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Financial Innovation
Fig. 2 | Financial Innovation

Fig. 2

From: Realized volatility spillovers between energy and metal markets: a time-varying connectedness approach

Fig. 2

Dynamic total connectedness. Notes: The black area represents dynamic total connectedness measures based on a TVP-VAR model with \(\kappa _1=0.99\) and \(\kappa _2=0.99\) while the green and blue line illustrates the dynamic total connectedness measures based on a 200-day rolling-window VAR (Diebold and Yılmaz 2012) and QVAR (Chatziantoniou et al. 2021) model, respectively. All models are estimated using a lag length of order one (BIC) and a 20-step-ahead generalized forecast error variance decomposition

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