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.

	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