This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b)....

Die ausreichende und beständige Verfügbarkeit von Energie ist für hoch entwickelte Industrieländer eine unabdingbare Voraussetzung für ihre wirtschaftliche Entwicklung. Das gilt für alle Bereiche einer modernen Volkswirtschaft, angefangen vom Produktionssektor über den Transport- und den...

This paper applies different copulas in order to investigate the complex dependence structure between EU emission allowance (EUA) futures returns and those of other commodities, equity and energy indices. The analysis yields important insights into the relationship between carbon, commodities...

Eine bessere Vernetzung der europäischen Strommärkte zu erreichen ist ein wichtiges aktuelles Ziel der Energiepolitik, hauptsächlich motiviert durch den starken Ausbau erneuerbarer Energien. Vor diesem Hintergrund blickt dieser Beitrag auf aktuelle Entwicklungen des deutschen...

This paper, first, empirically investigates European emission allowance (EUA) prices and, second, evaluates emission trading as a policy measure. Applying combined jump GARCH models yields strong evidence of conditional jump behavior. This implies that EUA prices are subject to unexpected...

Because of a link between the EU ETS and the Kyoto Flexible Mechanisms, the emission certificates traded on these markets are in principle interchangeable assets; despite of this, a persistent price difference exists. We explain this price spread using a theoretical model that combines three...

This paper proposes a new measure for the evaluation of financial market efficiency, the so-called intermittency coefficient. This is a multifractality measure that can quantify the deviation from a random walk within the framework of the multifractal random walk model by Bacry et al. (2001b)....