Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures …, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market …, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …

Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures …, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market …, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …

Scheme using highfrequency data. The results show that there are several anomalies both in the EUA spot and EUA futures …, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market …, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements … 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 …

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements … 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 …

In this paper we model the adjustment process of European Union Allowance (EUA) prices to the releases of announcements … 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 …

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices … the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility … regime, both showing a strong impact of the fundamentals on the EUA price. The most important EUA price drivers are changes …