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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - 2010
at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …
Persistent link: https://www.econbiz.de/10010300507
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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - 2009
This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...
Persistent link: https://www.econbiz.de/10010299076
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The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs
Rotfuß, Waldemar; Conrad, Christian; Rittler, Daniel - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009
This paper empirically examines price formation in the European Union Emissions Trading Scheme (EU ETS). Our analysis shows that unexpected allocations of European Union Allowances (EUAs) lead to pronounced price reactions of the expected signs. Moreover, we find evidence that the adjustment of...
Persistent link: https://www.econbiz.de/10008533676
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Modeling and explaining the dynamics of European Union allowance prices at high-frequency
Conrad, Christian; Rittler, Daniel; Rotfuß, Waldemar - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2010
at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …
Persistent link: https://www.econbiz.de/10008568591
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A mean variance king? Creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter E. - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10010297797
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Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis
Rotfuß, Waldemar - 2009
This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading … (ICE Futures). The typical U-shaped pattern of intraday volatility, that is often observed in organized financial markets …, is partly present in the EUA futures market. Similar to other classical financial markets, realized volatility estimates …
Persistent link: https://www.econbiz.de/10010298790
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Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data
Steiner, Christian; Groß, Anne; Entorf, Horst - 2009
for Germany, i.e. the ifo Business Climate Index and the ZEW Indicator of Economic Sentiment. From the methodological …. Announcements of both institutes are also clearly and immediately reflected in the volatility, which remains at a significantly … higher level for approximately two minutes slightly elevated for approximately 15 minutes. Combining returns and volatility …
Persistent link: https://www.econbiz.de/10010298727
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International Stock Return Predictability Under Model Uncertainty
Schrimpf, Andreas - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10010298059
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A mean variance king? Creation and resolution of uncertainty under the employment report's reign
Hautsch, Nikolaus; Hess, Dieter E. - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2001
differences of opinion is left, and hence volatility is decreased. …
Persistent link: https://www.econbiz.de/10005098166
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Are IPOs of Different VCs Different?
Tykvová, Tereza; Walz, Uwe - 2004
set embracing all IPOs that have occurred on Germany's Neuer Markt. Our main finding is that significant differences among …
Persistent link: https://www.econbiz.de/10010297354