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Aleksander Weron

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Marcin Magdziarz & Sebastian Orzel & Aleksander Weron, 2011. "Option pricing in subdiffusive Bachelier model," HSC Research Reports HSC/11/05, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
    2. Shchestyuk, Nataliya & Tyshchenkob, Sergii, 2024. "Subdiffusive option price model with Inverse Gaussian subordinator," Working Papers 2024:1, Örebro University, School of Business.
    3. Kerger, Phillip & Kobayashi, Kei, 2020. "Parameter estimation for one-sided heavy-tailed distributions," Statistics & Probability Letters, Elsevier, vol. 164(C).
    4. Lv, Longjin & Xiao, Jianbin & Fan, Liangzhong & Ren, Fuyao, 2016. "Correlated continuous time random walk and option pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 447(C), pages 100-107.
    5. Kevin Z. Tong & Allen Liu, 2019. "Option pricing in a subdiffusive constant elasticity of variance (CEV) model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(02), pages 1-21, June.

  2. Sebastian Orzel & Aleksander Weron, 2009. "Calibration of the subdiffusive Black–Scholes model," HSC Research Reports HSC/09/02, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Sebastian, Orzeł & Agnieszka, Wyłomańska, 2010. "Calibration of the subdiffusive arithmetic Brownian motion with tempered stable waiting-times," MPRA Paper 28593, University Library of Munich, Germany.
    2. Grzegorz Krzy.zanowski & Marcin Magdziarz & {L}ukasz P{l}ociniczak, 2019. "A weighted finite difference method for subdiffusive Black Scholes Model," Papers 1907.00297, arXiv.org, revised Apr 2020.

  3. Ewa Broszkiewicz-Suwaj & Aleksander Weron, 2005. "Calibration of the multifactor HJM model for energy market," HSC Research Reports HSC/05/03, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Joanna Janczura & Aleksander Weron, 2008. "Modelling energy forward prices," HSC Research Reports HSC/08/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. Fred Espen Benth & Marco Piccirilli & Tiziano Vargiolu, 2017. "Additive energy forward curves in a Heath-Jarrow-Morton framework," Papers 1709.03310, arXiv.org, revised Jun 2018.
    3. Valerii Maltsev & Michael Pokojovy, 2021. "Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates," Mathematics, MDPI, vol. 9(2), pages 1-25, January.

  4. Krzysztof Burnecki & Joanna Nowicka-Zagrajek & Aleksander Weron, 2004. "Pure risk premiums under deductibles. A quantitative management in actuarial practice," HSC Research Reports HSC/04/05, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Julie Thøgersen, 2016. "Optimal Premium as a Function of the Deductible: Customer Analysis and Portfolio Characteristics," Risks, MDPI, vol. 4(4), pages 1-19, November.

  5. Krzysztof Burnecki & Pawel Mista & Aleksander Weron, 2003. "A new De Vylder type approximation of the ruin probability in infinite time," HSC Research Reports HSC/03/05, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. David J. Santana & Juan González-Hernández & Luis Rincón, 2017. "Approximation of the Ultimate Ruin Probability in the Classical Risk Model Using Erlang Mixtures," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 775-798, September.

  6. Krzysztof Burnecki & Agnieszka Marciniuk & Aleksander Weron, 2002. "On annuities under random rates of interest," HSC Research Reports HSC/02/01, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. 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.
    2. Agnieszka Marciniuk, 2021. "Equity Release Contracts with Varying Payments," Prague Economic Papers, Prague University of Economics and Business, vol. 2021(5), pages 552-574.

  7. Joanna Nowicka-Zagrajek & Aleksander Weron, 2001. "Dependence structure of stable R-GARCH processes," HSC Research Reports HSC/01/02, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Sampaio, Jhames M. & Morettin, Pedro A., 2020. "Stable Randomized Generalized Autoregressive Conditional Heteroskedastic Models," Econometrics and Statistics, Elsevier, vol. 15(C), pages 67-83.
    2. Degiannakis, Stavros & Xekalaki, Evdokia, 2004. "Autoregressive Conditional Heteroskedasticity (ARCH) Models: A Review," MPRA Paper 80487, University Library of Munich, Germany.

  8. 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.

    Cited by:

    1. Bucsa, G. & Jovanovic, F. & Schinckus, C., 2011. "A unified model for price return distributions used in econophysics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(20), pages 3435-3443.
    2. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.
    3. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034, Decembrie.
    4. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.

  9. Krzysztof Burnecki & Makoto Maejima & Aleksander Weron, 1997. "The Lamperti transformation for self-similar processes," HSC Research Reports HSC/97/02, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Magdziarz, Marcin, 2009. "Correlation cascades, ergodic properties and long memory of infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3416-3434, October.
    2. Makoto Maejima & Ken-iti Sato, 1999. "Semi-Selfsimilar Processes," Journal of Theoretical Probability, Springer, vol. 12(2), pages 347-373, April.
    3. Fernández-Martínez, M. & Sánchez-Granero, M.A. & Trinidad Segovia, J.E., 2013. "Measuring the self-similarity exponent in Lévy stable processes of financial time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(21), pages 5330-5345.
    4. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.

  10. Krzysztof Burnecki & Jan Rosinski & Aleksander Weron, 1997. "Spectral representation and structure of self-similar processes," HSC Research Reports HSC/97/03, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Wang, Yizao & Stoev, Stilian A., 2010. "On the association of sum- and max-stable processes," Statistics & Probability Letters, Elsevier, vol. 80(5-6), pages 480-488, March.
    2. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.

  11. Aleksander Janicki & Zbigniew Michna & Aleksander Weron, 1996. "Approximation of stochastic differential equations driven by alpha-stable Levy motion," HSC Research Reports HSC/96/02, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Chen, Peng & Deng, Chang-Song & Schilling, René L. & Xu, Lihu, 2023. "Approximation of the invariant measure of stable SDEs by an Euler–Maruyama scheme," Stochastic Processes and their Applications, Elsevier, vol. 163(C), pages 136-167.
    2. Valentin Konakov & Stéphane Menozzi, 2011. "Weak Error for Stable Driven Stochastic Differential Equations: Expansion of the Densities," Journal of Theoretical Probability, Springer, vol. 24(2), pages 454-478, June.

  12. Aleksander Janicki & Aleksander Weron, 1994. "Can One See Alpha-stable Variables and Processes?," HSC Research Reports HSC/94/01, Hugo Steinhaus Center, Wroclaw University of Technology.

    Cited by:

    1. Aleksander Janicki & Zbigniew Michna & Aleksander Weron, 1996. "Approximation of stochastic differential equations driven by alpha-stable Levy motion," HSC Research Reports HSC/96/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    3. Borak, Szymon & Misiorek, Adam & Weron, Rafal, 2010. "Models for Heavy-tailed Asset Returns," MPRA Paper 25494, University Library of Munich, Germany.
    4. Grzegorz Krzy.zanowski & Marcin Magdziarz, 2020. "A computational weighted finite difference method for American and barrier options in subdiffusive Black-Scholes model," Papers 2003.05358, arXiv.org, revised Dec 2020.
    5. Janicki, Aleksander & Weron, Aleksander, 1995. "Computer simulation of attractors in stochastic models with α-stable noise," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(1), pages 9-19.
    6. Liu, He & Song, Wanqing & Li, Ming & Kudreyko, Aleksey & Zio, Enrico, 2020. "Fractional Lévy stable motion: Finite difference iterative forecasting model," Chaos, Solitons & Fractals, Elsevier, vol. 133(C).
    7. Weron, Rafał, 2004. "Computationally intensive Value at Risk calculations," Papers 2004,32, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    8. Shibin Zhang, 2011. "Transition Law-based Simulation of Generalized Inverse Gaussian Ornstein–Uhlenbeck Processes," Methodology and Computing in Applied Probability, Springer, vol. 13(3), pages 619-656, September.

Articles

  1. Magdalena Borgosz-Koczwara & Aleksander Weron & Agnieszka Wyłomańska, 2009. "Stochastic models for bidding strategies on oligopoly electricity market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 579-592, July.

    Cited by:

    1. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Technology.
    2. Alexandre Lucas & Konstantinos Pegios & Evangelos Kotsakis & Dan Clarke, 2020. "Price Forecasting for the Balancing Energy Market Using Machine-Learning Regression," Energies, MDPI, vol. 13(20), pages 1-16, October.
    3. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.

  2. Burnecki, Krzysztof & Klafter, Joseph & Magdziarz, Marcin & Weron, Aleksander, 2008. "From solar flare time series to fractional dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(5), pages 1077-1087.

    Cited by:

    1. Rafał Weron, 2009. "Heavy-tails and regime-switching in electricity prices," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 69(3), pages 457-473, July.
    2. Graves, Timothy & Franzke, Christian L.E. & Watkins, Nicholas W. & Gramacy, Robert B. & Tindale, Elizabeth, 2017. "Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 60-71.

  3. Burnecki, Krzysztof & Marciniuk, Agnieszka & Weron, Aleksander, 2003. "Annuities under random rates of interest--revisited," Insurance: Mathematics and Economics, Elsevier, vol. 32(3), pages 457-460, July.

    Cited by:

    1. Pilar Valencia-DeLara & Alberto Ramírez-Ceballos, 2012. "A tool applicable to the payment of credits for projects of agricultural crops with different income levels," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 58(5), pages 231-221.
    2. Date, P. & Mamon, R. & Wang, I.C., 2007. "Valuation of cash flows under random rates of interest: A linear algebraic approach," Insurance: Mathematics and Economics, Elsevier, vol. 41(1), pages 84-95, July.
    3. Date, P. & Mamon, R. & Jalen, L. & Wang, I.C., 2010. "A linear algebraic method for pricing temporary life annuities and insurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 47(1), pages 98-104, August.

  4. 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.

    Cited by:

    1. Mercik, Szymon & Weron, Rafal, 2002. "Origins of scaling in FX markets," MPRA Paper 2294, University Library of Munich, Germany.

  5. 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.
    See citations under working paper version above.
  6. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.

    Cited by:

    1. Yuchao Dong & Jérôme Spielmann, 2020. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Post-Print hal-02170829, HAL.
    2. Pawel Mista, 2006. "Analytical and numerical approach to corporate operational risk modelling," HSC Research Reports HSC/06/03, Hugo Steinhaus Center, Wroclaw University of Technology.
    3. Michna, Zbigniew, 2011. "Formula for the supremum distribution of a spectrally positive [alpha]-stable Lévy process," Statistics & Probability Letters, Elsevier, vol. 81(2), pages 231-235, February.
    4. Kolkovska, Ekaterina T. & Martín-González, Ehyter M., 2016. "Gerber–Shiu functionals for classical risk processes perturbed by an α-stable motion," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 22-28.
    5. Dong, Y. & Spielmann, J., 2020. "Weak limits of random coefficient autoregressive processes and their application in ruin theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 1-11.
    6. Stefan Ankirchner & Christophette Blanchet-Scalliet & Nabil Kazi-Tani, 2019. "The De Vylder-Goovaerts conjecture holds true within the diffusion limit," Post-Print hal-01887402, HAL.
    7. Krzysztof Burnecki & Mario Nicoló Giuricich, 2017. "Stable Weak Approximation at Work in Index-Linked Catastrophe Bond Pricing," Risks, MDPI, vol. 5(4), pages 1-19, December.
    8. Scalas, Enrico, 2006. "The application of continuous-time random walks in finance and economics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 362(2), pages 225-239.
    9. Yuchao Dong & J'er^ome Spielmann, 2019. "Weak Limits of Random Coefficient Autoregressive Processes and their Application in Ruin Theory," Papers 1907.01828, arXiv.org, revised Feb 2020.
    10. Krzysztof Burnecki, 1998. "Self-similar models in risk theory," HSC Research Reports HSC/98/03, Hugo Steinhaus Center, Wroclaw University of Technology.

  7. Janicki, Aleksander & Weron, Aleksander, 1995. "Computer simulation of attractors in stochastic models with α-stable noise," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 39(1), pages 9-19.

    Cited by:

    1. Janusz Gajda & Aleksandra Grzesiek & Agnieszka Wyłomańska, 2023. "Ornstein - Uhlenbeck Process Driven By $$\alpha$$ α -stable Process and Its Gamma Subordination," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-17, March.

  8. Leskow, Jacek & Weron, Aleksander, 1992. "Ergodic behavior and estimation for periodically correlated processes," Statistics & Probability Letters, Elsevier, vol. 15(4), pages 299-304, November.

    Cited by:

    1. Mitra Ghanbarzadeh & Mina Aminghafari, 2016. "A Wavelet Characterization of Continuous-Time Periodically Correlated Processes with Application to Simulation," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(6), pages 741-762, November.

  9. Suchanecki, Zdzisław & Weron, Aleksander, 1990. "Characterizations of intrinsically random dynamical systems," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 166(2), pages 220-228.

    Cited by:

    1. Suchanecki, Zdzislaw, 1992. "On lambda and internal time operators," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 187(1), pages 249-266.

  10. Cambanis, Stamatis & Hardin, Clyde D. & Weron, Aleksander, 1987. "Ergodic properties of stationary stable processes," Stochastic Processes and their Applications, Elsevier, vol. 24(1), pages 1-18, February.

    Cited by:

    1. Mathias Mørck Ljungdahl & Mark Podolskij, 2022. "Multidimensional parameter estimation of heavy‐tailed moving averages," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 593-624, June.
    2. Andreas Basse-O'Connor & Mark Podolskij, 2015. "On critical cases in limit theory for stationary increments Lévy driven moving averages," CREATES Research Papers 2015-57, Department of Economics and Business Economics, Aarhus University.
    3. Mazur, Stepan & Otryakhin, Dmitry & Podolskij, Mark, 2018. "Estimation of the linear fractional stable motion," Working Papers 2018:3, Örebro University, School of Business.
    4. Magdziarz, Marcin, 2009. "Correlation cascades, ergodic properties and long memory of infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3416-3434, October.
    5. Wang, Yizao & Stoev, Stilian A. & Roy, Parthanil, 2012. "Decomposability for stable processes," Stochastic Processes and their Applications, Elsevier, vol. 122(3), pages 1093-1109.
    6. Andreas Basse-O'Connor & Raphaël Lachièze-Rey & Mark Podolskij, 2015. "Limit theorems for stationary increments Lévy driven moving averages," CREATES Research Papers 2015-56, Department of Economics and Business Economics, Aarhus University.
    7. Mathias Mørck Ljungdahl & Mark Podolskij, 2020. "A minimal contrast estimator for the linear fractional stable motion," Statistical Inference for Stochastic Processes, Springer, vol. 23(2), pages 381-413, July.
    8. Stilian Stoev & Murad S. Taqqu, 2005. "Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 211-249, March.
    9. Rybaczuk, M. & Weron, K., 1989. "Linearly coupled quantum oscillators with Lévy stable noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 160(3), pages 519-526.
    10. Hsing, Tailen, 1995. "Limit theorems for stable processes with application to spectral density estimation," Stochastic Processes and their Applications, Elsevier, vol. 57(1), pages 39-71, May.
    11. Kabluchko, Zakhar & Schlather, Martin, 2010. "Ergodic properties of max-infinitely divisible processes," Stochastic Processes and their Applications, Elsevier, vol. 120(3), pages 281-295, March.
    12. Stoev, Stilian A., 2008. "On the ergodicity and mixing of max-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1679-1705, September.

Books

  1. Aleksander Janicki & Aleksander Weron, 1994. "Simulation and Chaotic Behavior of Alpha-stable Stochastic Processes," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook9401.

    Cited by:

    1. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-777, April.
    2. 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 University of Berlin, Center for Applied Statistics and Economics (CASE).
    3. Makoto Maejima & Gennady Samorodnitsky, 1999. "Certain Probabilistic Aspects of Semistable Laws," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 51(3), pages 449-462, September.
    4. Krzysztof Szczepaniec & Bartłomiej Dybiec, 2013. "Non-Gaussian, non-dynamical stochastic resonance," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 86(11), pages 1-6, November.
    5. 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.
    6. Weron, Karina & Kotulski, Marcin, 1996. "On the Cole-Cole relaxation function and related Mittag-Leffler distribution," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 232(1), pages 180-188.
    7. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
    8. Kruczek, Piotr & Wyłomańska, Agnieszka & Teuerle, Marek & Gajda, Janusz, 2017. "The modified Yule-Walker method for α-stable time series models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 469(C), pages 588-603.
    9. Zsolt Bihary & Péter Csóka & Dávid Zoltán Szabó, 2020. "Spectral risk measure of holding stocks in the long run," Annals of Operations Research, Springer, vol. 295(1), pages 75-89, December.
    10. Telesca, Luciano & Lovallo, Michele & Mohamed, Abuo El-Ela Amin & ElGabry, Mohamed & El-hady, Sherif & Elenean, Kamal M. Abou & ElBary, Rafaat ElShafey Fat, 2012. "Informational analysis of seismic sequences by applying the Fisher Information Measure and the Shannon entropy: An application to the 2004–2010 seismicity of Aswan area (Egypt)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2889-2897.
    11. Krzysztof Burnecki & Rafal Weron, 2006. "Visualization tools for insurance risk processes," HSC Research Reports HSC/06/06, Hugo Steinhaus Center, Wroclaw University of Technology.
    12. Dennis Frestad & Fred Espen Benth & Steen Koekebakker, 2010. "Modeling Term Structure Dynamics in the Nordic Electricity Swap Market," The Energy Journal, , vol. 31(2), pages 53-86, April.
    13. Telesca, Luciano & Lovallo, Michele & Ramirez-Rojas, Alejandro & Angulo-Brown, Fernando, 2009. "A nonlinear strategy to reveal seismic precursory signatures in earthquake-related self-potential signals," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(10), pages 2036-2040.
    14. Foad Shokrollahi & Marcin Marcin Magdziarz, 2020. "Equity warrant pricing under subdiffusive fractional Brownian motion of the short rate," Papers 2007.12228, arXiv.org, revised Nov 2020.
    15. Xuekang Zhang & Huisheng Shu & Haoran Yi, 2023. "Parameter Estimation for Ornstein–Uhlenbeck Driven by Ornstein–Uhlenbeck Processes with Small Lévy Noises," Journal of Theoretical Probability, Springer, vol. 36(1), pages 78-98, March.
    16. Rafal Weron, 2005. "Market price of risk implied by Asian-style electricity options," Econometrics 0502003, University Library of Munich, Germany.
    17. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(2), pages 99-128, May.
    18. Furrer, Hansjorg & Michna, Zbigniew & Weron, Aleksander, 1997. "Stable Lévy motion approximation in collective risk theory," Insurance: Mathematics and Economics, Elsevier, vol. 20(2), pages 97-114, September.
    19. Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
    20. Aleksander Janicki & Zbigniew Michna & Aleksander Weron, 1996. "Approximation of stochastic differential equations driven by alpha-stable Levy motion," HSC Research Reports HSC/96/02, Hugo Steinhaus Center, Wroclaw University of Technology.
    21. Lovallo, Michele & Pierini, Jorge O. & Telesca, Luciano, 2012. "Power spectrum and Fisher–Shannon information plane analysis of tidal records," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(20), pages 4711-4719.
    22. Magdziarz, Marcin, 2008. "Fractional Ornstein–Uhlenbeck processes. Joseph effect in models with infinite variance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 123-133.
    23. Liuren Wu, 2006. "Dampened Power Law: Reconciling the Tail Behavior of Financial Security Returns," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1445-1474, May.
    24. Eliazar, Iddo & Cohen, Morrel H., 2015. "A pentatonic classification of extreme events," Chaos, Solitons & Fractals, Elsevier, vol. 74(C), pages 3-14.
    25. Katarzyna Sznajd-Weron & Rafal Weron, 1997. "Evolution in a changing environment," HSC Research Reports HSC/97/01, Hugo Steinhaus Center, Wroclaw University of Technology.
    26. 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.
    27. John C. Frain, 2007. "Small sample power of tests of normality when the alternative is an alpha-stable distribution," Trinity Economics Papers tep0207, Trinity College Dublin, Department of Economics.
    28. Telesca, Luciano & Lovallo, Michele & Alcaz, Vasile & Ilies, Ion, 2015. "Site-dependent organization structure of seismic microtremors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 541-547.
    29. Telesca, Luciano & Lovallo, Michele & Alcaz, Vasile & Ilies, Ion, 2014. "Investigating the inner time properties of seismograms by using the Fisher Information Measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 409(C), pages 154-161.
    30. {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Papers 2107.07142, arXiv.org.
    31. Weron, Rafał & Burnecki, Krzysztof, 2004. "Modeling the risk process in the XploRe computing environment," Papers 2004,08, Humboldt University of Berlin, Center for Applied Statistics and Economics (CASE).
    32. Adam Misiorek & Rafal Weron, 2010. "Heavy-tailed distributions in VaR calculations," HSC Research Reports HSC/10/05, Hugo Steinhaus Center, Wroclaw University of Technology.
    33. Enrico Scalas & Rudolf Gorenflo & Francesco Mainardi, 2004. "Fractional calculus and continuous-time finance," Finance 0411007, University Library of Munich, Germany.
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