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The Long Memory of the Jump Intensity of the Price Process

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Document pages: 14 pages

Abstract: The impact of successive jumps in price processon volatility is very important. We study the nature of self-motivation inprice process using data from China’s stock market. Our empirical resultssuggest that: 1) Price jumps in China’s stock market are generallyself-motivated, i.e., price jumps are clustering. 2) The jump intensity ofChina’s stock market is time-varying, and follows log-normal distribution,which indicates that the jump intensity is asymmetrical. 3) The jumpintensities’ sequence exhibits typical long memory.

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