Modeling and explaining the dynamics of European Union Allowance prices at high-frequency
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...
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| Veröffentlicht in: | Energy economics 2012, Vol.34 (1), p.316-326 |
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| container_end_page | 326 |
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| container_title | Energy economics |
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| creator | Conrad, Christian Rittler, Daniel Rotfuß, Waldemar |
| description | 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. Further, EUA prices increase in response to better than expected news on the future economic development as well as the current economic activity in Germany and the U.S. |
| doi_str_mv | 10.1016/j.eneco.2011.02.011 |
| format | Article |
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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. Further, EUA prices increase in response to better than expected news on the future economic development as well as the current economic activity in Germany and the U.S.</description><subject>Air pollution caused by fuel industries</subject><subject>Allocations</subject><subject>Allowances</subject><subject>Announcement effects</subject><subject>Applied sciences</subject><subject>Asymmetry</subject><subject>Carbon emissions</subject><subject>Cluster analysis</subject><subject>Dynamics</subject><subject>Economic development</subject><subject>Economics</subject><subject>Emissions trading</subject><subject>Energy</subject><subject>Energy economics</subject><subject>Energy policy</subject><subject>Energy. Thermal use of fuels</subject><subject>EU ETS</subject><subject>EUA</subject><subject>Europe</subject><subject>European commission</subject><subject>European Union</subject><subject>Exact sciences and technology</subject><subject>GARCH models</subject><subject>General. Regulations. Norms. Economy</subject><subject>Germany</subject><subject>Long memory</subject><subject>News</subject><subject>Price formation</subject><subject>Prices</subject><subject>Pricing</subject><subject>Second NAPs</subject><subject>Stochastic models</subject><subject>Stock prices</subject><subject>Studies</subject><subject>Volatility</subject><issn>0140-9883</issn><issn>1873-6181</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2012</creationdate><recordtype>article</recordtype><sourceid>7TQ</sourceid><recordid>eNqFkcFuEzEQhlcIJELhCbhYSAguu3jstdc-cKiq0iIVcaEHTpZjjxtHGzvYCZC3xyEVBw7t6ddovpmR5uu610AHoCA_rAdM6PLAKMBA2dDiSbcANfFegoKn3YLCSHutFH_evah1TSkVUqhF9_1L9jjHdEds8gR_b2cb07HcrZD4Q7Kb6CrJgVzuS96iTeQ2xZzI-TznXzY5JNsSHVZid2QV71Z9KPhjj8kdXnbPgp0rvrrPs-720-W3i-v-5uvV54vzm94JrXc9eFxajcFzTr3gMiwd80FQpqVnKkwiWB6EBlA-BCepW9IpLBVVXmvOWvOse3fauy25Xa47s4nV4TzbhHlfjWbANFVyauT7B0mQE3ChJBsfR5ka6TTJER5HYWoixKiP6Jv_0HXel9S-YzQoybUA0SB-glzJtRYMpn14Y8vBADVH22Zt_to2R9uGMtOiTb29X22rs3MozU2s_0aZGKVUo27cxxOHTcnPiMVUF5su9LGg2xmf44N3_gCDHL_N</recordid><startdate>2012</startdate><enddate>2012</enddate><creator>Conrad, Christian</creator><creator>Rittler, Daniel</creator><creator>Rotfuß, Waldemar</creator><general>Elsevier B.V</general><general>Elsevier</general><general>Elsevier Science Ltd</general><scope>IQODW</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>7ST</scope><scope>7TA</scope><scope>7TQ</scope><scope>8BJ</scope><scope>8FD</scope><scope>C1K</scope><scope>DHY</scope><scope>DON</scope><scope>FQK</scope><scope>JBE</scope><scope>JG9</scope><scope>SOI</scope><scope>7SU</scope><scope>FR3</scope></search><sort><creationdate>2012</creationdate><title>Modeling and explaining the dynamics of European Union Allowance prices at high-frequency</title><author>Conrad, Christian ; Rittler, Daniel ; Rotfuß, Waldemar</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c599t-1deba9efd330d536fbc2df50296d28f75fa3f59118dffc60cb07fb808d9932fa3</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2012</creationdate><topic>Air pollution caused by fuel industries</topic><topic>Allocations</topic><topic>Allowances</topic><topic>Announcement effects</topic><topic>Applied sciences</topic><topic>Asymmetry</topic><topic>Carbon emissions</topic><topic>Cluster analysis</topic><topic>Dynamics</topic><topic>Economic development</topic><topic>Economics</topic><topic>Emissions trading</topic><topic>Energy</topic><topic>Energy economics</topic><topic>Energy policy</topic><topic>Energy. 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| fulltext | fulltext |
| identifier | ISSN: 0140-9883 |
| ispartof | Energy economics, 2012, Vol.34 (1), p.316-326 |
| issn | 0140-9883 1873-6181 |
| language | eng |
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| source | PAIS Index; Elsevier ScienceDirect Journals |
| subjects | Air pollution caused by fuel industries Allocations Allowances Announcement effects Applied sciences Asymmetry Carbon emissions Cluster analysis Dynamics Economic development Economics Emissions trading Energy Energy economics Energy policy Energy. Thermal use of fuels EU ETS EUA Europe European commission European Union Exact sciences and technology GARCH models General. Regulations. Norms. Economy Germany Long memory News Price formation Prices Pricing Second NAPs Stochastic models Stock prices Studies Volatility |
| title | Modeling and explaining the dynamics of European Union Allowance prices at high-frequency |
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