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Modeling and explaining the dynamics of European Union Allowance prices at high-frequency

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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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Bibliographische Detailangaben
Hauptverfasser: Conrad, Christian (VerfasserIn) , Rittler, Daniel (VerfasserIn) , Rotfuß, Waldemar (VerfasserIn)
Dokumenttyp: Buch/Monographie Arbeitspapier
Sprache:Englisch
Veröffentlicht: Heidelberg Universitätsbibliothek der Universität Heidelberg March 8, 2010
Schriftenreihe:Discussion paper series / Universität Heidelberg, Department of Economics No. 497
In: Discussion paper series (no. 497)

Schlagworte:
Arbeitspapier
Graue Literatur
Online-Zugang: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
Volltext
Verfasserangaben:Christian Conrad; Daniel Rittler; Waldemar Rotfuß

MARC

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