Content
2018
- ZIP18002 ENERGIES_9_621_FIGS: MATLAB codes and data for plotting figures from "Automated variable selection and shrinkage for day-ahead electricity price forecasting"
by Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron - ZIP18001 ENERGIES_9_621_CODES: MATLAB codes for computing electricity spot price forecasts from "Automated variable selection and shrinkage for day-ahead electricity price forecasting"
by Bartosz Uniejewski & Jakub Nowotarski & Rafal Weron
2017
2016
- ZIP16002 SCAR_EXAMPLE: MATLAB codes and data for "On the importance of the long-term seasonal component in day-ahead electricity price forecasting"
by Jakub Nowotarski & Rafal Weron - ZIP16001 AKS_Simulation: Standalone application for simulating cellular automata
by Agnieszka Kowalska-Styczen - M16001 SCAR: MATLAB function to compute day-ahead predictions of the electricity spot price using the Seasonal Component AutoRegressive (SCAR) model
by Jakub Nowotarski & Rafal Weron
2014
- M14003 QRA: MATLAB function to compute interval forecasts using Quantile Regression Averaging (QRA)
by Jakub Nowotarski - M14002 AWC_HURST: MATLAB function to compute the Hurst exponent using the Average Wavelet Coefficient (AWC) method
by Rafal Weron - M013004 DESEASONALIZE: MATLAB function to remove short and long term seasonal components (new implementation)
by Rafal Weron
2013
- M13003 LTSCWAVE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using wavelet-based methods
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - M13002 LTSCSIN: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using sine-based methods
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - ZIP13002 LTSC_EXAMPLE: MATLAB example script and data for "Robust estimation and forecasting of the long-term seasonal component of electricity spot prices"
by Jakub Nowotarski & Rafal Weron - M13001 LTSCSIMPLE: MATLAB function to estimate and forecast the long-term seasonal component (LTSC) of an electricity spot price series using simple methods
by Jakub Nowotarski & Jakub Tomczyk & Rafal Weron - ZIP13001 The World According to Spinson (WAS): Standalone application for simulating agent-based models
by Piotr Przybyla & Katarzyna Sznajd-Weron & Rafal Weron
2012
- M12006 RUNNINGMEDIAN: MATLAB function to compute a running median of a time series
by Rafal Weron - M12005 E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter
by Joanna Janczura & Rafal Weron - M12004 HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM)
by Joanna Janczura - M12003 VAR_AND_ES: SHAZAM code for computing VaR and Expected Shortfall
by Ibrahim A. Onour - M12002 CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails
by Joanna Janczura & Rafal Weron - ZIP12001 FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"
by Yves Dominicy & Hiroaki Ogata & David Veredas - M12001 CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'
by Joanna Janczura & Rafal Weron
2011
- M11011 MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes
by Joanna Janczura & Rafal Weron - M11010 MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes
by Joanna Janczura & Rafal Weron - M11009 MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes
by Joanna Janczura & Rafal Weron - M11008 PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model
by Joanna Janczura & Rafal Weron - M11007 PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model
by Joanna Janczura & Rafal Weron - M11006 MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes
by Joanna Janczura & Rafal Weron - M11005 MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes
by Joanna Janczura & Rafal Weron - M11004 MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes
by Joanna Janczura & Rafal Weron - M11003 HURST: MATLAB function to compute the Hurst exponent using R/S Analysis
by Rafal Weron - M11002 DFA: MATLAB function to compute the Hurst exponent using Detrended Fluctuation Analysis (DFA)
by Rafal Weron - M11001 GPH: MATLAB function to estimate the Hurst exponent using the Geweke-Porter-Hudak (1983) spectral estimator (periodogram regression method)
by Rafal Weron
2010
- ZIP10002 STF2HES: MATLAB functions for "FX smile in the Heston model"
by Agnieszka Janek & Rafal Weron - ZIP10001 STF2HES_EX: MATLAB example scripts for "FX smile in the Heston model"
by Agnieszka Janek & Rafal Weron - M00001 SIMGBM: MATLAB function to simulate trajectories of Geometric Brownian Motion (GBM)
by Rafal Weron
2008
- M08001 COR: MATLAB function to compute the correlation coefficients
by Joanna Nowicka-Zagrajek & Rafal Weron
2007
- M07001 CHRISTOF: MATLAB function to perform Christoffersen's (1998) tests of coverage
by Rafal Weron - ZIP00001 MFE Toolbox ver. 1.0.1 for MATLAB
by Rafal Weron & Jakub Jurdziak & Adam Misiorek
2006
- M06001 PERIODOG: MATLAB function to compute and plot the periodogram of a time series
by Rafal Weron - ZIP06001 SNDE06_EXAMPLE: MATLAB codes and data for "Point and Interval Forecasting of Spot Electricity Prices: Linear vs. Non-Linear Time Series Models"
by Adam Misiorek & Stefan Trueck & Rafal Weron
1998
- ZIP98001 Financial Engineering Toolbox (FET) ver. 2.5 for MATLAB
by Rafal Weron