We propose a general framework for measuring frequency dynamics of connectedness in economic variables based on … connectedness of variables as shocks with heterogeneous frequency responses will create frequency dependent connections of different … sources of connectedness. Giving up the assumption of global stationarity of stock market data and approximating the dynamics …

We analyze total, asymmetric and frequency connectedness between oil and forex markets using high-frequency, intra … with realized semivariances to account for asymmetric and frequency connectedness, we obtain interesting results. We show … decreases the total connectedness of the mixed portfolio. Asymmetries in connectedness are relatively small. While negative …

This study employs the connectedness measure of Diebold and Yilmaz (2012, 2014) to examine the intensity of … connectedness among the Nigerian financial markets for the period January 2000 to December 2018. The study used all shares index …, respectively. The study found connectedness among the Nigerian financial markets to be highly time-varying and appear to be higher …