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dc.contributor.authorConrad, Christianen_US
dc.contributor.authorRittler, Danielen_US
dc.contributor.authorRotfuß, Waldemaren_US
dc.date.accessioned2010-06-29en_US
dc.date.accessioned2010-07-07T13:29:18Z-
dc.date.available2010-07-07T13:29:18Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/36377-
dc.description.abstractIn 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.en_US
dc.language.isoengen_US
dc.publisherZentrum für Europäische Wirtschaftsforschung (ZEW) Mannheimen_US
dc.relation.ispartofseriesZEW Discussion Papers 10-038en_US
dc.subject.jelC22en_US
dc.subject.jelG13en_US
dc.subject.jelG14en_US
dc.subject.jelQ50en_US
dc.subject.ddc330en_US
dc.subject.keywordEU ETSen_US
dc.subject.keywordEUAen_US
dc.subject.keywordAnnouncement Effectsen_US
dc.subject.keywordPrice Formationen_US
dc.subject.keywordLong Memoryen_US
dc.subject.stwEmissionsrechteen_US
dc.subject.stwPreisen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwAnkündigungseffekten_US
dc.subject.stwEmissionshandelen_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwSchätzungen_US
dc.subject.stwEU-Staatenen_US
dc.titleModeling and explaining the dynamics of European Union allowance prices at high-frequencyen_US
dc.typeWorking Paperen_US
dc.identifier.ppn630177643en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:zewdip:10038-
Appears in Collections:Publikationen von Forscherinnen und Forschern des ZEW
ZEW Discussion Papers

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