“…Alternatives ways to measure connectedness have been proposed in the literature. These include principal components analysis and Granger-causality (Billio et al, 2012) and the approach based on network analysis techniques for time-series (Barigozzi and Brownlees, 2019;Barigozzi et al, 2022). Moreover, other methods focus on the asymmetry of connectedness at different frequencies or quantiles of the distribution (Baruník and Kley, 2019;Baruník and Křehlík, 2018;Zhu et al, 2019).…”