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Michał Zator
(Michal Zator)

Personal Details

First Name:Michal
Middle Name:
Last Name:Zator
Suffix:
RePEc Short-ID:pza229
[This author has chosen not to make the email address public]
Terminal Degree:2013 Instytut Matematyki i Informatyki; Politechnika Wrocławska (from RePEc Genealogy)

Affiliation

(50%) Wydział Zarządzania
Politechnika Wrocławska

Wrocław, Poland
https://wz.pwr.edu.pl/
RePEc:edi:iopwrpl (more details at EDIRC)

(50%) Mendoza College of Business
University of Notre Dame

South Bend, Indiana (United States)
http://business.nd.edu/
RePEc:edi:mcbndus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Benjamin U. Friedrich & Michal Zator, 2018. "Adaptation to Shocks and The Role of Capital Structure: Danish Exporters During the Cartoon Crisis," Economics Working Papers 2018-12, Department of Economics and Business Economics, Aarhus University.
  2. Rafal Weron & Michal Zator, 2014. "A note on using the Hodrick-Prescott filter in electricity markets," HSC Research Reports HSC/14/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  3. Michal Zator, 2013. "Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis," HSC Research Reports HSC/13/06, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
  4. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

Articles

  1. Weron, Rafał & Zator, Michał, 2015. "A note on using the Hodrick–Prescott filter in electricity markets," Energy Economics, Elsevier, vol. 48(C), pages 1-6.
  2. Michał Zator, 2014. "Transaction costs and volatility on Warsaw Stock Exchange: implications for financial transaction tax," Bank i Kredyt, Narodowy Bank Polski, vol. 45(4), pages 349-372.
  3. Weron, Rafał & Zator, Michał, 2014. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 44(C), pages 178-190.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Benjamin U. Friedrich & Michal Zator, 2018. "Adaptation to Shocks and The Role of Capital Structure: Danish Exporters During the Cartoon Crisis," Economics Working Papers 2018-12, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Esposito, Federico, 2019. "Demand Risk and Diversification through Trade," MPRA Paper 99875, University Library of Munich, Germany.
    2. Esposito, Federico, 2020. "Demand Risk and Diversification through International Trade," MPRA Paper 100865, University Library of Munich, Germany.
    3. Tibor Besedes & Tristan Kohl & James Lake, 2019. "Phase out tariffs, phase in trade?," CESifo Working Paper Series 7614, CESifo.

  2. Rafal Weron & Michal Zator, 2014. "A note on using the Hodrick-Prescott filter in electricity markets," HSC Research Reports HSC/14/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

    Cited by:

    1. Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019. "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, vol. 79(C), pages 45-58.
    2. Afanasyev, Dmitriy & Fedorova, Elena, 2015. "The long-term trends on Russian electricity market: comparison of empirical mode and wavelet decompositions," MPRA Paper 62391, University Library of Munich, Germany.
    3. Д.О. Афанасьев1 & * & Е.А. Федорова2 & **, 2019. "Краткосрочное Прогнозирование Цены Электроэнергии На Российском Рынке С Использованием Класса Моделей Scarx," Журнал Экономика и математические методы (ЭММ), Центральный Экономико-Математический Институт (ЦЭМИ), vol. 55(1), pages 68-84, январь.
    4. Wei Wei & Asger Lunde, 2023. "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Journal of Financial Econometrics, Oxford University Press, vol. 21(5), pages 1647-1679.
    5. Bartosz Uniejewski & Grzegorz Marcjasz & Rafal Weron, 2017. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting. Part II – Probabilistic forecasting," HSC Research Reports HSC/17/02, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    6. Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2019. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting with NARX neural networks," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1520-1532.
    7. Shao, Zhen & Chao, Fu & Yang, Shan-Lin & Zhou, Kai-Le, 2017. "A review of the decomposition methodology for extracting and identifying the fluctuation characteristics in electricity demand forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 75(C), pages 123-136.
    8. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    9. Maciej Kostrzewski & Jadwiga Kostrzewska, 2021. "The Impact of Forecasting Jumps on Forecasting Electricity Prices," Energies, MDPI, vol. 14(2), pages 1-17, January.
    10. Wei Wei & Asger Lunde, 2020. "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Monash Econometrics and Business Statistics Working Papers 10/20, Monash University, Department of Econometrics and Business Statistics.
    11. Jakub Nowotarski & Rafal Weron, 2016. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," HSC Research Reports HSC/16/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    12. Grzegorz Marcjasz & Bartosz Uniejewski & Rafal Weron, 2017. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Neural network models," HSC Research Reports HSC/17/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    13. Marcjasz, Grzegorz & Uniejewski, Bartosz & Weron, Rafał, 2020. "Probabilistic electricity price forecasting with NARX networks: Combine point or probabilistic forecasts?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 466-479.
    14. Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    15. Usman Zafar & Neil Kellard & Dmitri Vinogradov, 2022. "Multistage optimization filter for trend‐based short‐term forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(2), pages 345-360, March.
    16. Arkadiusz Jedrzejewski & Grzegorz Marcjasz & Rafal Weron, 2021. "Importance of the long-term seasonal component in day-ahead electricity price forecasting revisited: Parameter-rich models estimated via the LASSO," WORking papers in Management Science (WORMS) WORMS/21/04, Department of Operations Research and Business Intelligence, Wroclaw University of Science and Technology.
    17. Alvarez-Ramirez, J. & Rodriguez, E. & Ibarra-Valdez, C., 2020. "Medium-term cycles in the dynamics of the Dow Jones Index for the period 1985–2019," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 546(C).
    18. Caldana, Ruggero & Fusai, Gianluca & Roncoroni, Andrea, 2017. "Electricity forward curves with thin granularity: Theory and empirical evidence in the hourly EPEXspot market," European Journal of Operational Research, Elsevier, vol. 261(2), pages 715-734.
    19. Ilaria Lucrezia Amerise & Agostino Tarsitano, 2020. "An L1 smoother for outlier cleaning of time series," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(1), pages 1-3.
    20. Afanasyev, Dmitriy O. & Fedorova, Elena A., 2016. "The long-term trends on the electricity markets: Comparison of empirical mode and wavelet decompositions," Energy Economics, Elsevier, vol. 56(C), pages 432-442.

  3. Michal Zator, 2013. "Relationship between spot and futures prices in electricity markets: Pitfalls of regression analysis," HSC Research Reports HSC/13/06, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

    Cited by:

    1. Silvester Van Koten, 2020. "The Forward Premium in Electricity Markets: An Experimental Study," CERGE-EI Working Papers wp656, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    2. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

  4. Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

    Cited by:

    1. Maryniak, Paweł & Trück, Stefan & Weron, Rafał, 2019. "Carbon pricing and electricity markets — The case of the Australian Clean Energy Bill," Energy Economics, Elsevier, vol. 79(C), pages 45-58.
    2. Silvester Van Koten, 2020. "The Forward Premium in Electricity Markets: An Experimental Study," CERGE-EI Working Papers wp656, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
    3. Jorge Antunes & Luis Alberiko Gil-Alana & Rossana Riccardi & Yong Tan & Peter Wanke, 2022. "Unveiling endogeneity and temporal dependence in energy prices and demand in Iberian countries: a stochastic hidden Markov model approach," Annals of Operations Research, Springer, vol. 313(1), pages 191-229, June.
    4. Zhang Yue & Arash Farnoosh, 2018. "Analysing the Dynamic Impact of Electricity Futures on Revenue and Risks of Renewable Energy in China," Working Papers hal-03188814, HAL.
    5. Junttila, Juha & Myllymäki, Valtteri & Raatikainen, Juhani, 2018. "Pricing of electricity futures based on locational price differences: The case of Finland," Energy Economics, Elsevier, vol. 71(C), pages 222-237.
    6. Uddin, Gazi Salah & Tang, Ou & Sahamkhadam, Maziar & Taghizadeh-Hesary, Farhad & Yahya, Muhammad & Cerin, Pontus & Rehme, Jakob, 2021. "Analysis of Forecasting Models in an Electricity Market under Volatility," ADBI Working Papers 1212, Asian Development Bank Institute.
    7. Koten, Silvester Van, 2020. "Forward premia in electricity markets: A replication study," Energy Economics, Elsevier, vol. 89(C).
    8. Juan Ignacio Peña & Rosa Rodriguez, 2022. "Market Makers and Liquidity Premium in Electricity Futures Markets," The Energy Journal, , vol. 43(2), pages 91-110, March.
    9. Marius Paschen, 2016. "The effect of intermittent renewable supply on the forward premium in German electricity markets," Working Papers V-397-16, University of Oldenburg, Department of Economics, revised Nov 2016.
    10. Fleten, Stein-Erik & Hagen, Liv Aune & Nygård, Maria Tandberg & Smith-Sivertsen, Ragnhild & Sollie, Johan M., 2015. "The overnight risk premium in electricity forward contracts," Energy Economics, Elsevier, vol. 49(C), pages 293-300.
    11. Stefan Trück & Rafal Weron, 2015. "Convenience yields and risk premiums in the EU-ETS - Evidence from the Kyoto commitment period," HSC Research Reports HSC/15/03, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    12. Hakan Acaroğlu & Fausto Pedro García Márquez, 2021. "Comprehensive Review on Electricity Market Price and Load Forecasting Based on Wind Energy," Energies, MDPI, vol. 14(22), pages 1-23, November.
    13. Heikki Peura & Derek W. Bunn, 2021. "Renewable Power and Electricity Prices: The Impact of Forward Markets," Management Science, INFORMS, vol. 67(8), pages 4772-4788, August.
    14. Rafal Weron & Florian Ziel, 2018. "Electricity price forecasting," HSC Research Reports HSC/18/08, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    15. Alexandre Lucas & Konstantinos Pegios & Evangelos Kotsakis & Dan Clarke, 2020. "Price Forecasting for the Balancing Energy Market Using Machine-Learning Regression," Energies, MDPI, vol. 13(20), pages 1-16, October.
    16. Benth, Fred Espen & Paraschiv, Florentina, 2016. "A Structural Model for Electricity Forward Prices," Working Papers on Finance 1611, University of St. Gallen, School of Finance.
    17. Asan, Goksel & Tasaltin, Kamil, 2017. "Market efficiency assessment under dual pricing rule for the Turkish wholesale electricity market," Energy Policy, Elsevier, vol. 107(C), pages 109-118.
    18. Benth, Fred Espen & Paraschiv, Florentina, 2018. "A space-time random field model for electricity forward prices," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 203-216.
    19. Zhang, Yue & Farnoosh, Arash, 2019. "Analyzing the dynamic impact of electricity futures on revenue and risk of renewable energy in China," Energy Policy, Elsevier, vol. 132(C), pages 678-690.
    20. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    21. Asche, Frank & Misund, Bård & Oglend, Atle, 2016. "Determinants of the Atlantic salmon futures risk premium," Journal of Commodity Markets, Elsevier, vol. 2(1), pages 6-17.
    22. Lindström, Erik & Norén, Vicke & Madsen, Henrik, 2015. "Consumption management in the Nord Pool region: A stability analysis," Applied Energy, Elsevier, vol. 146(C), pages 239-246.
    23. Algieri, Bernardina & Leccadito, Arturo & Tunaru, Diana, 2021. "Risk premia in electricity derivatives markets," Energy Economics, Elsevier, vol. 100(C).
    24. Jenny Winkler & Rouven Emmerich & Mario Ragwitz & Benjamin Pfluger & Christian Senft, 2017. "Beyond the day-ahead market – effects of revenue maximisation of the marketing of renewables on electricity markets," Energy & Environment, , vol. 28(1-2), pages 110-144, March.
    25. Wei Wei & Asger Lunde, 2020. "Identifying Risk Factors and Their Premia: A Study on Electricity Prices," Monash Econometrics and Business Statistics Working Papers 10/20, Monash University, Department of Econometrics and Business Statistics.
    26. Jakub Nowotarski & Rafal Weron, 2016. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," HSC Research Reports HSC/16/05, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    27. Claudio Monteiro & L. Alfredo Fernandez-Jimenez & Ignacio J. Ramirez-Rosado, 2020. "Predictive Trading Strategy for Physical Electricity Futures," Energies, MDPI, vol. 13(14), pages 1-24, July.
    28. Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    29. Edward J. Anderson & Andrew B. Philpott, 2019. "Forward Commodity Trading with Private Information," Operations Research, INFORMS, vol. 67(1), pages 58-71, January.
    30. Spodniak, Petr & Bertsch, Valentin, 2017. "Determinants of power spreads in electricity futures markets: A multinational analysis," Papers WP580, Economic and Social Research Institute (ESRI).
    31. Bevin-McCrimmon, Fergus & Diaz-Rainey, Ivan & McCarten, Matthew & Sise, Greg, 2018. "Liquidity and risk premia in electricity futures," Energy Economics, Elsevier, vol. 75(C), pages 503-517.
    32. Rick Steinert & Florian Ziel, 2018. "Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures," Papers 1801.10583, arXiv.org.
    33. Erik Haugom & Peter Molnár & Magne Tysdahl, 2020. "Determinants of the Forward Premium in the Nord Pool Electricity Market," Energies, MDPI, vol. 13(5), pages 1-18, March.
    34. Ricardo M. Lima & Antonio J. Conejo & Loïc Giraldi & Olivier Le Maître & Ibrahim Hoteit & Omar M. Knio, 2022. "Risk-Averse Stochastic Programming vs. Adaptive Robust Optimization: A Virtual Power Plant Application," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1795-1818, May.
    35. Rick Steinert & Florian Ziel, 2019. "Short- to Mid-term Day-Ahead Electricity Price Forecasting Using Futures," The Energy Journal, , vol. 40(1), pages 105-128, January.
    36. Niu, Shilei & Insley, Margaret, 2016. "An options pricing approach to ramping rate restrictions at hydro power plants," Journal of Economic Dynamics and Control, Elsevier, vol. 63(C), pages 25-52.
    37. Nikola Krečar & Andrej F. Gubina, 2020. "Risk mitigation in the electricity market driven by new renewable energy sources," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 9(1), January.
    38. Størdal, Ståle & Ewald, Christian-Oliver & Lien, Gudbrand & Haugom, Erik, 2023. "Trading time seasonality in electricity futures," Journal of Commodity Markets, Elsevier, vol. 31(C).
    39. Sousa, Joana & Soares, Isabel, 2020. "Demand response, market design and risk: A literature review," Utilities Policy, Elsevier, vol. 66(C).
    40. Karahan, Cenk C. & Odabaşı, Attila & Tiryaki, C. Sani, 2024. "Wired together: Integration and efficiency in European electricity markets," Energy Economics, Elsevier, vol. 133(C).
    41. Laura Casula & Giovanni Masala, 2021. "Electricity derivatives: an application to the futures Italian market," Empirical Economics, Springer, vol. 61(2), pages 637-666, August.

Articles

  1. Weron, Rafał & Zator, Michał, 2015. "A note on using the Hodrick–Prescott filter in electricity markets," Energy Economics, Elsevier, vol. 48(C), pages 1-6.
    See citations under working paper version above.
  2. Weron, Rafał & Zator, Michał, 2014. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," Energy Economics, Elsevier, vol. 44(C), pages 178-190.
    See citations under working paper version above.Sorry, no citations of articles recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 4 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 (2) 2013-10-11 2014-03-30
  2. NEP-FOR: Forecasting (1) 2014-03-30
  3. NEP-INT: International Trade (1) 2018-12-24
  4. NEP-LMA: Labor Markets - Supply, Demand, and Wages (1) 2018-12-24
  5. NEP-REG: Regulation (1) 2013-08-23

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