Tessmann, Mathias Schneid; Passos, Marcelo de Oliveira; … - In: Economies : open access journal 12 (2024) 6, pp. 1-20
This paper seeks to investigate the connectivity of the US economy through the dynamics of the transmission of volatility in sectoral indices. For this, we use daily asset data and two methodologies. The first creates a spillover index that measures market connectivity and the second partitions...