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http://hdl.handle.net/10419/36377
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| Title: | | Modeling and explaining the dynamics of European Union allowance prices at high-frequency  |
| Authors: | | Conrad, Christian Rittler, Daniel Rotfuß, Waldemar |
| Issue Date: | | 2010 |
| Series/Report no.: | | ZEW Discussion Papers 10-038 |
| 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 |
| Appears in Collections: | | Publikationen von Forscherinnen und Forschern des ZEW ZEW Discussion Papers
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