Modeling Financial Intraday Jump Tail Contagion with High Frequency Data Using Mutually Exciting Hawkes Process

Table 3

Estimation results for ground intensity process.

Parameter	Value	Std. err.	Parameter	Value	Std. err.
		0.0002			0.0002
	0.0003	0.0012			0.0015
		0.0387			0.0367
		0.0635			0.0541
	4.8e − 7	0.0015		2.5e − 10	0.0012
	0.0579	0.0435			0.0544
		0.0496			0.0567

Note. The results of standard errors are obtained by 1000 bootstrap simulations. and denote that the parameters are significant at 10% and 5% level, respectively.