In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices … the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility … regime, both showing a strong impact of the fundamentals on the EUA price. The high volatility regime is predominant during …

This paper presents an introductory analysis of price formation and volatility in the European Union Emissions Trading … market. First, price formation seems to take place on price sets that are coarser than those offered by the exchanges. Second …, price formation in the EUA spot market (BlueNext) may be strongly affected by the price formation in the EUA futures market …

the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process … economic development as well as the current economic activity. -- EU ETS ; EUA ; Announcement Effects ; Price Formation ; Long …

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices … the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility … regime, both showing a strong impact of the fundamentals on the EUA price. The most important EUA price drivers are changes …

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 … ; price formation ; European Union Allowance (EUA) ; European Commission …