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 …

which depending on the market states signaled by the level of volatility spread. We have documented that effectively, there … capital. We then propose the volatility spread as the active management factor into the Carhart's model used to evaluate …