eprintid: 10494
rev_number: 5
eprint_status: archive
userid: 1
dir: disk0/00/01/04/94
datestamp: 2010-03-30 15:56:11
lastmod: 2015-04-24 08:37:35
status_changed: 2012-08-15 08:53:16
type: workingPaper
metadata_visibility: show
creators_name: Conrad, Christian
creators_name: Rittler, Daniel
creators_name: Rotfuß, Waldemar
title: Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
ispublished: pub
subjects: 330
divisions: 181000
keywords: EU ETS , EUA , Second NAPs , Announcement Effects , Price Formation 
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.
abstract_translated_lang: eng
date: 2010
date_type: published
id_scheme: DOI
id_number: 10.11588/heidok.00010494
schriftenreihe_cluster_id: sr-3
schriftenreihe_order: 0497
ppn_swb: 623037378
own_urn: urn:nbn:de:bsz:16-opus-104945
language: eng
bibsort: CONRADCHRIMODELINGAN2010
full_text_status: public
citation:   Conrad, Christian ; Rittler, Daniel ; Rotfuß, Waldemar  (2010) Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency.  [Working paper]     
document_url: https://archiv.ub.uni-heidelberg.de/volltextserver/10494/1/Conrad_Rittler_Rotfuss_2010_dp497.pdf