Rafal Weron

Wroclaw University of Science and Technology, Department of Operations Research

Wyspianskiego 27

Wroclaw, 50-370

Poland

SCHOLARLY PAPERS

18

DOWNLOADS

1,909

SSRN CITATIONS

15

CROSSREF CITATIONS

24

Scholarly Papers (18)

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
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies, Blockchain Research Center and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 667 (46,498)
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 327 (110,222)

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

3.

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

Number of pages: 28 Posted: 22 Aug 2013
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 137 (249,115)
Citation 6

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

4.

Stable Distributions

SFB 649 Discussion Paper 2005-008
Number of pages: 28 Posted: 09 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 132 (256,376)
Citation 8

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5.

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
Wroclaw University, Wroclaw University of Science and Technology, Department of Operations Research and Wroclaw University of Technology - Institute of Mathematics
Downloads 85 (346,129)

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

6.

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
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 84 (348,587)
Citation 5

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

7.

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

Number of pages: 33 Posted: 11 Jun 2012
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 82 (353,596)
Citation 6

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

8.

Convenience Yields for Co2 Emission Allowance Futures Contracts

SFB 649 Discussion Paper 2006-076
Number of pages: 30 Posted: 09 Jan 2017
Humboldt University of Berlin - Center for Applied Statistics and Economics (CASE), Blockchain Research Center, Macquarie University Sydney - Department of Applied Finance and Actuarial Studies and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 69 (389,844)
Citation 33

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

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 69 (389,844)

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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 67 (395,997)
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
Warsaw Agricultural University (SGGW), Leon Kozminski Academy of Entrepreneurship and Management (WSPiZ) and Wroclaw University of Science and Technology, Department of Operations Research
Downloads 51 (451,178)

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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 51 (451,178)
Citation 1

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regime switching, heteroskedasticity, electricity spot price

13.

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 49 (458,948)

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momentum, comovement, institutional ownership

14.

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 39 (502,031)
Citation 1

Abstract:

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

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
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