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Pricing intraday dynamics across EUAS and CERS markets
Medina, Vicente; Pardo, Ángel; Pascual, RobertoThe 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...
Data: 2011
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Origem: Repositório Científico do Instituto Politécnico de Lisboa
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