Figure 7
The heatmaps are arranged in three rows and two columns. In all panels, the horizontal axis is labeled “Time” and spans from 2020 to 2025 in increments of 1 year. The vertical axis is labeled “Quantile Pair” and lists five pairs from bottom to top: (5, 5), (95, 5), (55, 55), (5, 95), and (95, 95). Top left panel, “Entropy: I C L N right arrow B G R N; E F F R Volume”: A color bar labeled “Entropy” ranging from 0.005 to 0.015 in increments of 0.005 units. Moderate to high entropy is concentrated mainly in the (5, 95) quantile pair across most of the sample, with stronger intensification after 2022. Other quantile pairs remain largely low, indicating limited spillovers outside the upper–lower tail interaction. Top right panel, “Entropy: I C L N right arrow Energy; E F F R Volume”: A color bar labeled “Entropy” ranging from 0.00 to 0.03 in increments of 0.01 units. Elevated entropy appears intermittently in the (5, 95) quantile pair, with noticeable strengthening around 2023 to 2024. The remaining quantile pairs show weak and sporadic transmission. Middle left panel, “Entropy: B G R N right arrow I C L N; E F F R Volume”: A color bar labeled “Entropy” ranging from 0.00 to 0.02 in increments of 0.01 units. Persistent moderate entropy is visible in the (5, 95) quantile pair, especially from 2021 to 2024. Lower and median quantile pairs display mostly low entropy values. Middle right panel, “Entropy: B G R N right arrow Energy; E F F R Volume”: A color bar labeled “Entropy” ranging from 0.01 to 0.03 in increments of 0.01 units. This panel shows relatively strong and sustained entropy in the (5, 95) quantile pair throughout the period. Additional moderate increases appear in the (5, 5) quantile pair after 2023, suggesting broader spillovers under liquidity conditions. Bottom left panel, “Entropy: Energy right arrow I C L N; E F F R Volume”: A color bar labeled “Entropy” ranging from 0.01 to 0.04 in increments of 0.01 units. Entropy intensifies mainly in the (5, 95) quantile pair during 2023 to 2025, indicating tail-driven transmission from Energy to green equity. Other quantile pairs remain predominantly low. Bottom right panel, “Entropy: Energy right arrow B G R N; E F F R Volume”: A color bar labeled “Entropy” ranging from 0.00 to 0.04 in increments of 0.01 units. High entropy is concentrated in the (5, 95) quantile pair during 2021 to 2022, followed by sustained moderate levels afterward. The (95, 95), (5, 5), and (95, 95) quantile pairs also show occasional increases, while lower quantiles remain weak. Moderate entropy is also concentrated in the (55, 55) quantile pair during 2022 to 2023. Note: All entropy values and time boundaries are approximated.EFFR conditioned dynamic estimation