This paper investigates price volatility and spillover effects in the Nordic electricity wholesale markets, comprising Sweden, Finland, Denmark, and Norway. Utilizing both the Time-Varying Parameter Vector Autoregressive (TVP-VAR) and Rolling Window-based VAR (RW-VAR) approaches, we analyze the integration dynamics among these regional markets and the impact of carbon prices on volatility spillovers. The study employs a rich dataset of 107,352 hourly prices spanning from January 2010 to March 2022. The novelty of this research is three-fold. Firstly, we adopt a connectedness approach to explore volatility interactions among the four Nordic markets, contributing to the scarce literature on volatility in this market. Secondly, we segment the Norwegian market into southern and northern regions, revealing differences in volatility spillover patterns. Lastly, we investigate the influence of carbon prices on volatility spillovers, shedding light on its role in market dynamics. We find significant connectedness between the Nordic markets, with an average volatility Total Connectedness Index of 52.4% and 50.9%. Sweden emerges as the sole net volatility spillover transmitter, while Denmark experiences the largest shocks from the system. We further find that carbon prices exert a 5% significant impact on the volatility spillover index, as estimated by the 200-days rolling window VAR.