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the equality of prices. However, EUA prices exceed CER prices. Prior studies on the price spread between the EUA and the … price spread is missing. In this paper, I address this gap and analyse the process that describes the dynamic evolution of … the price spread by employing a time-varying parameter analysis, in addition to standard techniques. This paper explicitly …
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among prices from major wheat producing regions: Canada, the European Union, Argentina, Australia, and the United States. An … ambiguity related to the cyclic or acyclic flow of information between Canada and Australia is uncovered. We condition our …
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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 …
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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 …
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