We assume that there exist two kinds of investors in the market, the 𝔽-investors and the 𝔾-investors. The 𝔽-investors have the market information 𝔽, which is given by a <I>d</I>-dimensional Brownian motion W = (W₁,...;W_d)'</I> as well as an integer-valued random measure <I>μ(du, dy)</I>. The market...</i></i>

In this paper, we see how much the average monthly frequency of price changes ties down the behavior of firms in steady-state in terms of the average length of price-spells across firms. We use the UK CPI data at the aggregate and sectoral level and find that the actual mean is about twice the...