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Financial Innovation
Fig. 3 | Financial Innovation

Fig. 3

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

Fig. 3

Dynamic total, short-term and long-term connectedness. Notes: The black, dark grey and light gray areas represent the dynamic total, short-term (1–5 days), and long-term (5–20 days), respectively. The connectedness measures are based on the TVP-VAR frequency connectedness approach (Chatziantoniou et al. 2023) using a lag length of order one, \(\kappa _1=0.99\), \(\kappa _2=0.99\) and a 20-step-ahead generalized forecast error variance decomposition

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