Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/127307
Authors: 
Conrad, Christian
Rittler, Daniel
Rotfuß, Waldemar
Year of Publication: 
2010
Series/Report no.: 
Discussion Paper Series, University of Heidelberg, Department of Economics 497
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
Second NAPs
Announcement Effects
Price Formation
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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