Joanna Janczura

Hugo Steinhaus Center

50-370

Wroclaw

Poland

SCHOLARLY PAPERS

2

DOWNLOADS

205

SSRN CITATIONS

9

CROSSREF CITATIONS

2

Scholarly Papers (2)

1.

Identifying Spikes and Seasonal Components in Electricity Spot Price Data: A Guide to Robust Modeling

Number of pages: 33 Posted: 11 Jun 2012
Joanna Janczura, Stefan Trück, Rafal Weron and Rodney Wolff
Hugo Steinhaus Center, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Wroclaw University of Science and Technology, Department of Operations Research and Queensland University of Technology - School of Economics and Finance
Downloads 130 (407,156)
Citation 7

Abstract:

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Electricity spot price, Outlier treatment, Price spike, Robust modeling, Seasonality

2.

Regime-Switching Models for Electricity Spot Prices: Introducing Heteroskedastic Base Regime Dynamics and Shifted Spike Distributions

IEEE Conference Proceedings, 6th International Conference on the European Energy Market, May 2009
Number of pages: 6 Posted: 21 Nov 2009
Joanna Janczura and Rafal Weron
Hugo Steinhaus Center and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 75 (588,881)
Citation 1

Abstract:

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regime switching, heteroskedasticity, electricity spot price