Lutz, Benjamin Johannes; Pigorsch, Uta; Rotfuß, Waldemar - 2013
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 …