Price discovery and volatility spillovers in the European Union emissions trading scheme: A high-frequency analysis

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What explains the short-term dynamics of the prices of CO2 emissions? (2014, background): “5 and Wagner (2006), and Seifert et al. (2008). For instance, Daskalakis et al.”
On the Linkages between Stock Prices and Exchange Rates: Evidence from the Banking Crisis of 2007-2010 (2014, methodology): “7 See also Rittler (2012) for an asymmetric unrestricted extended DCC-GARCH model used to examine the relationship between European Union Allowance spot- and future-prices within the second commitment period of the European Union emissions trading scheme.”
What Do Price Discovery Metrics Really Measure (2013, methodology): “…1995 0.72 0.80 0.29 1996 0.72 0.80 0.28 1997 0.70 0.78 0.30 1998 0.50 0.73 0.12 1999 0.61 0.78 0.17 2000 0.71 0.82 0.23 2001 0.83 0.85 0.41 Panel B: Rittler (2012) Full sample Futures Futures Futures 10min 0.69 0.72 0.42 30min 0.58 0.73 0.21 2008 10min 0.65 0.59 0.63 30min 0.52 0.51 0.52 2009…”
Risk Spillovers across the Energy and Carbon Markets and Hedging Strategies for Carbon Risk (2016, background): “…and Markellos, 2008; Seifert et al., 2008; Milunovich and Joyeux, 2010; Arouri et al., 2012); and ii) the volatility transmission between carbon spot and futures markets as well as the links between energy prices and and carbon prices (e.g., Rittler, 2012; Aatola et al., 2013; Lutz al., 2013).”