Before revision:  In an empirical application, 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.
After revision:  In an empirical application, we document the rich time-frequency 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.