Rafał Weron
#142,235
Most Influential Person Now
Polish economist and mathematician
Rafał Weron's AcademicInfluence.com Rankings
Rafał Weroneconomics Degrees
Economics
#3099
World Rank
#3513
Historical Rank
Econometrics
#81
World Rank
#83
Historical Rank
Rafał Weronmathematics Degrees
Mathematics
#6705
World Rank
#9236
Historical Rank
Control Theory
#39
World Rank
#42
Historical Rank
Statistics
#666
World Rank
#751
Historical Rank
Measure Theory
#1531
World Rank
#1904
Historical Rank
Download Badge
Economics Mathematics
Rafał Weron's Degrees
- PhD Mathematics Wrocław University of Science and Technology
Why Is Rafał Weron Influential?
(Suggest an Edit or Addition)Rafał Weron's Published Works
Number of citations in a given year to any of this author's works
Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author
Published Works
- Electricity price forecasting: A review of the state-of-the-art with a look into the future (2014) (1121)
- Modeling and Forecasting Electricity Loads and Prices: A Statistical Approach (2006) (872)
- Statistical Tools for Finance and Insurance (2003) (388)
- Estimating long range dependence: finite sample properties and confidence intervals (2001) (364)
- Forecasting spot electricity prices: A comparison of parametric and semiparametric time series models (2008) (360)
- Recent advances in electricity price forecasting: A review of probabilistic forecasting (2016) (324)
- Correction to: "On the Chambers–Mallows–Stuck Method for Simulating Skewed Stable Random Variables" (1996) (287)
- Modelling Electricity Prices: Jump Diffusion and Regime Switching (2004) (270)
- Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models (2006) (241)
- Probabilistic Load Forecasting via Quantile Regression Averaging on Sister Forecasts (2017) (230)
- An empirical comparison of alternate regime-switching models or electricity spot prices (2010) (215)
- Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling (2012) (194)
- Modeling and Forecasting Electricity Loads and Prices (2006) (172)
- Levy-stable distributions revisited: tail index > 2 does not exclude the Levy-stable regime (2001) (156)
- Modeling electricity loads in California: ARMA models with hyperbolic noise (2001) (152)
- Energy Forecasting: A Review and Outlook (2020) (147)
- Probabilistic forecasting of electricity spot prices using Factor Quantile Regression Averaging (2016) (131)
- Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate modeling frameworks (2018) (122)
- An Empirical Comparison of Alternate Schemes for Combining Electricity Spot Price Forecasts (2013) (122)
- Computing electricity spot price prediction intervals using quantile regression and forecast averaging (2015) (119)
- Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market (2004) (117)
- Hurst analysis of electricity price dynamics (2000) (117)
- Heavy-tails and regime-switching in electricity prices (2009) (115)
- Computer simulation of Lévy α-stable variables and processes (1995) (105)
- Modeling Electricity Prices with Regime Switching Models (2004) (103)
- FORECASTING SPOT ELECTRICITY PRICES WITH TIME SERIES MODELS (2005) (102)
- Improving short term load forecast accuracy via combining sister forecasts (2016) (101)
- Energy price risk management (2000) (101)
- Efficient estimation of Markov regime-switching models: An application to electricity spot prices (2012) (97)
- Forecasting day-ahead electricity prices: A review of state-of-the-art algorithms, best practices and an open-access benchmark (2020) (91)
- Variance Stabilizing Transformations for Electricity Spot Price Forecasting (2018) (90)
- On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks (2019) (89)
- A SIMPLE MODEL OF PRICE FORMATION (2000) (84)
- Automated Variable Selection and Shrinkage for Day-Ahead Electricity Price Forecasting (2016) (84)
- Outlier Treatment and Robust Approaches for Modeling Electricity Spot Prices (2007) (82)
- Computationally intensive Value at Risk calculations (2004) (81)
- Market price of risk implied by Asian-style electricity options (2005) (81)
- On detecting and modeling periodic correlation in financial data (2004) (80)
- Convenience Yields for Co2 Emission Allowance Futures Contracts (2006) (79)
- Revisiting the relationship between spot and futures prices in the Nord Pool electricity market (2014) (75)
- Turning green: Agent-based modeling of the adoption of dynamic electricity tariffs (2014) (74)
- Understanding intraday electricity markets: Variable selection and very short-term price forecasting using LASSO (2018) (73)
- LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices" (2013) (73)
- On the importance of the long-term seasonal component in day-ahead electricity price forecasting (2016) (71)
- How effective is advertising in duopoly markets (2002) (68)
- Fractal market hypothesis and two power-laws (2000) (67)
- Models for Heavy-tailed Asset Returns (2010) (67)
- Property insurance loss distributions (2000) (61)
- A Note on Averaging Day-Ahead Electricity Price Forecasts Across Calibration Windows (2019) (55)
- FX Smile in the Heston Model (2010) (55)
- Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices (2016) (53)
- Loss Distributions (2019) (50)
- Short-term electricity price forecasting with time series models: A review and evaluation (2006) (47)
- Measuring long-range dependence in electricity prices (2001) (46)
- Short- and Mid-Term Forecasting of Baseload Electricity Prices in the U.K.: The Impact of Intra-Day Price Relationships and Market Fundamentals (2016) (45)
- Modeling electricity loads in California: a continuous-time approach (2001) (43)
- Heavy tails and electricity prices (2005) (41)
- Noninvasive measurement of intracranial pressure: is it possible? (2007) (40)
- Supraclavicular Approach Is an Easy and Safe Method of Subclavian Vein Catheterization Even in Mechanically Ventilated Patients: Analysis of 370 Attempts (2009) (40)
- Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions (2009) (40)
- Modelling catastrophe claims with left-truncated severity distributions (2006) (39)
- A look into the future of electricity (spot) price forecasting (2014) (37)
- Selection of Calibration Windows for Day-Ahead Electricity Price Forecasting (2018) (37)
- A Semiparametric Factor Model for Electricity Forward Curve Dynamics (2008) (35)
- A note on using the Hodrick-Prescott filter in electricity markets (2014) (35)
- Is the Person-Situation Debate Important for Agent-Based Modeling and Vice-Versa? (2014) (34)
- Associations between intracranial pressure, intraocular pressure and mean arterial pressure in patients with traumatic and non-traumatic brain injuries. (2009) (33)
- Efficient Forecasting of Electricity Spot Prices with Expert and LASSO Models (2018) (33)
- Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill (2019) (32)
- CED model for asset returns and fractal market hypothesis (1999) (32)
- Black swans or dragon-kings? A simple test for deviations from the power law (2011) (32)
- Building loss models (2010) (30)
- Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships (2015) (28)
- Regularized quantile regression averaging for probabilistic electricity price forecasting (2021) (28)
- Performance of the estimators of stable law parameters (1995) (27)
- Modeling and forecasting electricity loads: A comparison (2005) (27)
- Statistical Tools for Finance and Insurance (2nd edition) (2011) (27)
- Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts? (2020) (27)
- Averaging Predictive Distributions Across Calibration Windows for Day-Ahead Electricity Price Forecasting (2019) (27)
- Rewiring the network. What helps an innovation to diffuse? (2013) (25)
- Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices (2010) (25)
- The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS (2014) (24)
- Structure and stylized facts of a deregulated power market (2004) (23)
- Beating the Naïve—Combining LASSO with Naïve Intraday Electricity Price Forecasts (2020) (22)
- Diffusion of Innovation within an Agent-Based Model: Spinsons, Independence and Advertising (2014) (22)
- Neural basis expansion analysis with exogenous variables: Forecasting electricity prices with NBEATSx (2021) (21)
- Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period (2015) (20)
- Blackouts, risk, and fat-tailed distributions (2005) (20)
- Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market (2013) (19)
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices (2011) (19)
- Modeling and Forecasting Electricity Loads (2013) (18)
- Day-ahead electricity price forecasting with high-dimensional structures: Univariate vs. multivariate models (2016) (18)
- Balancing Generation from Renewable Energy Sources: Profitability of an Energy Trader (2020) (17)
- An introduction to simulation of risk processes (2003) (16)
- Outflow dynamics in modeling oligopoly markets: the case of the mobile telecommunications market in Poland (2008) (15)
- LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods (2013) (15)
- Merging quantile regression with forecast averaging to obtain more accurate interval forecasts of Nord Pool spot prices (2014) (15)
- Heavy-tailed distributions in VaR calculations (2012) (15)
- Simulation of risk processes (2006) (15)
- Forecasting Wholesale Electricity Prices: A Review of Time Series Models (2008) (14)
- Option pricing proposals under the generalized hyperbolic model (1997) (13)
- A New Method For Automated Noise Cancellation In Electromagnetic Field Measurement (2012) (13)
- Interval forecasting of spot electricity prices (2006) (13)
- Inference for Markov-regime switching models of electricity spot prices (2014) (12)
- Heston's Model and the Smile (2005) (12)
- Origins of the scaling behaviour in the dynamics of financial data (1999) (11)
- Modeling of the Risk Process (2005) (10)
- Electricity Price Forecasting: The Dawn of Machine Learning (2022) (10)
- Going green: Agent-based modeling of the diffusion of dynamic electricity tariffs (2013) (10)
- Modelling price spikes in electricity markets-the impact of load, weather and capacity (2014) (10)
- Visualization Tools for Insurance Risk Processes (2008) (10)
- A conditionally exponential decay approach to scaling in finance (1999) (9)
- Goodness-of-fit testing for regime-switching models (2010) (9)
- The role of educational trainings in the diffusion of smart metering platforms: An agent-based modeling approach (2018) (8)
- Heavy tails and electricity prices: Do time series models with non-Gaussian noise forecast better than their Gaussian counterparts? (2007) (8)
- DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA) (2011) (8)
- Point of Sale (POS) Data from a Supermarket: Transactions and Cashier Operations (2019) (8)
- A new model of mass extinctions (2001) (8)
- Data-Driven Simulation Modeling of the Checkout Process in Supermarkets: Insights for Decision Support in Retail Operations (2020) (7)
- Importance of the Long-Term Seasonal Component in Day-Ahead Electricity Price Forecasting Revisited: Parameter-Rich Models Estimated via the LASSO (2021) (7)
- Modeling and forecasting of the long-term seasonal component of the EEX and Nord Pool spot prices (2013) (7)
- Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version) (2005) (7)
- Forecasting the occurrence of electricity price spikes in the UK power market (2014) (6)
- Evaluating the Performance of VaR Models in Energy Markets (2015) (6)
- Complex Electricity Markets (2013) (6)
- Modeling and Forecasting Electricity Prices (2013) (6)
- Scaling in currency exchange: a conditionally exponential decay approach (1999) (6)
- Modeling the Risk Process in the XploRe Computing Environment (2004) (5)
- Modeling consumer opinions towards dynamic pricing: An agent-based approach (2014) (5)
- Point and interval forecasting of wholesale electricity prices: Evidence from the Nord Pool market (2006) (5)
- HURST: MATLAB function to compute the Hurst exponent using R/S Analysis (2011) (5)
- MRJD_MLE: MATLAB function to estimate parameters of a Mean-Reverting Jump-Diffusion (MRJD) process using maximum likelihood (2010) (5)
- Trading on short-term path forecasts of intraday electricity prices (2022) (4)
- Neural networks in day-ahead electricity price forecasting: Single vs. multiple outputs (2020) (4)
- Impact of Social Interactions on Demand Curves for Innovative Products (2015) (4)
- Efficient estimation of Markov regime-switching models: An application to electricity spot prices (2011) (4)
- Probabilistic load forecasting via Quantile Regression Averaging of independent expert forecasts (2014) (4)
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices (2012) (3)
- Distributional neural networks for electricity price forecasting (2022) (3)
- Modeling electricity spot prices: Regime switching models with price-capped spike distributions (2010) (3)
- STABLERND: MATLAB function to generate random numbers from the stable distribution (2010) (3)
- Origins of scaling in FX markets (2002) (3)
- STABLECULL: MATLAB function to estimate stable distribution parameters using the quantile method of McCulloch (2010) (3)
- A review of electricity price forecasting: The past, the present and the future (2014) (3)
- A semiparametric factor model for electricity forward (2008) (3)
- Discussion on ‘Electrical load forecasting by exponential smoothing with covariates’ (2013) (3)
- Simulation Modeling of Epidemic Risk in Supermarkets: Investigating the Impact of Social Distancing and Checkout Zone Design (2021) (3)
- HESTONFFTVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the FFT approach of Carr and Madan (1999) (2010) (3)
- STABLEREG: MATLAB function to estimate stable distribution parameters using the regression method of Koutrouvelis (2010) (2)
- Loss Distributions 1 (2015) (2)
- SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models" (2006) (2)
- Heavy-tailed distributions in VaR calculations 1 (2011) (2)
- STABLEREGKW: MATLAB function to estimate stable distribution parameters using the regression method of Kogon and Williams (2010) (2)
- Carbon Pricing, Forward Risk Premiums and Pass-Through Rates in Australian Electricity Futures Markets (2016) (2)
- A new Infraclavicular Landmark-Based Approach to the Axillary Vein as an Alternative Method of Central Venous Cannulation (2016) (2)
- MRJD_SIM: MATLAB function to simulate trajectories of a Mean-Reverting Jump-Diffusion (MRJD) process (2010) (2)
- COR: MATLAB function to compute the correlation coefficients (2008) (2)
- Goodness-offit testing for the marginal distribution of regime-switching models (2013) (2)
- DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation) (2010) (1)
- CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage (2007) (1)
- MFE Toolbox ver. 1.0.1 for MATLAB (2007) (1)
- Black swans or dragon-kings? A simple test for deviations from the power law (2012) (1)
- Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models (2017) (1)
- Stable Distributions (2005) (1)
- Is Human Visual Activity in Simple Human-Computer Interaction Search Tasks a Lévy Flight? (2015) (1)
- Pricing European options on instruments with a constant dividend yield: The randomized discrete-time approach (2002) (1)
- Stylized Facts of Electricity Loads and Prices (2013) (1)
- MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes (2011) (1)
- Electricity Price Forecasting (2018) (1)
- Diffusion and adoption of dynamic electricity tariffs: An agent-based modeling approach (2015) (1)
- A short history of the VOLAX - or how we tried to trade implied volatility (Krotka historia VOLAX-u - czyli jak probowano handlowac implikowana zmiennoscia) (1999) (1)
- Pricing options on dividend paying instruments under the generalized hyperbolic model (1999) (1)
- PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model (2011) (1)
- MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes (2011) (1)
- REMST: MATLAB function to remove trend and seasonal component using the moving average method (2010) (1)
- Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships (2014) (1)
- SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model (2016) (0)
- Difficulty is critical: Psychological factors in modeling diffusion of green products and practices (2015) (0)
- Computing electricity spot price prediction intervals using quantile regression and forecast averaging (2014) (0)
- Balancing RES generation: Profitability of an energy trader (2019) (0)
- What is the Probability of an Electricity Price Spike? Evidence from the UK Power Market (2020) (0)
- Forecasting Electricity Prices (2022) (0)
- MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes (2011) (0)
- ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" (2018) (0)
- Chernobai, Anna and Burnecki, Krzysztof and Rachev, Svetlozar and Trueck, Stefan and Weron, Rafal (2019) (0)
- Chernobai, Anna and Burnecki, Krzysztof and Rachev, Svetlozar and Trueck, Stefan and Weron, Rafal (2019) (0)
- RUNNINGMEDIAN: MATLAB function to compute a running median of a time series (2012) (0)
- SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM) (2010) (0)
- Operational Research: Methods and Applications (2023) (0)
- SFB 649 Discussion Paper 2010-048 Building Loss Models (2010) (0)
- ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting" (2018) (0)
- MRJD_PRED: MATLAB function to make a one-step ahead prediction of a Mean-Reverting Jump-Diffusion (MRJD) process (2010) (0)
- SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting" (2016) (0)
- The World According to Spinson (WAS): Standalone application for simulating agent-based models (2013) (0)
- Analysis of ROBECO data by neural networks (1995) (0)
- E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter (2012) (0)
- N ov 2 00 1 A simple model of price formation (2008) (0)
- Power security: Risk > Risk management > Security (2008) (0)
- CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans' (2012) (0)
- PERIODOG: MATLAB function to compute and plot the periodogram of a time series (2006) (0)
- SIMHESTON: MATLAB function to simulate trajectories of the spot price and volatility processes in the Heston (1993) model (2010) (0)
- MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes (2011) (0)
- STABLEPDF_FFT: MATLAB function to compute the stable distribution probability density function (pdf) via FFT (2010) (0)
- HESTONVANILLASMILE: MATLAB function to compute the volatility smile implied by the Heston (1993) option pricing model (2010) (0)
- STF2HES: MATLAB functions for "FX smile in the Heston model" (2010) (0)
- AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method (2014) (0)
- HESTONVANILLALIPTON: MATLAB function to evaluate European FX option prices in the Heston (1993) model using the approach of Lipton (2002) (2010) (0)
- GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method) (2011) (0)
- HESTONVANILLAFITSMILE: MATLAB function to fit the Heston (1993) option pricing model to the FX market implied volatility smile (2010) (0)
- Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB (1998) (0)
- MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes (2011) (0)
- CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails (2012) (0)
- PDFHESTON: MATLAB function to evaluate the probability density function in the Heston (1993) model (2010) (0)
- MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes (2011) (0)
- Building Loss Models 1 (2015) (0)
- 1 FX smile in the Heston model (2010) (0)
- STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model" (2010) (0)
- HESTONVANILLA: MATLAB function to evaluate European FX option prices in the Heston (1993) model (2010) (0)
- C P ] 8 O ct 2 01 0 FX smile in the Heston model 1 (2010) (0)
- 3 0 M ar 2 00 1 Measuring long-range dependence in electricity prices (2001) (0)
- Evolution in a changing environment (1997) (0)
- PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model (2011) (0)
- GARMANKOHLHAGEN: MATLAB function to evaluate European FX option prices in the Garman and Kohlhagen (1983) model (2010) (0)
- HOLTWINTERS: MATLAB function to compute forecasts of the Holt-Winters exponential smoothing model (2017) (0)
- Calibration window selection based on change-point detection for forecasting electricity prices (2022) (0)
This paper list is powered by the following services:
Other Resources About Rafał Weron
What Schools Are Affiliated With Rafał Weron?
Rafał Weron is affiliated with the following schools:
