Before revision:  Two applications support the usefulness of the discussion, guide a user to apply the methods in different situations, and contribute to the literature with important findings about sources of connectedness. 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.
After revision:  To estimate connectedness on short-, medium-, and long-term financial cycles, we propose a general framework based on spectral representation of variance decompositions. In an empirical application , we document rich time-frequency dynamics of connectedness in US market risk in the first application.