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Rafał Weron · Study
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Author
Rafał Weron
26 works
· latest 2023
· 2 institutions
cluster: provisional
ORCID 0000-0003-1619-5239
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Citations
2,871
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Most cited in this library
Estimating long range dependence: finite sample properties and confidence intervals
2001 · 411 citations
Modeling electricity prices: jump diffusion and regime switching
2004 · 254 citations
Statistical Tools for Finance and Insurance
2005 · 213 citations
Statistical Tools for Finance and Insurance
2011 · 159 citations
Computing electricity spot price prediction intervals using quantile regression and forecast averaging
2014 · 159 citations
Works
26 shown
Operational Research: methods and applications
Journal of the Operational Research Society
·
2023
·
78 authors
·
Open access
124
citations
Convenience Yields for Co2 Emission Allowance Futures Contracts
SSRN Electronic Journal
·
2017
·
4 authors
·
preprint
·
Open access
69
citations
Difficulty is critical: The importance of social factors in modeling diffusion of green products and practices
Renewable and Sustainable Energy Reviews
·
2016
·
4 authors
83
citations
Computing electricity spot price prediction intervals using quantile regression and forecast averaging
Computational Statistics
·
2014
·
2 authors
·
Open access
159
citations
Efficient estimation of Markov regime-switching models: An application to electricity spot prices
AStA Advances in Statistical Analysis
·
2011
·
2 authors
·
Open access
95
citations
Statistical Tools for Finance and Insurance
Springer eBooks
·
2011
·
3 authors
·
book
159
citations
Models for heavy-tailed asset returns
Springer eBooks
·
2011
·
3 authors
·
chapter
59
citations
FX smile in the Heston model
Springer eBooks
·
2011
·
4 authors
·
chapter
49
citations
Rzecz o dyskontowaniu odroczonych wypłat
Decyzje
·
2009
·
3 authors
1
citations
Heavy-tails and regime-switching in electricity prices
Mathematical Methods of Operations Research
·
2008
·
1 author
·
Open access
106
citations
Market price of risk implied by Asian-style electricity options and futures
Energy Economics
·
2007
·
1 author
131
citations
Modelling catastrophe claims with left-truncated severity distributions
Computational Statistics
·
2006
·
5 authors
37
citations
Statistical Tools for Finance and Insurance
Springer eBooks
·
2005
·
2 authors
·
book
213
citations
Heavy tails and electricity prices
RePEc: Research Papers in Economics
·
2005
·
1 author
·
preprint
34
citations
Modeling electricity prices: jump diffusion and regime switching
Physica A Statistical Mechanics and its Applications
·
2004
·
3 authors
254
citations
On detecting and modeling periodic correlation in financial data
Physica A Statistical Mechanics and its Applications
·
2004
·
4 authors
85
citations
Modeling Electricity Prices with Regime Switching Models
Lecture notes in computer science
·
2004
·
2 authors
·
other
·
Open access
86
citations
Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market
Springer eBooks
·
2004
·
3 authors
·
chapter
81
citations
Computationally intensive Value at Risk calculations
RePEc: Research Papers in Economics
·
2004
·
1 author
·
preprint
55
citations
A SIMPLE MODEL OF PRICE FORMATION
International Journal of Modern Physics C
·
2002
·
2 authors
·
Open access
99
citations
Estimating long range dependence: finite sample properties and confidence intervals
arXiv (Cornell University)
·
2001
·
1 author
·
preprint
·
Open access
411
citations
LEVY-STABLE DISTRIBUTIONS REVISITED: TAIL INDEX > 2 DOES NOT EXCLUDE THE LEVY-STABLE REGIME
RePEc: Research Papers in Economics
·
2001
·
1 author
114
citations
Energy price risk management
Physica A Statistical Mechanics and its Applications
·
2000
·
1 author
·
Open access
96
citations
Hurst analysis of electricity price dynamics
Physica A Statistical Mechanics and its Applications
·
2000
·
2 authors
114
citations
Fractal market hypothesis and two power-laws
Chaos Solitons & Fractals
·
2000
·
2 authors
82
citations
Financial Engineering: Derivatives pricing, Computer simulations, Market statistics (Inzynieria finansowa: Wycena instrumentow pochodnych, Symulacje komputerowe, Statystyka rynku)
RePEc: Research Papers in Economics
·
1998
·
2 authors
·
book
75
citations