volatility spillovers during global financial crisis and tranquil periods. The resulting market interconnectedness is depicted by … between markets and somewhat weaker temporal effects with regard to the US equity market - volatility spillovers decrease when … markets are characterized by greater temporal proximity. Volatility spillovers also present a high degree of …

We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded … data. We show that heterogeneity in correlations across a number of investment horizons between pairs of assets is a …. Heterogeneity prevails in correlations between gold and stocks. After the 2008 crisis, correlations among all three assets increase …