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Liquidity and Price Discovery in the European CO2 Futures Market: An Intraday Analysis
16 references·16 citing·27 second hopsampled
Liquidity and Price Discovery in the European CO2 Futures Market: An Intraday Analysis (2008)Liquidity and Price Discovery in the Euro…Modeling the price dynamics of CO2 emission allowances (2008)Modeling the price dynamics o…Market microstructure: A survey (2000)Market microstructure: A surv…Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks (1997)Why Do Security Prices Change…The Components of the Bid-Ask Spread: A General Approach (1997)The Components of the Bid-Ask…One Security, Many Markets: Determining the Contributions to Price Discovery (1995)One Security, Many Markets: D…Estimation of Common Long-Memory Components in Cointegrated Systems (1995)Estimation of Common Long-Mem…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Testing for Common Trends (1988)Testing for Common TrendsStatistical analysis of cointegration vectors (1988)Statistical analysis of coint…Estimating the components of the bid/ask spread (1988)Estimating the components of …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…Some properties of time series data and their use in econometric model specification (1981)Some properties of time serie…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…The Only Game in Town (1971)The Only Game in TownDynamic multiscale interactions between European carbon and electricity markets during 2005–2016 (2017)Dynamic multiscale interactio…Can energy commodity futures add to the value of carbon assets? (2017)Can energy commodity futures …Why do carbon prices and price volatility change? (2015)Why do carbon prices and pric…What makes carbon traders cluster their orders? (2014)What makes carbon traders clu…Liquidity and resolution of uncertainty in the European carbon futures market (2014)Liquidity and resolution of u…Dynamic linkages among carbon, energy and financial markets: a smooth transition approach (2014)Dynamic linkages among carbon…Downside risks in EU carbon and fossil fuel markets (2014)Downside risks in EU carbon a…Trading patterns in the European carbon market: The role of trading intensity and OTC transactions (2013)Trading patterns in the Europ…Price Discovery and Trading after Hours: New Evidence from the World’s Largest Carbon Exchange (2013)Price Discovery and Trading a…Modeling EU allowances and oil market interdependence. Implications for portfolio management (2012)Modeling EU allowances and oi…Is the EUA a new asset class? (2012)Is the EUA a new asset class?Does order flow in the European Carbon Futures Market reveal information? (2012)Does order flow in the Europe…Catalysts for Price Discovery in the European Union Emissions Trading System (2012)Catalysts for Price Discovery…The Market Microstructure of the European Climate Exchange (2010)The Market Microstructure of …Understanding volatility dynamics in the EU-ETS market: lessons from the future (2009)Understanding volatility dyna…Options Introduction and Volatility in the EU ETS (2009)Options Introduction and Vola…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Testing for a Unit Root in Time Series Regression (1988)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Book Review: Time Series Analysis: Forecasting and Control (1977)Bounds testing approaches to the analysis of level relationships (2001)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Trends and random walks in macroeconmic time series (1982)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Continuous Auctions and Insider Trading (1985)Measuring the Information Content of Stock Trades (1991)Econometric measures of connectedness and systemic risk in the finance and insurance sectors (2012)Fractional Brownian Motions, Fractional Noises and Applications (1968)Cointegration and Tests of Present Value Models (1987)Inferring Trade Direction from Intraday Data (1991)An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps (2005)Realized Variance and Market Microstructure Noise (2006)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root26,976 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,637 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1981Some properties of time series data and their use in econometric model specification2,450 cited
  • 1988Testing for Common Trends1,983 cited
  • 1995One Security, Many Markets: Determining the Contributions to Price Discovery1,625 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 1995Estimation of Common Long-Memory Components in Cointegrated Systems1,393 cited
  • 2000Market microstructure: A survey1,147 cited
  • 1997The Components of the Bid-Ask Spread: A General Approach1,145 cited
  • 1997Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks960 cited
  • 1971The Only Game in Town

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855 cited
  • 2008Modeling the price dynamics of CO2 emission allowances697 cited
  • Cited by

    • 2012Modeling EU allowances and oil market interdependence. Implications for portfolio management95 cited
    • 2014Dynamic linkages among carbon, energy and financial markets: a smooth transition approach80 cited
    • 2017Can energy commodity futures add to the value of carbon assets?65 cited
    • 2017Dynamic multiscale interactions between European carbon and electricity markets during 2005–201661 cited
    • 2015Why do carbon prices and price volatility change?49 cited
    • 2012Does order flow in the European Carbon Futures Market reveal information?46 cited
    • 2009Options Introduction and Volatility in the EU ETS37 cited
    • 2012Catalysts for Price Discovery in the European Union Emissions Trading System33 cited
    • 2014Liquidity and resolution of uncertainty in the European carbon futures market32 cited
    • 2014Downside risks in EU carbon and fossil fuel markets25 cited
    • 2012Is the EUA a new asset class?23 cited
    • 2010The Market Microstructure of the European Climate Exchange23 cited
    • 2013Price Discovery and Trading after Hours: New Evidence from the World’s Largest Carbon Exchange21 cited
    • 2014What makes carbon traders cluster their orders?21 cited
    • 2009Understanding volatility dynamics in the EU-ETS market: lessons from the future21 cited
    • 2013Trading patterns in the European carbon market: The role of trading intensity and OTC transactions17 cited