Before revision:  Methodologically, we extend the Diebold-Yilmaz spillover index in two ways to account for asymmetric and frequency connectedness . Empirically, our resultsshow that by combining crude oil with the set of currencies a total connectedness of the portfolio is lower than the total connectedness of the forex market itself.
After revision:  Methodologically, we extend the Diebold-Yilmaz spillover index in two ways to account for asymmetric and frequency connectedness , we obtain interesting results. We show that divergence in monetary policy regimes affects forex volatility spillovers but that adding oil to a forex portfolio decreases the total connectedness of the forex market itself.