Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - 2013 - First version: Januar 2013 ; This version: April 2013
, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between … regime, both showing a strong impact of the fundamentals on the EUA price. The most important EUA price drivers are changes … the low volatility regime, respectively. The high volatility regime is predominant in phases when economic activities are …