Fig. 3

Dynamics of Time–frequency net connectedness. Notes This figure displays the time–frequency dynamics of the net directional connectedness across the cryptocurrency, stock, and commodity markets using the DY12 and BK18 methods. The net directional connectedness measures are the difference between directional “TO” spillovers and directional “FROM” spillovers. Positive (negative) connectedness values indicate that the corresponding variable is a net transmitter (receiver) of connectedness to (from) all the other variables. The black-shaded area indicates net connectedness index. The brown shaded area represents the net connectedness index over the short-term horizon (1–5 days). The green-shaded area reflects the net connectedness index over the long-term horizon (6-inf. days)