Before revision:  Giving up the assumption of global stationarity of stock market data and approximating the dynamics locally , we document rich time-frequency dynamics of connectedness in US market risk in the first application. Controlling for common shocks due to common stochastic trends which dominate the connections, we identify connections of global economy at business cycle frequencies of 18 up to 96 months in the second application. In addition, we study the effects of cross-sectional dependence on the connectedness of variables .
After revision:  Giving up the assumption of global stationarity of stock market data and approximating the dynamics locally , we document the rich dynamics of volatility connectedness in the US financial institutions with short-term connections due to contemporaneous correlations as well as significant weekly, monthly, and longer connections that play a role. Hence, we find that the financial market clears part of the information but that the permanent changes in investors' expectations having longer-term responses are non-negligible .