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 …

volatility is affected, and (iii) we investigate whether bond volatility from the financially distressed EU markets spills over …, subsequently affecting energy/commodity return volatility. Our results indicate the existence of significant contagion effects from … changes in the nature of energy/commodity volatility during the EU financial crisis. We also report the existence of …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

, leading to the so called "unspanned stochastic volatility puzzle". Additional volatility factors seem to be needed to explain … volatility from a nonparametric perspective …

this, put forward the view that stock and bond return volatility is key. Evidence from the 2000s suggest that the relative … that the relative equity and bond yield values are, to a large extent, driven by inflation volatility. High inflation … volatility persisted during the first half of the twentieth century when the equity yield was higher. This was followed by more …