We propose a novel index of short-term endogeneity (or reflexivity) derived by calibrating the Hawkes self-excited conditional Poisson model on empirical time series of trades. The Hawkes model accounts simultaneously for the co-existence and interplay between the exogenous impact of news and...

This paper analyses the intraday co-movements between returns on several commodity markets and on the stock market in the United States over the 1997-2011 period. By exploiting a new high frequency database, we compute various rolling correlations at (i) 1-hour, (ii) 5-minute, (iii) 10-second,...

This paper outlines a methodology to build monthly financial conditions indicators (FCIs) for developing countries, including a Small Island Developing State (SIDS), least developed countries, and transitions economies as defined by the United Nations' classification. The proposed composite...

This paper analyses the co-movements between the United States stock market and several commodity futures between 1997 and 2011, by computing dynamic conditional correlations at: (i) 1-hour; (ii) 5-minute; (iii) 10-second; and (iv) 1-second frequencies. We document a synchronized structural break,...