Maciejowska, Katarzyna - Hugo Steinhaus Center for Stochastic Methods, … - 2014
In the paper, Structural Vector Autoregressive models (SVAR) are used to identify fundamental and speculative shocks …, in the UK electricity market. The structural shocks are identified via short run restrictions, which are imposed on the … matrix of instantaneous effects. In the research, two main types of shocks are considered: fundamental shocks, which result …