In 2005, an EU-wide emissions trading scheme covering major CO2 producing sites shall come into power. The key objective of the trading scheme is to promote cost-efficiency of carbon reduction within the EU. We identify policy-relevant tradeoffs between overall efficiency, compensation and...

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...

This paper deals with the modeling of the relationship of European Union Allowance spot- and futures-prices within the second commitment period of the European Union Emission Trading Scheme. Based on high frequency data, we analyze causality in the first and the second conditional moments. To...