stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

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 …

at high-frequency controlling for intraday periodicity, volatility clustering and volatility persistence. We find that …

. 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 … in a GARCH(1,1)-model, the paper reveals that significant increases in volatility only show up in the presence of …

-amerikanischen Häusermarkt die zu anderen Asset-Märkten analogen ARCH-Effekte des Volatility- Clusterings und einer leptokurtischen … Konsequenzen befassen. -- Asset-pricing ; GARCH ; house prices ; house price volatility …

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 …