Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency

In this paper we model the adjustment process of European Union Allowance(EUA) prices to the releases of announcements at high-frequency controlling forintraday periodicity, volatility clustering and volatility persistence. We ¯nd thatthe high-frequency EUA price dynamics are very well captured by a fractionally in-tegrated asymmetric power GARCH process. The decisions of the European Com-mission on second National Allocation Plans have a strong and immediate impacton EUA prices. On the other hand, our results suggest that EUA prices are onlyweakly connected to indicators about the future economic development as well asthe current economic activity.[...]

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Year of publication:	2010-03-08
Authors:	Conrad, Christian ; Rittler, Daniel ; Rotfuß, Waldemar
Institutions:	Alfred-Weber-Institut für Sozial- und Staatswissenschaften <Heidelberg> ; Alfred-Weber-Institut für Sozial- und Staatswissenschaften <Heidelberg> ; Zentrum für Europäische Wirtschaftsforschung <Mannheim>
Published in:	Universität Heidelberg - Discussion Papers Discussion Paper Series No. 497
Subject:	Europäische Union \| Preisbildung \| pricing \| Spieltheorie \| game theory \| Akündigung \| Gedächtnis

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Extent:	570368 bytes 27 p. application/pdf
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies ; Q50 - Environmental Economics. General ; Specific management methods ; Terms and pricing policy ; Individual Reports, Studies ; Europe. General Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10009249002