In this survey article, we present a rich extent of literature on volatility and its propagation on financial markets via spillovers. We document how new approaches or improved existing methodologies lead to results that offer richer insights than those derived from standard econometric...

We analyze volatility connectedness, frequency decomposition, and portfolio hedging among U.S. energy commodities from 1997 to early 2022. We show that the total connectedness has a rising trend, suggesting that the financialization of the energy commodity market deepens its volatility...