| Abstract: |
| We investigate the daily share prices of the Nikkei 225 stock index to identify
large jumps in daily share prices of the stock index using a jump diffusion model,
which consists of the Black-Scholes model with stochastic volatility and a compound Poisson process. The volatility of the stock index is estimated by the historical volatility
from the observation of daily share prices. We also refer to the number of
daily share prices for historical volatility and show that the number is essential
for the accuracy to identify large jumps. |
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