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

@inproceedings{Conrad2010ModelingAE,
  title={Modeling and explaining the dynamics of European Union allowance prices at high-frequency},
  author={Christian Conrad and Daniel Rittler and Waldemar Rotfu\ss},
  year={2010}
}
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… CONTINUE READING
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