Research Article

Time-Frequency Volatility Spillovers among Major International Financial Markets: Perspective from Global Extreme Events

Figure 3

Frequency-domain volatility spillover network (medium-term): (a) pre-COVID-19, (b) during COVID-19, and (c) during the Russia-Ukraine conflict. Notes: (i) These figures present the medium-term net pairwise directional volatility spillovers among theeight major international financial markets (based on the TVP-VAR-based connectedness method and the BK frequency connectedness method) under different stages of the global extreme events. The node size reflects the overall magnitude of transmission/reception for each market. The edge size indicates the magnitude of the net pairwise volatility spillovers between two stock markets. Besides, the magnitude is also reflected through the color types of node/edge, dark (strong) versus light (weak) colors. (ii) The network topologies are estimated by the average spillovers.
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