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...
Gespeichert in:
| Hauptverfasser: | , , |
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| Dokumenttyp: | Book/Monograph Arbeitspapier |
| Sprache: | Englisch |
| Veröffentlicht: |
Heidelberg
Universitätsbibliothek der Universität Heidelberg
March 8, 2010
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| Schriftenreihe: | Discussion paper series / Universität Heidelberg, Department of Economics
No. 497 |
| In: |
Discussion paper series (no. 497)
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| Schlagworte: | |
| 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 
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| Verfasserangaben: | Christian Conrad; Daniel Rittler; Waldemar Rotfuß |
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Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
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