In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices …, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between … the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility …

factors (fossil fuel prices, economic activity, weather) affect the EUA price remained partially unresolved. Today, being … of gas, coal, and oil prices, of economic activity and of some weather variations. When including the relative price of …). Since its launch, the corresponding price has shown rather turbulent dynamics, including nervous reactions to policy …

In this paper we examine the nonlinear relation between the EUA price and its fundamentals, such as energy prices …, macroeconomic risk factors and weather conditions. By estimating a Markov regime-switching model, we find that the relation between … the EUA price and its fundamentals varies over time. In particular, we are able to identify a low and a high volatility …

In this paper we empirically investigate potential determinants of allowance (EUA) price dynamics in the European Union …, place particular emphasis on the importance of price variable selection, and include an extensive data of renewable energy … feed-in in Europe. We show (i) that results are extremely sensitive to choosing different price series of potential …

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 …

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

technologies are likely to be postponed due to the peculiar characteristics of emission allowance prices. Furthermore, this price …