Much attention has been paid to the complex risk transmission between carbon and energy markets along with the increasing global financial market integration. This research thus uses the DCC-MVGARCH model and spillover index method to investigate volatility linkages between the European carbon...

Recent research shows that time-varying volatility plays a crucial role in nonlinear modeling. Contributing to this literature, we suggest a DSGE-GARCH approach that allows for straightforward computation of DSGE models with time-varying volatility, where the volatility component is formulated...