek, Adam & Weron, Rafal, 2010. "Loss Distributions," MPRA Paper 22163, University Library of Munich, Germany.
  30. Janek, Agnieszka & Kluge, Tino & Weron, Rafal & Wystup, Uwe, 2010. "FX Smile in the Heston Model," MPRA Paper 25491, University Library of Munich, Germany.
  31. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
  32. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
  33. Janczura, Joanna & Weron, Rafal, 2010. "Modeling electricity spot prices: Regime switching models with price-capped spike distributions," MPRA Paper 23296, University Library of Munich, Germany.
  34. Burnecki, Krzysztof & Weron, Rafal, 2010. "Simulation of Risk Processes," MPRA Paper 25444, University Library of Munich, Germany.
    • Härdle, Wolfgang Karl & Burnecki, Krzysztof & Weron, Rafał, 2004. "Simulation of risk processes," Papers 2004,01, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  35. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
  36. Janczura, Joanna & Weron, Rafal, 2010. "Goodness-of-fit testing for regime-switching models," MPRA Paper 22871, University Library of Munich, Germany.
  37. Piotr Zielonka & Przemyslaw Sawicki & Rafal Weron, 2009. "Discounting of delayed payoffs (Rzecz o dyskontowaniu odroczonych wyplat)," HSC Research Reports HSC/09/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  38. Janczura, Joanna & Weron, Rafal, 2009. "Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions," MPRA Paper 18784, University Library of Munich, Germany.
  39. Weron, Rafal, 2009. "Forecasting wholesale electricity prices: A review of time series models," MPRA Paper 21299, University Library of Munich, Germany.
  40. Weron, Rafal, 2008. "Bezpieczeństwo elektroenergetyczne: Ryzyko > Zarządzanie ryzykiem > Bezpieczeństwo
    [Power security: Risk > Risk management > Security]
    ," MPRA Paper 18786, University Library of Munich, Germany, revised 2008.
  41. 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.
  42. 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.
  43. Weron, Rafal, 2008. "Heavy-tails and regime-switching in electricity prices," MPRA Paper 10424, University Library of Munich, Germany.
  44. Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany.
  45. 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.
  46. 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.
  47. Rafal Weron & Adam Misiorek, 2006. "Short-term electricity price forecasting with time series models: A review and evaluation," HSC Research Reports HSC/06/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  48. Krzysztof Burnecki & Rafal Weron, 2006. "Visualization tools for insurance risk processes," HSC Research Reports HSC/06/06, Hugo Steinhaus Center, Wroclaw University of Technology.
  49. Adam Misiorek & Rafal Weron, 2006. "Interval forecasting of spot electricity prices," HSC Research Reports HSC/06/05, Hugo Steinhaus Center, Wroclaw University of Technology.
  50. 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.
  51. 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.
  52. Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, EconWPA.
  53. Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005. "On detecting and modeling periodic correlation in financial data," Econometrics 0502006, EconWPA.
  54. Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, EconWPA.
  55. 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.
  56. Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA.
  57. Rafal Weron, 2005. "Heavy tails and electricity prices," HSC Research Reports HSC/05/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  58. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, EconWPA.
  59. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  60. Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, EconWPA.
  61. Rafal Weron & Ingve Simonsen, 2005. "Blackouts, risk, and fat-tailed distributions," Risk and Insurance 0510001, EconWPA.
  62. Simonsen, Ingve & Weron, Rafal & Mo, Birger, 2004. "Structure and stylized facts of a deregulated power market," MPRA Paper 1443, University Library of Munich, Germany.
  63. Rafal Weron, 2004. "Power markets in Poland and worldwide (Rynki energii elektrycznej w Polsce i na swiecie)," HSC Research Reports HSC/04/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  64. Rafal Weron & Slawomir Wojcik, 2004. "Principal Components Analysis in implied volatility modeling (Analiza skladowych glownych w modelowaniu implikowanej zmiennosci)," HSC Research Reports HSC/04/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  65. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt-Universität Berlin, Center for Applied Statistics and Economics (CASE).
  66. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, EconWPA.
  67. Katarzyna Sznajd-Weron & Rafal Weron, 2003. "How effective is advertising in duopoly markets?," Public Economics 0306005, EconWPA.
  68. Krzysztof Burnecki & Wolfgang Hardle & Rafal Weron, 2003. "An introduction to simulation of risk processes," HSC Research Reports HSC/03/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  69. Rafal Weron, 2003. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics 0305003, EconWPA.
  70. Rafal Weron & Michael Bierbrauer & Stefan Trück, 2003. "Modeling electricity prices: jump diffusion and regime switching," HSC Research Reports HSC/03/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  71. Rafal Weron, 2002. "Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach," HSC Research Reports HSC/02/04, Hugo Steinhaus Center, Wroclaw University of Technology.
  72. Joanna Nowicka-Zagrajek & Rafal Weron, 2002. "Modeling electricity loads in California: ARMA models with hyperbolic noise," HSC Research Reports HSC/02/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  73. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
  74. Rafal Weron, 2001. "Measuring long-range dependence in electricity prices," Papers cond-mat/0103621, arXiv.org.
  75. Rafal Weron, 2001. "Estimating long range dependence: finite sample properties and confidence intervals," HSC Research Reports HSC/01/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  76. Krzysztof Burnecki & Grzegorz Kukla & Rafal Weron, 2000. "Property insurance loss distributions," HSC Research Reports HSC/00/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  77. K. Sznajd-Weron & R. Weron, 2000. "A simple model of price formation," Papers cond-mat/0101001, arXiv.org, revised Nov 2001.
  78. Rafal Weron & Beata Przybylowicz, 2000. "Hurst analysis of electricity price dynamics," HSC Research Reports HSC/00/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  79. Rafal Weron, 2000. "Energy price risk management," HSC Research Reports HSC/00/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  80. Tomasz Garlinski & Rafal Weron, 1999. "A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia)," HSC Research Reports HSC/99/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  81. Aleksander Weron & Szymon Mercik & Rafal Weron, 1998. "Origins of the scaling behaviour in the dynamics of financial data," HSC Research Reports HSC/98/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  82. Szymon Mercik & Rafal Weron, 1998. "Scaling in currency exchange: A Conditionally Exponential Decay approach," HSC Research Reports HSC/98/02, Hugo Steinhaus Center, Wroclaw University of Technology.
  83. Katarzyna Sznajd-Weron & Rafal Weron, 1997. "Evolution in a changing environment," HSC Research Reports HSC/97/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  84. Weron, Rafal, 1996. "Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables"," MPRA Paper 20761, University Library of Munich, Germany, revised 2010.
  85. Rafal Weron, 1995. "Performance of the estimators of stable law parameters," HSC Research Reports HSC/95/01, Hugo Steinhaus Center, Wroclaw University of Technology.
  86. Wojtek Kowalczyk & Rafal Weron, 1995. "Analysis of ROBECO data by neural networks," HSC Research Reports HSC/95/02, Hugo Steinhaus Center, Wroclaw University of Technology.

Articles

  1. Kowalska-Pyzalska, Anna & Maciejowska, Katarzyna & Suszczyński, Karol & Sznajd-Weron, Katarzyna & Weron, Rafał, 2014. "Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs," Energy Policy, Elsevier, vol. 72(C), pages 164-174.
  2. Piotr Przybyła & Katarzyna Sznajd-Weron & Rafał Weron, 2014. "Diffusion Of Innovation Within An Agent-Based Model: Spinsons, Independence And Advertising," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1450004-1-1.
  3. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  4. Nowotarski, Jakub & Tomczyk, Jakub & Weron, Rafał, 2013. "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices," Energy Economics, Elsevier, vol. 39(C), pages 13-27.
  5. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, vol. 97(3), pages 239-270, July.
  6. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer, vol. 96(3), pages 385-407, July.
  7. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.
  8. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Computational Statistics, Springer, vol. 69(3), pages 457-473, July.
  9. 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.
  10. 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.
  11. Misiorek Adam & Trueck Stefan & Weron Rafal, 2006. "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(3), pages 1-36, September.
  12. 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.
  13. Weron, R & Bierbrauer, M & Trück, S, 2004. "Modeling electricity prices: jump diffusion and regime switching," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 39-48.
  14. Broszkiewicz-Suwaj, E & Makagon, A & Weron, R & Wyłomańska, A, 2004. "On detecting and modeling periodic correlation in financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 336(1), pages 196-205.
  15. Sznajd-Weron, K. & Weron, R., 2003. "How effective is advertising in duopoly markets?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 324(1), pages 437-444.
  16. Weron, Rafał, 2002. "Estimating long-range dependence: finite sample properties and confidence intervals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 312(1), pages 285-299.
  17. Weron, R. & Kozłowska, B. & Nowicka-Zagrajek, J., 2001. "Modeling electricity loads in California: a continuous-time approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 299(1), pages 344-350.
  18. Sznajd-Weron, K. & Weron, Rafał, 2001. "A new model of mass extinctions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 293(3), pages 559-565.
  19. Weron, Rafal, 2000. "Energy price risk management," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(1), pages 127-134.
  20. Weron, Rafal & Przybyłowicz, Beata, 2000. "Hurst analysis of electricity price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 283(3), pages 462-468.
  21. Burnecki, Krzysztof & Kukla, Grzegorz & Weron, Rafał, 2000. "Property insurance loss distributions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 287(1), pages 269-278.
  22. Weron, Rafal & Weron, Karina & Weron, Aleksander, 1999. "A conditionally exponential decay approach to scaling in finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 551-561.
  23. Mercik, Szymon & Weron, Rafal, 1999. "Scaling in currency exchange: a conditionally exponential decay approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 267(1), pages 239-250.
  24. Weron, Aleksander & Mercik, Szymon & Weron, Rafal, 1999. "Origins of the scaling behaviour in the dynamics of financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 264(3), pages 562-569.
  25. 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.

Software components

  1. Rafal Weron, 2014. "AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method," HSC Software M14002, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. Rafal Weron, 2014. "DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation)," HSC Software M013004, Hugo Steinhaus Center, Wroclaw University of Technology.
  3. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods," HSC Software M13002, Hugo Steinhaus Center, Wroclaw University of Technology.
  4. Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron, 2013. "The World According to Spinson (WAS): Standalone application for simulating agent-based models," HSC Software ZIP13001, Hugo Steinhaus Center, Wroclaw University of Technology.
  5. Jakub Nowotarski & Rafal Weron, 2013. "LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices"," HSC Software ZIP13002, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods," HSC Software M13003, Hugo Steinhaus Center, Wroclaw University of Technology.
  7. Jakub Nowotarski & Jakub Tomczyk & Rafal Weron, 2013. "LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods," HSC Software M13001, Hugo Steinhaus Center, Wroclaw University of Technology.
  8. Rafal Weron, 2012. "RUNNINGMEDIAN: MATLAB function to compute a running median of a time series," HSC Software M12006, Hugo Steinhaus Center, Wroclaw University of Technology.
  9. Joanna Janczura & Rafal Weron, 2012. "CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails," HSC Software M12002, Hugo Steinhaus Center, Wroclaw University of Technology.
  10. Joanna Janczura & Rafal Weron, 2012. "E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter," HSC Software M12005, Hugo Steinhaus Center, Wroclaw University of Technology.
  11. Joanna Janczura & Rafal Weron, 2012. "CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'," HSC Software M12001, Hugo Steinhaus Center, Wroclaw University of Technology.
  12. Joanna Janczura & Rafal Weron, 2011. "MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes," HSC Software M11004, Hugo Steinhaus Center, Wroclaw University of Technology.
  13. Rafal Weron, 2011. "HURST: MATLAB function to compute the Hurst exponent using R/S Analysis," HSC Software M11003, Hugo Steinhaus Center, Wroclaw University of Technology.
  14. Joanna Janczura & Rafal Weron, 2011. "MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes," HSC Software M11009, Hugo Steinhaus Center, Wroclaw University of Technology.
  15. Joanna Janczura & Rafal Weron, 2011. "PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model," HSC Software M11008, Hugo Steinhaus Center, Wroclaw University of Technology.
  16. Rafal Weron, 2011. "DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)," HSC Software M11002, Hugo Steinhaus Center, Wroclaw University of Technology.
  17. Joanna Janczura & Rafal Weron, 2011. "MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes," HSC Software M11005, Hugo Steinhaus Center, Wroclaw University of Technology.
  18. Joanna Janczura & Rafal Weron, 2011. "MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes," HSC Software M11010, Hugo Steinhaus Center, Wroclaw University of Technology.
  19. Rafal Weron, 2011. "GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)," HSC Software M11001, Hugo Steinhaus Center, Wroclaw University of Technology.
  20. Joanna Janczura & Rafal Weron, 2011. "MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes," HSC Software M11011, Hugo Steinhaus Center, Wroclaw University of Technology.
  21. Joanna Janczura & Rafal Weron, 2011. "PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model," HSC Software M11007, Hugo Steinhaus Center, Wroclaw University of Technology.
  22. Joanna Janczura & Rafal Weron, 2011. "MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes," HSC Software M11006, Hugo Steinhaus Center, Wroclaw University of Technology.
  23. Rafal Weron, 2010. "STABLERND: MATLAB function to generate random numbers from the stable distribution," Statistical Software Components M429003, Boston College Department of Economics.
  24. Szymon Borak & Rafal Weron, 2010. "STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis," Statistical Software Components M429005, Boston College Department of Economics.
  25. Rafal Weron, 2010. "MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process," Statistical Software Components M429004, Boston College Department of Economics.
  26. Agnieszka Janek & Rafal Weron, 2010. "SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model," Statistical Software Components M430009, Boston College Department of Economics.
  27. Rafal Weron, 2010. "DESEASONALIZE: MATLAB function to remove short and long term seasonal components," Statistical Software Components M429002, Boston College Department of Economics.
  28. Rafal Weron, 2010. "MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood," Statistical Software Components M429004, Boston College Department of Economics.
  29. Rafal Weron, 2010. "MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process," Statistical Software Components M429004, Boston College Department of Economics.
  30. Szymon Borak & Rafal Weron, 2010. "STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch," Statistical Software Components M429004, Boston College Department of Economics.
  31. Rafal Weron, 2010. "REMST: MATLAB function to remove trend and seasonal component using the moving average method," Statistical Software Components M429001, Boston College Department of Economics.
  32. Agnieszka Janek & Rafal Weron, 2010. "PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model," Statistical Software Components M430007, Boston College Department of Economics.
  33. Rafal Weron, 2010. "SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)," Statistical Software Components M430008, Boston College Department of Economics.
  34. Agnieszka Janek & Rafal Weron, 2010. "STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"," HSC Software ZIP10001, Hugo Steinhaus Center, Wroclaw University of Technology.
  35. Szymon Borak & Rafal Weron, 2010. "STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams," Statistical Software Components M429004, Boston College Department of Economics.
  36. Agnieszka Janek & Rafal Weron, 2010. "STF2HES: MATLAB functions for "FX smile in the Heston model"," HSC Software ZIP10002, Hugo Steinhaus Center, Wroclaw University of Technology.
  37. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model," Statistical Software Components M430006, Boston College Department of Economics.
  38. Rafal Weron, 2010. "STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT," Statistical Software Components M429004, Boston College Department of Economics.
  39. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile," Statistical Software Components M430004, Boston College Department of Economics.
  40. Agnieszka Janek & Rafal Weron, 2010. "HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999)," Statistical Software Components M430002, Boston College Department of Economics.
  41. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002)," Statistical Software Components M430005, Boston College Department of Economics.
  42. Agnieszka Janek & Rafal Weron, 2010. "GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model," Statistical Software Components M430001, Boston College Department of Economics.
  43. Agnieszka Janek & Rafal Weron, 2010. "HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model," Statistical Software Components M430003, Boston College Department of Economics.
  44. Joanna Nowicka-Zagrajek & Rafal Weron, 2008. "COR: MATLAB function to compute the correlation coefficients," HSC Software M08001, Hugo Steinhaus Center, Wroclaw University of Technology.
  45. Rafal Weron, 2007. "CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage," HSC Software M07001, Hugo Steinhaus Center, Wroclaw University of Technology.
  46. Rafal Weron & Jakub Jurdziak & Adam Misiorek, 2007. "MFE Toolbox ver. 1.0.1 for MATLAB," HSC Software ZIP00001, Hugo Steinhaus Center, Wroclaw University of Technology.
  47. Rafal Weron, 2006. "PERIODOG: MATLAB function to compute and plot the periodogram of a time series," HSC Software M06001, Hugo Steinhaus Center, Wroclaw University of Technology.

Books

  1. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2011. "Statistical Tools for Finance and Insurance (2nd edition)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook1101.
  2. Rafal Weron, 2006. "Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0601.
  3. Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2005. "Statistical Tools for Finance and Insurance," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0501.
  4. Aleksander Weron & Rafal Weron, 2000. "Power Exchange: Risk management strategies (Gielda Energii: Strategie zarzadzania ryzykiem)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook0001.
  5. Aleksander Weron & Rafal Weron, 1998. "Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9801.

Editor

  1. HSC Research Reports, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. HSC Software, Hugo Steinhaus Center, Wroclaw University of Technology.

NEP Fields

59 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CDM: Collective Decision-Making (1) 2013-10-25
  2. NEP-CMP: Computational Economics (13) 2005-04-16 2005-04-16 2010-10-02 2010-10-09 2010-10-23 2010-10-23 2010-11-20 2013-03-16 2013-05-24 2013-11-16 2014-03-15 2014-03-15 2014-05-09. Author is listed
  3. NEP-COM: Industrial Competition (1) 2008-09-20
  4. NEP-ECM: Econometrics (16) 2005-04-16 2005-04-16 2007-01-14 2007-03-24 2008-09-20 2010-05-02 2010-06-04 2010-10-09 2010-11-20 2011-08-15 2011-10-09 2012-06-13 2014-01-10 2014-03-15 2014-07-13 2014-08-02. Author is listed
  5. NEP-EEC: European Economics (1) 2006-11-25
  6. NEP-ENE: Energy Economics (40) 2003-03-19 2005-04-16 2005-04-16 2005-04-16 2005-04-16 2006-11-25 2007-01-14 2007-03-24 2007-09-09 2008-07-30 2008-09-20 2008-09-20 2008-09-20 2009-11-27 2010-02-20 2010-06-26 2010-11-20 2011-02-26 2011-08-15 2011-10-09 2011-10-09 2012-06-13 2012-11-17 2012-11-24 2013-03-02 2013-03-02 2013-05-24 2013-08-31 2013-10-11 2013-11-16 2014-01-10 2014-01-10 2014-03-15 2014-03-15 2014-03-15 2014-03-30 2014-05-09 2014-05-24 2014-05-24 2014-07-13. Author is listed
  7. NEP-ENV: Environmental Economics (2) 2006-11-25 2013-05-24
  8. NEP-ETS: Econometric Time Series (9) 2003-05-18 2005-04-16 2005-04-16 2005-04-16 2005-04-16 2005-11-19 2007-03-24 2010-06-04 2012-11-17. Author is listed
  9. NEP-EXP: Experimental Economics (1) 2008-09-20
  10. NEP-FIN: Finance (3) 2005-04-16 2005-04-16 2005-11-19
  11. NEP-FMK: Financial Markets (1) 2010-10-09
  12. NEP-FOR: Forecasting (16) 2007-01-14 2007-03-24 2008-09-20 2012-11-17 2012-11-24 2013-03-02 2013-03-02 2013-08-31 2014-01-10 2014-01-10 2014-03-15 2014-03-15 2014-03-30 2014-05-24 2014-07-13 2014-08-02. Author is listed
  13. NEP-HME: Heterodox Microeconomics (2) 2013-05-24 2014-03-15
  14. NEP-IAS: Insurance Economics (3) 2010-05-02 2010-10-02 2010-10-09
  15. NEP-INO: Innovation (2) 2013-03-16 2013-10-25
  16. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2013-10-25
  17. NEP-MIC: Microeconomics (1) 2008-09-20
  18. NEP-MKT: Marketing (4) 2008-09-20 2013-03-16 2013-05-24 2014-05-09
  19. NEP-NET: Network Economics (1) 2013-10-25
  20. NEP-ORE: Operations Research (7) 2008-09-20 2010-10-02 2010-10-09 2010-10-09 2010-11-20 2011-10-09 2014-01-10. Author is listed
  21. NEP-REG: Regulation (2) 2013-05-24 2013-08-31
  22. NEP-RMG: Risk Management (6) 2005-04-16 2010-05-02 2010-10-02 2010-10-09 2011-02-26 2011-10-09. Author is listed
  23. NEP-SEA: South East Asia (1) 2005-04-16
  24. NEP-SOC: Social Norms & Social Capital (1) 2013-10-25
  25. NEP-URE: Urban & Real Estate Economics (1) 2013-10-25

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This author is among the top 5% authors according to these criteria:
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