TY  - GEN
Y1  - 2010///
TI  - Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
N2  - 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.
ID  - heidok10494
AV  - public
A1  - Conrad, Christian
A1  - Rittler, Daniel
A1  - Rotfuß, Waldemar
KW  - EU ETS 
KW  -  EUA 
KW  -  Second NAPs 
KW  -  Announcement Effects 
KW  -  Price Formation 
UR  - https://archiv.ub.uni-heidelberg.de/volltextserver/10494/
ER  -