Modeling and explaining the dynamics of European Union Allowance prices at high-frequency

• Verfasst von: Conrad, Christian [VerfasserIn]
• Verfasst von: Rittler, Daniel [VerfasserIn]
• Verfasst von: Rotfuß, Waldemar [VerfasserIn]
• Titel: Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
• Verf.angabe: Christian Conrad; Daniel Rittler; Waldemar Rotfuß
• Verlagsort: Heidelberg
• Verlag: Universitätsbibliothek der Universität Heidelberg
• E-Jahr: 2010
• Jahr: March 8, 2010
• Umfang: 1 Online-Ressource
• Gesamttitel/Reihe: Discussion paper series / Universität Heidelberg, Department of Economics ; No. 497
• Fussnoten: Online publiziert: 2010
• ComputerInfo: Systemvoraussetzungen: Acrobat Reader.
• URN: urn:nbn:de:bsz:16-opus-104945
• Datenträger: Online-Ressource
• Sprache: eng
• Sach-SW: EU ETS
• Sach-SW: EUA
• Sach-SW: Second NAPs
• Sach-SW: Announcement Effects
• Sach-SW: Price Formation
• Form-SW: Arbeitspapier
• Form-SW: Graue Literatur
• K10plus-PPN: 623037378
• K10plus-PPN:
  Universitätsbibliothek
• Lokale URL UB: Zum Volltext

Abstract

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 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 prices. On the other hand, our results suggest that EUA prices are only weakly connected to indicators about the future economic development as well as the current economic activity.