In econometric literatures, a number of tests for unit roots have been proposed in the presence of structural changes in I(1) and I(0) model when the numbers of break points are or are not known (though their locations are unknown). Recently, Hatanaka and Yamada [A unit root test in the presence...

In this paper we demonstrate that a jump diffusion model is better fitted to Japanese stock data in the Nikkei 225 than the classical Black–Scholes (BS) model. In order to check the existence of jumps, we implement the bipower test by Barndorff-Nielsen and Shephard [O.E. Barndorff-Nielsen, N....