Publication
Pricing intraday dynamics across EUAS and CERS markets
| dc.contributor.author | Medina, Vicente | |
| dc.contributor.author | Pardo, Ángel | |
| dc.contributor.author | Pascual, Roberto | |
| dc.date.accessioned | 2012-04-23T12:18:06Z | |
| dc.date.available | 2012-04-23T12:18:06Z | |
| dc.date.issued | 2011-07 | |
| dc.description.abstract | The relative contribution of European Union Allowances (EUAs) and Certified Emission Reductions (CERs) to the price discovery of their common true value has been empirically studied using daily data with inconclusive results. In this paper, we study the short-run and long-run price dynamics between EUAs and CERs future contracts using intraday data. We report a bidirectional feedback causality relationship both in the short-run and in the long-run, with the EUA's market being the leader. | por |
| dc.identifier.uri | http://hdl.handle.net/10400.21/1425 | |
| dc.language.iso | eng | por |
| dc.peerreviewed | yes | por |
| dc.subject | European Union Allowance | por |
| dc.subject | Certified Emission Reduction | por |
| dc.subject | Cointegration tests | por |
| dc.subject | Intraday analysis | por |
| dc.title | Pricing intraday dynamics across EUAS and CERS markets | por |
| dc.type | conference object | |
| dspace.entity.type | Publication | |
| oaire.citation.conferencePlace | XII Iberian-Italian Congress of Financial and Actuarial Mathematics | por |
| rcaap.rights | openAccess | por |
| rcaap.type | conferenceObject | por |