title: Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
creator: Conrad, Christian
creator: Rittler, Daniel
creator: Rotfuß, Waldemar
subject: 330
subject: 330 Economics
description: 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.
date: 2010
type: Working paper
type: info:eu-repo/semantics/workingPaper
type: NonPeerReviewed
format: application/pdf
identifier: https://archiv.ub.uni-heidelberg.de/volltextserverhttps://archiv.ub.uni-heidelberg.de/volltextserver/10494/1/Conrad_Rittler_Rotfuss_2010_dp497.pdf
identifier: DOI:10.11588/heidok.00010494
identifier: urn:nbn:de:bsz:16-opus-104945
identifier:   Conrad, Christian ; Rittler, Daniel ; Rotfuß, Waldemar  (2010) Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency.  [Working paper]     
relation: https://archiv.ub.uni-heidelberg.de/volltextserver/10494/
rights: info:eu-repo/semantics/openAccess
rights: http://archiv.ub.uni-heidelberg.de/volltextserver/help/license_urhg.html
language: eng