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Joanna Janczura

Personal Details

First Name:Joanna
Middle Name:
Last Name:Janczura
Suffix:
RePEc Short-ID:pja256
[This author has chosen not to make the email address public]
Terminal Degree:2012 Instytut Matematyki i Informatyki; Politechnika Wrocławska (from RePEc Genealogy)

Affiliation

Hugo Steinhaus Center for Stochastic Methods
Politechnika Wrocławska

Wrocław, Poland
http://www.im.pwr.wroc.pl/~hugo/
RePEc:edi:hspwrpl (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software

Working papers

  1. {L}ukasz Bielak & Aleksandra Grzesiek & Joanna Janczura & Agnieszka Wy{l}oma'nska, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Papers 2107.07142, arXiv.org.
  2. Pawe³ Bieñkowski & Krzysztof Burnecki & Joanna Janczura & Rafal Weron & Bart³omiej Zubrzak, 2012. "A new method for automated noise cancellation in electromagnetic field measurement," HSC Research Reports HSC/12/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  3. Joanna Janczura & Rafal Weron, 2012. "Inference for Markov-regime switching models of electricity spot prices," HSC Research Reports HSC/12/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  4. Janczura, Joanna & Trueck, Stefan & Weron, Rafal & Wolff, Rodney, 2012. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," MPRA Paper 39277, University Library of Munich, Germany.
  5. Joanna Janczura, 2012. "Pricing electricity derivatives within a Markov regime-switching model," Papers 1203.5442, arXiv.org.
  6. Joanna Janczura & Rafal Weron, 2011. "Black swans or dragon kings? A simple test for deviations from the power law," Papers 1102.3712, arXiv.org.
  7. Joanna Janczura & Sebastian Orzel & Agnieszka Wylomanska, 2011. "Subordinated alpha-stable Ornstein-Uhlenbeck process as a tool for financial data description," HSC Research Reports HSC/11/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  8. Janczura, Joanna & Weron, Rafal, 2010. "Modeling electricity spot prices: Regime switching models with price-capped spike distributions," MPRA Paper 23296, University Library of Munich, Germany.
  9. Burnecki, Krzysztof & Janczura, Joanna & Weron, Rafal, 2010. "Building Loss Models," MPRA Paper 25492, University Library of Munich, Germany.
  10. Janczura, Joanna & Weron, Rafal, 2010. "Goodness-of-fit testing for regime-switching models," MPRA Paper 22871, University Library of Munich, Germany.
  11. Weron, Rafal & Janczura, Joanna, 2010. "Efficient estimation of Markov regime-switching models: An application to electricity wholesale market prices," MPRA Paper 26628, University Library of Munich, Germany.
  12. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models or electricity spot prices," MPRA Paper 20546, University Library of Munich, Germany.
  13. Janczura, Joanna & Weron, Rafal, 2009. "Regime-switching models for electricity spot prices: Introducing heteroskedastic base regime dynamics and shifted spike distributions," MPRA Paper 18784, University Library of Munich, Germany.
  14. Janczura, Joanna & Wyłomańska, Agnieszka, 2009. "Subdynamics of financial data from fractional Fokker-Planck equation," MPRA Paper 30649, University Library of Munich, Germany.
  15. Joanna Janczura & Aleksander Weron, 2008. "Modelling energy forward prices," HSC Research Reports HSC/08/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    repec:hum:wpaper:sfb649dp2010-048 is not listed on IDEAS

Articles

  1. Joanna Janczura & Andrzej Puć, 2023. "ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation," Energies, MDPI, vol. 16(2), pages 1-28, January.
  2. Muszkieta, Monika & Janczura, Joanna, 2023. "A compressed sensing approach to interpolation of fractional Brownian trajectories for a single particle tracking experiment," Applied Mathematics and Computation, Elsevier, vol. 446(C).
  3. Janczura, Joanna & Burnecki, Krzysztof & Muszkieta, Monika & Stanislavsky, Aleksander & Weron, Aleksander, 2022. "Classification of random trajectories based on the fractional Lévy stable motion," Chaos, Solitons & Fractals, Elsevier, vol. 154(C).
  4. Julia Adamska & Łukasz Bielak & Joanna Janczura & Agnieszka Wyłomańska, 2022. "From Multi- to Univariate: A Product Random Variable with an Application to Electricity Market Transactions: Pareto and Student’s t -Distribution Case," Mathematics, MDPI, vol. 10(18), pages 1-29, September.
  5. Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
  6. Muszkieta, Monika & Janczura, Joanna & Weron, Aleksander, 2021. "Simulation and tracking of fractional particles motion. From microscopy video to statistical analysis. A Brownian bridge approach," Applied Mathematics and Computation, Elsevier, vol. 396(C).
  7. Bielak, Łukasz & Grzesiek, Aleksandra & Janczura, Joanna & Wyłomańska, Agnieszka, 2021. "Market risk factors analysis for an international mining company. Multi-dimensional, heavy-tailed-based modelling," Resources Policy, Elsevier, vol. 74(C).
  8. Joanna Janczura & Aleksandra Michalak, 2020. "Optimization of Electric Energy Sales Strategy Based on Probabilistic Forecasts," Energies, MDPI, vol. 13(5), pages 1-16, February.
  9. Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
  10. Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
  11. Janczura, Joanna & Trück, Stefan & Weron, Rafał & Wolff, Rodney C., 2013. "Identifying spikes and seasonal components in electricity spot price data: A guide to robust modeling," Energy Economics, Elsevier, vol. 38(C), pages 96-110.
  12. Joanna Janczura & Rafał Weron, 2012. "Efficient estimation of Markov regime-switching models: An application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(3), pages 385-407, July.
  13. Janczura, Joanna & Orzeł, Sebastian & Wyłomańska, Agnieszka, 2011. "Subordinated α-stable Ornstein–Uhlenbeck process as a tool for financial data description," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4379-4387.
  14. Janczura, Joanna & Weron, Rafal, 2010. "An empirical comparison of alternate regime-switching models for electricity spot prices," Energy Economics, Elsevier, vol. 32(5), pages 1059-1073, September.

Software components

  1. Joanna Janczura & Rafal Weron, 2012. "CI_WEIBULLTAIL: MATLAB function to test for 'dragon kings' in Weibull-type tails," HSC Software M12002, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  2. Joanna Janczura & Rafal Weron, 2012. "CI_POWERTAIL: MATLAB function to test for 'dragon kings' vs. 'black swans'," HSC Software M12001, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  3. Joanna Janczura, 2012. "HMM_EST: MATLAB function to estimate parameters of a 2-state Hidden Markov Model (HMM)," HSC Software M12004, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  4. Joanna Janczura & Rafal Weron, 2012. "E_HMM: MATLAB function to calculate Electromagnetic Field (EMF) intensity using a Hidden Markov Model (HMM) filter," HSC Software M12005, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  5. Joanna Janczura & Rafal Weron, 2011. "MRS3IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 3 independent regimes," HSC Software M11011, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  6. Joanna Janczura & Rafal Weron, 2011. "PS2R_EST: MATLAB function to estimate parameters of a 2-regime parameter switching (PS) model," HSC Software M11008, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  7. Joanna Janczura & Rafal Weron, 2011. "MRS2IR_SIM: MATLAB function to simulate trajectories of a Markov regime-switching (MRS) model with 2 independent regimes," HSC Software M11005, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  8. Joanna Janczura & Rafal Weron, 2011. "PS2R_SIM: MATLAB function to simulate trajectories of a 2-regime parameter switching (PS) model," HSC Software M11007, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  9. Joanna Janczura & Rafal Weron, 2011. "MRS3_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 3 regimes," HSC Software M11009, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  10. Joanna Janczura & Rafal Weron, 2011. "MRS2IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 2 independent regimes," HSC Software M11006, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  11. Joanna Janczura & Rafal Weron, 2011. "MRS2_PLOT: MATLAB function to plot calibration results for a Markov regime-switching (MRS) model with 2 regimes," HSC Software M11004, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  12. Joanna Janczura & Rafal Weron, 2011. "MRS3IR_EST: MATLAB function to estimate parameters of a Markov regime-switching (MRS) model with 3 independent regimes," HSC Software M11010, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 14 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (10) 2009-11-27 2010-02-20 2010-06-26 2010-11-20 2011-02-26 2011-08-15 2011-10-09 2011-10-09 2012-04-03 2012-06-13. Author is listed
  2. NEP-ECM: Econometrics (6) 2010-06-04 2010-11-20 2011-08-15 2011-10-09 2011-10-09 2012-06-13. Author is listed
  3. NEP-RMG: Risk Management (4) 2010-10-09 2011-02-26 2011-10-09 2021-07-19
  4. NEP-ORE: Operations Research (3) 2010-10-09 2010-11-20 2011-10-09
  5. NEP-ETS: Econometric Time Series (2) 2010-06-04 2011-10-09
  6. NEP-CMP: Computational Economics (1) 2010-11-20
  7. NEP-FMK: Financial Markets (1) 2012-04-03
  8. NEP-IAS: Insurance Economics (1) 2010-10-09

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