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Joanna Janczura

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

Personal Details

First Name: Joanna
Middle Name:
Last Name: Janczura
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RePEc Short-ID: pja256

Email: [This author has chosen not to make the email address public]
Homepage:
Postal Address:
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Affiliation

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

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Working papers

  1. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  2. 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.
  3. 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.
  4. 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.
  5. Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011. "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports HSC/11/03, Hugo Steinhaus Center, Wroclaw University of Technology.
  6. 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.
  7. Janczura, Joanna & Weron, Rafal, 2010. "Goodness-of-fit testing for regime-switching models," MPRA Paper 22871, University Library of Munich, Germany.
  8. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
  9. 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.
  10. 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.
  11. 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.
  12. 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.
  13. Janczura, Joanna & Wyłomańska, Agnieszka, 2009. "Subdynamics of financial data from fractional Fokker-Planck equation," MPRA Paper 30649, University Library of Munich, Germany.
  14. Joanna Janczura & Aleksander Weron, 2008. "Modelling energy forward prices," HSC Research Reports HSC/08/03, Hugo Steinhaus Center, Wroclaw University of Technology.

Articles

  1. 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.
  2. Janczura, Joanna & Orzeł, Sebastian & Wyłomańska, Agnieszka, 2011. "Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4379-4387.
  3. 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.

Software components

  1. Joanna Janczura, 2012. "HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM)," HSC Software M12004, Hugo Steinhaus Center, Wroclaw University of Technology.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. 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.
  12. 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.

NEP Fields

13 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CMP: Computational Economics (1) 2010-11-20
  2. NEP-ECM: Econometrics (6) 2010-06-04 2010-11-20 2011-08-15 2011-10-09 2011-10-09 2012-06-13. Author is listed
  3. NEP-ENE: Energy Economics (10) 2009-11-27 2010-02-20 2010-06-26 2010-11-20 2011-02-26 2011-08-15 2011-10-09 2011-10-09 2012-04-03 2012-06-13. Author is listed
  4. NEP-ETS: Econometric Time Series (2) 2010-06-04 2011-10-09
  5. NEP-FMK: Financial Markets (1) 2012-04-03
  6. NEP-IAS: Insurance Economics (1) 2010-10-09
  7. NEP-ORE: Operations Research (3) 2010-10-09 2010-11-20 2011-10-09
  8. NEP-RMG: Risk Management (3) 2010-10-09 2011-02-26 2011-10-09

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