The primary purpose of the paper is to analyze the conditional correlations, conditional covariances, and co-volatility … spillovers between international crude oil and associated financial markets. The paper investigates co-volatility spillovers … (namely, the delayed effect of a returns shock in one physical or financial asset on the subsequent volatility or co-volatility …

This paper studies the volatility spillover and dynamic correlation between EU emission allowance (EUA) prices and … for multi-phase analysis of EU ETS, yet only a little empirical evidence backing up the existence of volatility spillover …

This paper introduces the class of volatility modulated Lévy-driven Volterra (VMLV) processes and their important … volatility is regarded as a key factor for modelling energy spot prices. Third, the model allows for the possibility of jumps and …