  This paper characterises dynamic linkages arising from shocks with
heterogeneous degrees of persistence. Using frequency domain techniques, we
introduce measures that identify smoothly varying links of a transitory and
persistent nature. Our approach allows us to test for statistical differences
in such dynamic links. We document substantial differences in transitory and
persistent linkages among US financial industry volatilities, argue that they
track heterogeneously persistent sources of systemic risk, and thus may serve
as a useful tool for market participants.
