Traumatic Brain Injury (TBI) patients present high levels of physical stress, which in some situations can manifest as Plateau Wave (PW) episodes. This intense stress phenomenon can be evidenced by Heart Rate Variability (HRV). Thus, the multivariate and simultaneous analysis of cardio-cerebrovascular oscillations, involving the RR intervals, mean arterial pressure (MAP) and the amplitude of intracranial pressure (AMP), will be useful to understand the interconnections between body signals, allowing the interpretation of the combined activity of pathophysiological mechanisms. In this work, the multiscale representation of the Transfer Entropy (TE) and of its decomposition in the network of these three interacting processes is obtained, based on a Vector AutoRegressive Fractionally Integrated (VARFI) framework for Gaussian processes. This method allows to assess directed interactions and to quantify the information flow accounting for the simultaneous presence of short-term dynamics and long-range correlations. The results show that the baseline RR, but not MAP can provide information about the possibility of a PW arising. During PW, the long-term correlations highlight synergistic interactions between MAP and AMP processes on RR. The multiscale decomposition of the information along with the incorporation of the long term correlations allowed a better description of HRV during PW, highlighting the fact that the HRV mirrors this cerebrovascular phenomena.