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 …

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 …

the first and the second conditional moments. To reveal long run price discovery we compute the common factor weights … futures market to be the leader of the long run price discovery process whereas a bidirectional short run causality structure …

the high-frequency EUA price dynamics are very well captured by a fractionally integrated asymmetric power GARCH process …