Fig. 4

Multiple wavelet coherence (MWC) and partial wavelet coherence (PWC). The figure plots the multiple wavelet coherence (left graph)) and partial wavelet coherence (right graph) between the oil and equity volatilities. The hotter colors such as yellow and red correspond to higher coherence, and colder colors such as green and blue correspond to lower coherence. A contours black line represents statistically significant areas at 5% level, where the significance values are generated through Monte Carlo simulations