https://orcid.org/0000-0003-1775-3546
Figures & data
Table 1. Summary statistics.
Figure 1. Evolution of return and volatility of each asset. (a) Return behaviour. (b) Volatility behaviour.
Figure 2. Connectedness plot for returns at 0.05, 0.50 and 0.95 quantiles.
Figure 3. Connectedness plot for volatility at 0.05, 0.50 and 0.95 quantiles.
Table 2. Quantile connectedness table for returns series.
Table 3. Quantile connectedness table for volatility series.
Figure 4. Total connectedness returns.
Figure 5. Total connectedness volatility.
Figure 6. (a) RTD_returns. (b) RTD_volatility.
Table 4. Correlation coefficients between TCI at different quantiles and sub-periods.
Figure 7. Net returns connectedness.
Figure 8. Net volatility connectedness.
Figure 9. Country-specific connectedness (returns).
Figure 10. Country-specific connectedness (volatility).
Data availability statement
The data is available from the authors upon reasonable request.
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