eprintid: 10094
rev_number: 6
eprint_status: archive
userid: 1
dir: disk0/00/01/00/94
datestamp: 2009-11-25 14:36:13
lastmod: 2012-08-15 08:50:48
status_changed: 2012-08-15 08:50:48
type: workingPaper
metadata_visibility: show
creators_name: Rittler, Daniel
title: Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis
ispublished: pub
subjects: 330
divisions: 181000
keywords: CO2 Emission Allowances , Causality , Volatility Transmission , Spot Prices , Futures Prices
abstract: This paper deals with the modeling of the relationship of European Union Allowance spot- and futures-prices within the second commitment period of the European Union Emission Trading Scheme. Based on high frequency data, we analyze causality in the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights proposed by Schwarz and Szakmary (1994) and the information share proposed by Hasbrouck (1995) based on the estimated coefficients of a vector error correction model. To analyze the short run dynamics we perform Granger causalty tests. The GARCH-BEKK model introduced by Engle and Kroner (1995) is employed to analyze the volatility transmission structure. We identify the futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure is observed. Furthermore we detect unidirectional volatility transmission from the futures to the spot market at highest frequencies.
abstract_translated_lang: eng
date: 2009
date_type: published
id_scheme: DOI
id_number: 10.11588/heidok.00010094
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0492
ppn_swb: 613870298
own_urn: urn:nbn:de:bsz:16-opus-100948
language: eng
bibsort: RITTLERDANPRICEDISCO2009
full_text_status: public
citation:   Rittler, Daniel  (2009) Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/10094/1/Rittler_2009_dp492.pdf