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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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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
Beschreibung
Zusammenfassung: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.
Beschreibung:Online publiziert: 2010
Beschreibung:Online Resource
Dokumenttyp:Systemvoraussetzungen: Acrobat Reader.

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