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Information about:
Rafal Weron
(Rafał Weron)

Personal Details | Affiliation | Works
This is information that was supplied by Rafal Weron in registering through RePEc. If you are Rafal Weron , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Rafal
Middle Name:
Last Name: Weron
Suffix:

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

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Borak, Szymon & Weron, Rafal, 2008. "A semiparametric factor model for electricity forward curve dynamics," MPRA Paper 10421, University Library of Munich, Germany. [Downloadable!]
    Other versions:

  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!]
    Published as:

  3. Weron, Rafal, 2008. "Heavy-tails and regime-switching in electricity prices," MPRA Paper 10424, University Library of Munich, Germany. [Downloadable!]

  4. 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!]
    Other versions:

  5. 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!]

  6. 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!]

  7. 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!]

  8. 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!]

  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!]

  10. Michael Bierbrauer & Stefan Trueck & Rafal Weron, 2005. "Modeling electricity prices with regime switching models," Econometrics 0502005, EconWPA. [Downloadable!]

  11. Rafal Weron & Ingve Simonsen, 2005. "Blackouts, risk, and fat-tailed distributions," Risk and Insurance 0510001, EconWPA. [Downloadable!]

  12. Krzysztof Burnecki & Rafal Weron, 2005. "Modeling the risk process in the XploRe computing environment," Risk and Insurance 0502001, EconWPA. [Downloadable!]

  13. Ewa Broszkiewicz-Suwaj & Andrzej Makagon & Rafal Weron & Agnieszka Wylomanska, 2005. "On detecting and modeling periodic correlation in financial data," Econometrics 0502006, EconWPA. [Downloadable!]

  14. Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, EconWPA. [Downloadable!]

  15. Rafal Weron & Adam Misiorek, 2005. "Forecasting Spot Electricity Prices With Time Series Models," Econometrics 0504001, EconWPA. [Downloadable!]

  16. Szymon Borak & Wolfgang Härdle & Rafal Weron, 2005. "Stable Distributions," SFB 649 Discussion Papers SFB649DP2005-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]

  17. Rafal Weron & Adam Misiorek, 2005. "Modeling and forecasting electricity loads: A comparison," Econometrics 0502004, EconWPA. [Downloadable!]

  18. 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!]

  19. Rafal Weron & Ingve Simonsen & Piotr Wilman, 2003. "Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market," Econometrics 0303007, EconWPA. [Downloadable!]

  20. Rafal Weron, 2003. "Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime," Econometrics 0305003, EconWPA. [Downloadable!]

  21. Katarzyna Sznajd-Weron & Rafal Weron, 2003. "How effective is advertising in duopoly markets?," Public Economics 0306005, EconWPA. [Downloadable!]
    Other versions:

  22. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany. [Downloadable!]

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

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

Articles

  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)
    Other versions:

  3. 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!]

  4. 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)

  5. 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)

  6. RePEc:bep:sndecm:10:2006:3:1362-1362 is not listed on IDEAS

NEP Fields

20 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (2) 2005-04-16 2005-04-16
  2. NEP-COM: Industrial Competition (1) 2008-09-20
  3. NEP-ECM: Econometrics (5) 2005-04-16 2005-04-16 2007-01-14 2007-03-24 2008-09-20 Author is listed
  4. NEP-EEC: European Economics (1) 2006-11-25
  5. NEP-ENE: Energy Economics (13) 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 Author is listed
  6. NEP-ENV: Environmental Economics (1) 2006-11-25
  7. NEP-ETS: Econometric Time Series (7) 2003-05-18 2005-04-16 2005-04-16 2005-04-16 2005-04-16 2005-11-19 2007-03-24 Author is listed
  8. NEP-EXP: Experimental Economics (1) 2008-09-20
  9. NEP-FIN: Finance (3) 2005-04-16 2005-04-16 2005-11-19
  10. NEP-FOR: Forecasting (3) 2007-01-14 2007-03-24 2008-09-20
  11. NEP-IFN: International Finance (1) 2008-07-30
  12. NEP-MIC: Microeconomics (1) 2008-09-20
  13. NEP-MKT: Marketing (1) 2008-09-20
  14. NEP-ORE: Operations Research (1) 2008-09-20
  15. NEP-RMG: Risk Management (1) 2005-04-16
  16. NEP-SEA: South East Asia (1) 2005-04-16
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This page was last updated on 2009-12-2.

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