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Title:Modeling and explaining the dynamics of European Union allowance prices at high-frequency PDF Logo
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
Document Type:Working Paper
Appears in Collections:ZEW Discussion Papers
Publikationen von Forscherinnen und Forschern des ZEW

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