Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/36377 
Year of Publication: 
2010
Series/Report no.: 
ZEW Discussion Papers No. 10-038
Publisher: 
Zentrum für Europäische Wirtschaftsforschung (ZEW), Mannheim
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.
Subjects: 
EU ETS
EUA
Announcement Effects
Price Formation
Long Memory
JEL: 
C22
G13
G14
Q50
Document Type: 
Working Paper

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