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David, Gabauer ; Nikolaos, Antonakakis ; Rangan, Gupta ; RANGAN, GUPTA ; Vasilios, Plakandaras ; Vasilios, Plakandaras ; Nikolaos, Antonakakis ; David, Gabauer. (2018) Dynamic Connectedness of Uncertainty across Developed Economies: A Time-Varying Approach.
In: Working Papers. RePEc:pre:wpaper:201802.
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Figu ure A-10: Decompositio on of the da aily index in n first-differe ences for Ja apan. 29 As we observe, a large clustering in volatility occurs around the 2008 crisis for the U.S., the E.U. and the U.K. while no distinct patterns exist for Japan and Canada. Bearing in mind that the wavelet decomposition performs a decomposition in the frequency and not in the time domain, the order of the components reveals different characteristics over time. Thus, the first components adhere to fluctuation in the short-run, while the last components reveal variations in the longest horizon.
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