Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
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...
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| Main Authors: | , , |
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| Format: | Book/Monograph Working Paper |
| Language: | English |
| Published: |
Heidelberg
Universitätsbibliothek der Universität Heidelberg
March 8, 2010
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| Series: | Discussion paper series / Universität Heidelberg, Department of Economics
No. 497 |
| In: |
Discussion paper series (no. 497)
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| Subjects: | |
| Online Access: | Resolving-System, kostenfrei, Volltext: http://nbn-resolving.de/urn:nbn:de:bsz:16-opus-104945 Resolving-System, Volltext: http://hdl.handle.net/10419/127307 Verlag, Volltext: http://www.ub.uni-heidelberg.de/archiv/10494 Verlag, Volltext: http://archiv.ub.uni-heidelberg.de/volltextserver/volltexte/2010/10494/pdf/Conrad_Rittler_Rotfuss_2010_dp497.pdf 
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| Author Notes: | Christian Conrad; Daniel Rittler; Waldemar Rotfuß |
| Summary: | 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. |
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| Item Description: | Online publiziert: 2010 |
| Physical Description: | Online Resource |
| Format: | Systemvoraussetzungen: Acrobat Reader. |