{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2025,10,12]],"date-time":"2025-10-12T02:53:40Z","timestamp":1760237620120,"version":"build-2065373602"},"reference-count":49,"publisher":"MDPI AG","issue":"8","license":[{"start":{"date-parts":[[2022,7,28]],"date-time":"2022-07-28T00:00:00Z","timestamp":1658966400000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Algorithms"],"abstract":"<jats:p>This paper advances a volatility-regime-switching mechanism to investigate the intensity and direction of the volatility spillover effect in carbon\u2013energy markets. Switching between a low-volatility (LV) and high-volatility (HV) regime, our mechanism involves a four-state system (i.e., LV-LV, HV-LV, LV-HV and HV-HV). Our findings are listed as follows: First, the highest EUA\u2013WTI correlation occurs when both are in an HV regime (i.e., HV-HV), revealing the intensity of the volatility spillover effect. Second, when EUA and WTI are experiencing an opposite volatility regime (one in LV and the other in HV), a higher EUA\u2013WTI correlation is observed when WTI is in an HV regime. This result implies that the direction of the volatility spillover effect is from the energy market to the carbon market. Third, the regime-switching model involving the non-uniform volatility\u2013correlation relations outperforms the conventional GARCH and DCC models in volatility forecasting and portfolio construction.<\/jats:p>","DOI":"10.3390\/a15080264","type":"journal-article","created":{"date-parts":[[2022,7,28]],"date-time":"2022-07-28T20:49:28Z","timestamp":1659041368000},"page":"264","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":0,"title":["Intensity and Direction of Volatility Spillover Effect in Carbon\u2013Energy Markets: A Regime-Switching Approach"],"prefix":"10.3390","volume":"15","author":[{"given":"Leon","family":"Li","sequence":"first","affiliation":[{"name":"Waikato Management School, University of Waikato, Hamilton 3240, New Zealand"}]}],"member":"1968","published-online":{"date-parts":[[2022,7,28]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"120","DOI":"10.1080\/14693062.2020.1790334","article-title":"Catalysing private and public action for climate change mitigation: The World Bank\u2019s role in international carbon markets","volume":"21","author":"Michaelowa","year":"2021","journal-title":"Clim. 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