Modeling and Explaining the Dynamics of European Union Allowance Prices at High-Frequency
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Note: This paper is part of http://archiv.ub.uni-heidelberg.de/volltextserver/view/schriftenreihen/sr-3.html
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- Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2012. "Modeling and explaining the dynamics of European Union Allowance prices at high-frequency," Energy Economics, Elsevier, vol. 34(1), pages 316-326.
- Conrad, Christian & Rittler, Daniel & Rotfuß, Waldemar, 2010. "Modeling and explaining the dynamics of European Union allowance prices at high-frequency," ZEW Discussion Papers 10-038, ZEW - Leibniz Centre for European Economic Research.
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Cited by:
- Chevallier, Julien & Le Pen, Yannick & Sévi, Benoît, 2011.
"Options introduction and volatility in the EU ETS,"
Resource and Energy Economics, Elsevier, vol. 33(4), pages 855-880.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," Working Papers hal-00419339, HAL.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011. "Options introduction and volatility in the EU ETS," Post-Print hal-00991848, HAL.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2011. "Options introduction and volatility in the EU ETS," Working Papers 1107, Chaire Economie du climat.
- Julien Chevallier & Yannick Le Pen & Benoît Sévi, 2009. "Options introduction and volatility in the EU ETS," EconomiX Working Papers 2009-33, University of Paris Nanterre, EconomiX.
- Stefan Trück & Wolfgang Härdle & Rafal Weron, 2012. "The relationship between spot and futures CO2 emission allowance prices in the EU-ETS," HSC Research Reports HSC/12/02, Hugo Steinhaus Center, Wroclaw University of Technology.
- Chevallier, Julien, 2011. "A model of carbon price interactions with macroeconomic and energy dynamics," Energy Economics, Elsevier, vol. 33(6), pages 1295-1312.
- Löschel, Andreas & Brockmann, Karl Ludwig & Heindl, Peter & Lutz, Benjamin & Schumacher, Jan, 2011. "KfW/ZEW CO2 Barometer 2011: Hoher Anpassungsbedarf im EU-Emissionshandel ab 2013 – deutliche Defizite bei der Vorbereitung in den Unternehmen," KfW/ZEW-CO2-Barometer, ZEW - Leibniz Centre for European Economic Research, number 109795.
- Jianguo Zhou & Xuejing Huo & Xiaolei Xu & Yushuo Li, 2019. "Forecasting the Carbon Price Using Extreme-Point Symmetric Mode Decomposition and Extreme Learning Machine Optimized by the Grey Wolf Optimizer Algorithm," Energies, MDPI, vol. 12(5), pages 1-22, March.
- Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2015.
"Carbon Price Analysis Using Empirical Mode Decomposition,"
Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 195-206, February.
- Bangzhu Zhu & Ping Wang & Julien Chevallier & Yiming Wei, 2014. "Carbon price analysis using empirical mode decomposition," Working Papers 2014-156, Department of Research, Ipag Business School.
- Thijs Benschopa & Brenda López Cabrera, 2014. "Volatility Modelling of CO2 Emission Allowance Spot Prices with Regime-Switching GARCH Models," SFB 649 Discussion Papers SFB649DP2014-050, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Bildirici, Melike & Ersin, Özgür, 2012. "Nonlinear volatility models in economics: smooth transition and neural network augmented GARCH, APGARCH, FIGARCH and FIAPGARCH models," MPRA Paper 40330, University Library of Munich, Germany, revised May 2012.
- Chevallier, Julien, 2011. "Evaluating the carbon-macroeconomy relationship: Evidence from threshold vector error-correction and Markov-switching VAR models," Economic Modelling, Elsevier, vol. 28(6), pages 2634-2656.
- Rotfuß, Waldemar, 2010. "Preise für Europäische CO2-Zertifikate und die Realwirtschaft," ZEW Wachstums- und Konjunkturanalysen, ZEW - Leibniz Centre for European Economic Research, vol. 13(4), pages 8-9.
- Rittler, Daniel, 2009. "Price Discovery, Causality and Volatility Spillovers in European Union Allowances Phase II: A High Frequency Analysis," Working Papers 0492, University of Heidelberg, Department of Economics.
More about this item
Keywords
EU ETS; EUA; Second NAPs; Announcement Effects; Price Formation;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- Q50 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Environmental Economics - - - General
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