This paper focuses on the relationship between the European Union Emission Trading System allowances' prices and the Italian electricity price, aiming at assessing whether such a mechanism has been a driver for the decarbonization of the power sector. To this aim, we calculate the long-run...

The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...

We provide the analytical gradient of the full model likelihood for the Dynamic Conditional Correlation (DCC) specification by Engle (2002), the generalised version by Cappiello et al. (2006), and of the cDCC model by Aielli(2013). We discuss how the gradient might be further extended by...