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

Christian Conrad, Daniel Rittler and Waldemar Rotfuß ()

No 10-038, ZEW Discussion Papers from ZEW - Leibniz Centre for European Economic Research

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.

Keywords: EU ETS; EUA; Announcement Effects; Price Formation; Long Memory (search for similar items in EconPapers)
JEL-codes: C22 G13 G14 Q50 (search for similar items in EconPapers)
Date: 2010
New Economics Papers: this item is included in nep-ene, nep-eur and nep-mst
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Citations: View citations in EconPapers (13)

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Related works:
Journal Article: Modeling and explaining the dynamics of European Union Allowance prices at high-frequency (2012)
Working Paper: Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:zewdip:10038

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