SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Liquidity and Price Discovery in the European CO2 Futures Market: An Intraday Analysis · Study

PreprintShelves

PreprintLiquidity and Price Discovery in the European CO2 Futures Market: An Intraday Analysis

Eva A. Benz2008

OA

Preprintgreen2008

Liquidity and Price Discovery in the European CO2 Futures Market: An Intraday Analysis

Eva A. Benz · Jördis Hengelbrock

51 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Financial Markets and Investment Strategies Stochastic processes and financial applications Market Dynamics and Volatility

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 51 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root 1988Statistical analysis of cointegration vectors 1992Testing the null hypothesis of stationarity against the alternative of a unit root 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1981Some properties of time series data and their use in econometric model specification 1988Testing for Common Trends

Cited by

2012Modeling EU allowances and oil market interdependence. Implications for portfolio management 2014Dynamic linkages among carbon, energy and financial markets: a smooth transition approach 2017Can energy commodity futures add to the value of carbon assets?2017Dynamic multiscale interactions between European carbon and electricity markets during 2005–2016 2015Why do carbon prices and price volatility change?

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2008Price Discovery and Liquidity in the European CO2 Futures Market: An Intraday Analysispreprint · 23 shared references 2017Cointegration and price discovery in US corn cash and futures marketsarticle · 11 shared references 2009Futures Price Dynamics of CO2Emission Allowances:An Empirical Analysis of the Trial Periodarticle · 11 shared references 2006Cross-listing, price discovery and the informativeness of the trading processarticle · 10 shared references 2014The timeline of trading frictions in the European carbon marketarticle · 10 shared references 2023Price discovery in carbon exchange traded fund marketsarticle · 10 shared references

Details

Year2008

Typepreprint

Published2008-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations51

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2139/ssrn.1143923

openalex_workW1550875383

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2012Does order flow in the European Carbon Futures Market reveal information?

2009Options Introduction and Volatility in the EU ETS

2012Catalysts for Price Discovery in the European Union Emissions Trading System