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Discrete Dynamics in Nature and Society
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Discrete Dynamics in Nature and Society
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2020
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Article
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Tab 1
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Research Article
Modeling Financial Intraday Jump Tail Contagion with High Frequency Data Using Mutually Exciting Hawkes Process
Table 1
Summary statistics of extreme jumps in the SH composite index and SZ component index.
ā
Count
Mean
Std. dev.
Minimum
Maximum
SH
946
0.8006
0.5947
0.3008
6.2527
SZ
948
0.8595
0.5801
0.3010
4.6786