How to write parquet file to Databricks Volume?

I'd like to export data from tables within my Databricks Unity Catalog. I'd like to transform each of the tables to a single parquet file which I can download. I thought I just write a table to a parquet file in my Unity Catalog Volume (whose files and stuff I can also see within my Microsoft Azure Storage Explorer) such that I can download it easily. That did not work. So, what I tried were the following approaches:

1. spark.table(my_unity_catalog_table_path).repartition(1).write.format('parquet').mode('overwrite').save('/Volumes/my_volume_name/my_table'). Databricks told me that I'm not allowed to write to a Volume like that
2. Write the same table to the Workspace like "/Workspace/Users/myuser/my_table" but that also didn't work as no file was created although I didn't get any error at all.
3. Write the same table to the tmp directory like "/tmp/my_table" but that also didn't work as no file was created although I didn't get any error at all.
4. Transform the table to Pandas and write a parquet file to the Workspace like spark.table(my_unity_catalog_table_path).toPandas().to_parquet('/Workspace/Users/myuser/my_table.parquet') which worked but not for bigger tables as I guess the Workspace has limits regarding file size
5. Transform the table to Pandas and write a parquet file to the Volume directly like spark.table(my_unity_catalog_table_path).toPandas().to_parquet('/Volumes/my_volume_name/my_table.parquet') but that also didn't work out...
6. Transform the table to Pandas and write a parquet file to the tmp folder like spark.table(my_unity_catalog_table_path).toPandas().to_parquet('/tmp/my_table.parquet') in order to move it to the Volume afterwards using dbutils.fs.mv or shutil.move. None of those options worked either.

So how can this be done?

If you're working with Azure Data Lake you can try writing directly to it and then download file from there using Storage Explorer. Try specifying path like in a like snippet below:

spark.table(my_unity_catalog_table_path).repartition(1).write.format('parquet').mode('overwrite').save("abfss://<container-name>@<storage-account-name>.dfs.core.windows.net/<path-to-data>")