Borgioli, Stefano; Kochanska, Urszula; Mongelli, … - 2023
-19 cases, the ECB daily Composite Indicator of Systemic Stress soared, and stress in several financial market segments … began to flare up. These rapidly emerging financial strains could not be captured by a composite indicator of financial … paper is to present the steps taken in constructing a novel high-frequency price-based indicator of financial integration …