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

  title={Modeling and explaining the dynamics of European Union allowance prices at high-frequency},
  author={Christian Conrad and Daniel Rittler and Waldemar Rotfu\ss},
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
Highly Cited
This paper has 18 citations. REVIEW CITATIONS


Publications citing this paper.
Showing 1-10 of 13 extracted citations

An empirical investigation on the risk-return relationship of carbon future market

J. Systems Science & Complexity • 2016
View 3 Excerpts
Highly Influenced

How to discriminate market conditions based on its price jump information? A result in EU ETS

2018 International Conference on Information Management and Processing (ICIMP) • 2018
View 1 Excerpt


Publications referenced by this paper.
Showing 1-10 of 27 references

Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High-Frequency Analysis,

D. Rittler
View 6 Excerpts
Highly Influenced

An Overview of Current Research on EU ETS: Evidence from its Operating Mechanism and Economic Effect,

Zhang, Y.-J, Y.-M. Wei
Applied Energy, forthcoming • 2010

Carbon Futures and Macroeconomic Risk Factors: A View From the EU ETS,

J. Chevallier
Energy Economics, • 2009
View 3 Excerpts

Impact of Regulatory Announcements on CO2 prices,

M. Mansanet-Bataller, T. Pardo
Journal of Energy Markets, • 2009
View 2 Excerpts

Modeling CO2 Emission Allowance Prices and Derivatives: Evidence from the European Trading Scheme,

G. Daskalakis, D. Psychoyios, R. Markellos
Journal of Banking and Finance, • 2009
View 1 Excerpt

Modeling the Price Dynamics of CO2 Emission Allowances,

E. Benz
Trueck • 2009

Which News Moves the Euro Area Bond Market?,

M. Andersson, L. J. Overby, S. Sebestyen
German Economic Review, • 2009
View 1 Excerpt

Similar Papers

Loading similar papers…