Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - In: Energy Economics 34 (2012) 1, pp. 316-326
In 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...