Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - 2013 - First version: Januar 2013 ; This version: April 2013
In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between the EUA price and its fundamentals varies over...
