Rafal Weron

Wroclaw University of Science and Technology, Department of Operations Research

Wyspianskiego 27

Wroclaw, 50-370

Poland

  • Wroclaw University of Science and Technology, Department of Operations Research

SCHOLARLY PAPERS

18

DOWNLOADS

2,569

SSRN CITATIONS

21

CROSSREF CITATIONS

24

Scholarly Papers (18)

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1.

The Relationship between Spot and Futures CO2 Emission Allowance Prices in the EU-ETS

in Gronwald and Hintermann (eds) Emission Trading Systems as a Climate Policy Instrument - Evaluation and Prospects, MIT Press (Forthcoming)
Number of pages: 24 Posted: 29 Aug 2012 Last Revised: 08 Apr 2014
Stefan Trück, Wolfgang Karl Härdle and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Blockchain Research Center Humboldt-Universität zu Berlin and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 797 (52,423)
Citation 2

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CO2 Emission Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields, Dynamic Semiparametric Factor Model (DSFM), Gibson-Schwartz Model

2.

Forecasting Wholesale Electricity Prices: A Review of Time Series Models

FINANCIAL MARKETS: PRINCIPLES OF MODELLING, FORECASTING AND DECISION-MAKING, W. Milo, P. Wdowinski, eds., FindEcon Monograph Series, WUL, Lodz, 2008
Number of pages: 10 Posted: 22 Jul 2008
Rafal Weron
Wroclaw University of Science and Technology, Department of Operations Research
Downloads 373 (133,880)

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Electricity price forecasting, heavy tailed distribution, autoregression model, GARCH model, non-parametric noise, system load

3.

Stable Distributions

SFB 649 Discussion Paper 2005-008
Number of pages: 28 Posted: 09 Jan 2017
Szymon Borak, Wolfgang Karl Härdle and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 252 (202,008)
Citation 11

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4.

Convenience Yields for Co2 Emission Allowance Futures Contracts

SFB 649 Discussion Paper 2006-076
Number of pages: 30 Posted: 09 Jan 2017
Szymon Borak, Wolfgang Karl Härdle, Stefan Trück and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center Humboldt-Universität zu Berlin, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 176 (281,687)
Citation 33

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CO2 Emission Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields.

5.

An Empirical Comparison of Alternate Schemes for Combining Electricity Spot Price Forecasts

Number of pages: 28 Posted: 22 Aug 2013
Jakub Nowotarski, Eran Raviv, Stefan Trück and Rafal Weron
Wroclaw University of Technology - Institute of Organization and Management, APG Asset Management, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 165 (297,672)
Citation 9

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Electricity price forecasting, Forecasts combination, ARX model, Day-ahead market

6.

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 115 (394,779)
Citation 7

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

7.

Modelling Catastrophe Claims with Left-Truncated Severity Distributions (Extended Version)

Hugo Steinhaus Center for Stochastic Methods Research Report No. HSC/05/1
Number of pages: 31 Posted: 04 Sep 2008
Anna Chernobai, Krzysztof Burnecki, Svetlozar Rachev, Stefan Trück and Rafal Weron
University of California, Santa Barbara, Hugo Steinhaus Center, Texas Tech University, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 114 (397,245)
Citation 5

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Natural Catastrophe, Property Insurance, Loss Distribution, Truncated Data, Ruin Probability

8.

Outflow Dynamics in Modeling Oligopoly Markets: The Case of the Mobile Telecommunications Market in Poland

Journal of Statistical Mechanics, No. P11018, 2008
Number of pages: 18 Posted: 09 Sep 2008 Last Revised: 14 Oct 2009
Katarzyna Sznajd-Weron, Rafal Weron and Maja Wloszczowska
Wroclaw University, Wroclaw University of Science and Technology, Department of Operations Research and Wroclaw University of Technology - Institute of Mathematics
Downloads 105 (421,357)

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opinion dynamics, outflow dynamics, agent-based model, oligopoly market, advertising, mobile telephony

9.

Corporate View on Risk Management (Korporacyjne Spojrzenie na Zarządzanie Ryzykiem) (Polish)

Energetyka Cieplna i Zawodowa, Vol. 4, pp. 46-48, April 2008
Number of pages: 3 Posted: 21 Nov 2009
Rafal Weron
Wroclaw University of Science and Technology, Department of Operations Research
Downloads 103 (427,182)

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corporate risk management, Cash Flow at Risk, integrated risk management

10.

Carbon Pricing, Forward Risk Premiums and Pass-Through Rates in Australian Electricity Futures Markets

Number of pages: 29 Posted: 27 Dec 2016
Paweł Maryniak, Stefan Trück and Rafal Weron
Wroclaw University of Technology, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 93 (457,323)
Citation 1

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Carbon Tax, Carbon Pass-Through Rate, Forward Risk Premium, Electricity Market, Spot and Futures Prices

11.

Discounting of Delayed Payoffs (Rzecz O Dyskontowaniu Odroczonych Wyplat) (Polish)

Decyzje, Vol. 11, pp. 49-70, 2009
Number of pages: 22 Posted: 21 Nov 2009
Piotr Zielonka, Przemyslaw Sawicki and Rafal Weron
Warsaw Agricultural University (SGGW), Leon Kozminski Academy of Entrepreneurship and Management (WSPiZ) and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 77 (512,695)

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hyperbolic discounting, intertemporal preference reversal

12.

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 70 (540,645)
Citation 1

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regime switching, heteroskedasticity, electricity spot price

13.

Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period

Trück, S., Weron, R., 2016. Convenience Yields and Risk Premiums in the EU-ETS - Evidence from the Kyoto Commitment Period, The Journal of Futures Markets, Vol. 36, No. 6, 587–611.
Number of pages: 27 Posted: 27 Dec 2016
Stefan Trück and Rafal Weron
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 65 (562,323)
Citation 1

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CO2 Emissions Trading, Commodity Markets, Spot and Futures Prices, Convenience Yields, Risk Premiums

14.

Habitat Momentum

Number of pages: 22 Posted: 02 Nov 2016 Last Revised: 20 Jan 2017
Paweł Maryniak and Rafal Weron
Wroclaw University of Technology and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 64 (566,822)

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momentum, comovement, institutional ownership

15.

Modelling Electricity Prices: Jump Diffusion and Regime Switching

Physica A: Statistical Methods and It's Applications, Vol. 336, pp. 39-48, 2004
Posted: 07 Sep 2008 Last Revised: 13 Sep 2008
Rafal Weron, Bierbrauer Michael and Stefan Trück
Wroclaw University of Science and Technology, Department of Operations Research, affiliation not provided to SSRN and Macquarie University Sydney - Department of Applied Finance and Actuarial Studies

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Electricity price, Jump diffusion, Regime switching, Seasonality

16.

A Semiparametric Factor Model for Electricity Forward Curve Dynamics

Journal of Energy Markets, Vol. 1, No. 3, pp. 3-16
Posted: 22 Jul 2008 Last Revised: 20 Feb 2010
Szymon Borak and Rafal Weron
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE) and Wroclaw University of Science and Technology, Department of Operations Research

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power market, forward electricity curve, dynamic semiparametric factor model

17.

Forecasting Spot Electricity Prices: A Comparison of Parametric and Semiparametric Time Series Models

International Journal of Forecasting 24, 744-763
Posted: 30 Jun 2008 Last Revised: 20 Feb 2010
Rafal Weron and Adam Misiorek
Wroclaw University of Science and Technology, Department of Operations Research and Santander Consumer Bank S.A.

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Electricity market, Price forecast, Autoregressive model, Nonparametric maximum likelihood, Interval forecast, Conditional coverage

18.

Heavy-Tails and Regime-Switching in Electricity Prices

Mathematical Methods of Operations Research, Vol. 69, No. 3, pp. 457-473
Posted: 03 Jun 2008 Last Revised: 21 Feb 2010
Rafal Weron
Wroclaw University of Science and Technology, Department of Operations Research

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Electricity spot price, Heavy-tails, Spikes, Markov regime-switching, Pareto distribution