Borgioli, Stefano; Kochanska, Urszula; Mongelli, … - 2023
integration at the time because such indicators were low-frequency - principally monthly or even quarterly. The first aim of this … paper is to present the steps taken in constructing a novel high-frequency price-based indicator of financial integration … integration. This helps to distinguish between the main phases of the pandemic. The third aim of the paper is to review how the …