Directly to content
  1. Publishing |
  2. Search |
  3. Browse |
  4. Recent items rss |
  5. Open Access |
  6. Jur. Issues |
  7. DeutschClear Cookie - decide language by browser settings

Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency

Conrad, Christian and Rittler, Daniel and Rotfuß, Waldemar

[img]
Preview
PDF, English
Download (545Kb) | Terms of use

Citation of documents: Please do not cite the URL that is displayed in your browser location input, instead use the persistent URL or the URN below, as we can guarantee their long-time accessibility.

Abstract

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process. The decisions of the European Commission on second National Allocation Plans have a strong and immediate impact on EUA prices. On the other hand, our results suggest that EUA prices are only weakly connected to indicators about the future economic development as well as the current economic activity.

Item Type: Working paper
Date Deposited: 30 Mar 2010 15:56
Date: 2010
Faculties / Institutes: The Faculty of Economics and Social Studies > Alfred-Weber-Institut for Economics
Subjects: 330 Economics
Uncontrolled Keywords: EU ETS , EUA , Second NAPs , Announcement Effects , Price Formation
Schriftenreihe ID: Discussion Paper Series / University of Heidelberg, Department of Economics
About | FAQ | Contact | Imprint |
OA-LogoLogo der Open-Archives-Initiative