0599184 20250313100849.120241009235959.9 85177861838 001139649700001 10.1016/j.ejor.2023.11.023 15 s. P cav_un_epca*02528930377-22173141 (2024)393-407Elsevier Finance Network connections Variance decompositions Persistence Spectral domain cav_un_auth*0242028 Baruník Jozef UTIA-B Ekonometrie Department of Econometrics E E Department of Econometrics CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0473977 Ellington M. GB https://library.utia.cas.cz/separaty/2024/E/barunik-0599184.pdf https://www.sciencedirect.com/science/article/pii/S0377221723008640?via%3Dihub GX19-28231X GA ČR CZ cav_un_auth*0385135 This paper characterizes dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature. Our approach allows us to test for statistical differences in such dynamic links. We document substantial differences in transitory and persistent linkages among US financial industry volatilities, argue that they track heterogeneously persistent sources of systemic risk, and thus may serve as a useful tool for market participants. WOS AH 50000 50200 50202 2025 2 2 4 R hod 4 4rh 4 20250310152010.0 20250310153239.1 RVO:67985556 https://hdl.handle.net/11104/0357041 cav_un_auth*0473979 University of Liverpool Management School GB S A OPERATIONSRESEARCH&MANAGEMENTSCIENCE 6.2 1.8 9 0.04086 1.491 64164 319 2.239 57.06 7.4 16091 Q1 5.400 511 Q1 87.3 1.35 Q1 87.3 2024 Soubory v repozitáři: barunik-0599184.pdf 85177861838 SCOPUS PUBMED 001139649700001 WOS cav_un_epca*0252893 European Journal of Operational Research Roč. 314 č. 1 2024 393 407 0377-2217 1872-6860 Elsevier