Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/36377 
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dc.contributor.authorConrad, Christianen
dc.contributor.authorRittler, Danielen
dc.contributor.authorRotfuß, Waldemaren
dc.date.accessioned2010-06-29-
dc.date.accessioned2010-07-07T13:29:18Z-
dc.date.available2010-07-07T13:29:18Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aZentrum für Europäische Wirtschaftsforschung (ZEW) |cMannheimen
dc.relation.ispartofseries|aZEW Discussion Papers |x10-038en
dc.subject.jelC22en
dc.subject.jelG13en
dc.subject.jelG14en
dc.subject.jelQ50en
dc.subject.ddc330en
dc.subject.keywordEU ETSen
dc.subject.keywordEUAen
dc.subject.keywordAnnouncement Effectsen
dc.subject.keywordPrice Formationen
dc.subject.keywordLong Memoryen
dc.subject.stwEmissionsrechteen
dc.subject.stwPreisen
dc.subject.stwVolatilitäten
dc.subject.stwAnkündigungseffekten
dc.subject.stwEmissionshandelen
dc.subject.stwZeitreihenanalyseen
dc.subject.stwSchätzungen
dc.subject.stwEU-Staatenen
dc.titleModeling and explaining the dynamics of European Union allowance prices at high-frequency-
dc.type|aWorking Paperen
dc.identifier.ppn630177643en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:zewdip:10038en

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