0495171 20240103220727.420181024235959.9 85047926946 000430717500005 10.1093/jjfinec/nby001 26 s. P cav_un_epca*03445931479-8409162 (2018)271-296Oxford University Press connectedness frequency spectral analysis systemic risk cav_un_auth*0242028 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Baruník Jozef UTIA-B CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0327877 Ekonometrie Department of Econometrics E E Department of Econometrics 50 Křehlík Tomáš UTIA-B CZ Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2018/E/barunik-0495171.pdf GA16-14179S GA ČR CZ cav_un_auth*0350251 We propose a new framework for measuring connectedness among financial variables that arise due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a framework based on the spectral representation of variance decompositions. In an empirical application, we document the rich time-frequency dynamics of volatility connectedness in U.S. financial institutions. Economically, periods in which connectedness is created at high frequencies are periods when stock markets seem to process information rapidly and calmly, and a shock to one asset in the system will have an impact mainly in the short term. When the connectedness is created at lower frequencies, it suggests that shocks are persistent and are being transmitted for longer periods. WOS AH 50000 50200 50202 2019 2 4 A hod 4ah 20231122143508.5 RVO:67985556 http://hdl.handle.net/11104/0288956 1 Department of Econometrics UTIA-B 50202 ECONOMICS S 1* Article Business Finance|Economics BUSINESS.FINANCE|ECONOMICS 1.920 0.55 10 0.0023 1.561 1012 2.282 1.878 20 Q2 81.492 68.4 Q1 Q1 1.09 Q1 70.386 2018 Soubory v repozitáři: barunik-0495171.pdf 85047926946 SCOPUS PUBMED 000430717500005 WOS cav_un_epca*0344593 Journal of Financial Econometrics 1479-8409 1479-8417 Roč. 16 č. 2 2018 271 296 Oxford University Press