investigate volatility linkages between the European carbon emissions and energy markets. The results make it clear that there are … indeed volatility correlations and bidirectional spillover effects for the above two markets. In particular, the volatility … strongest volatility correlation between coal and carbon markets, the volatility spillover effect from the renewable energy …

crashes. The latest risk management strategy is called the target volatility strategy. The target volatility strategy is used … in order to maintain a stable realized volatility of a portfolio. The strategy re-balances the allocation of risky asset … analysis of the target volatility portfolios and financial derivatives linked to target volatility portfolios. We demonstrate …

. Accordingly, investors often want to minimize downside volatility as a part of their portfolio planning. Investors already have … several tools to measure downside volatility, including the lower partial moment and the maximum drawdown. The performance … Index is a volatility measure that only captures continuous downside movements in share price, and ignores upside volatility …