We perform a comprehensive Monte Carlo comparison between nine procedures available in the literature to detect jumps in financial assets proposed by Barndorff-Nielsen and Shephard (2006), Andersen et al. (2007), Lee and Mykland (2008), A¨ıt-Sahalia and Jacod (2008), Jiang and Oomen (2008),...

We propose an asymptotic N(0, 1) inferential strategy to test for volatility spillover between markets consisting of multiple sectors. First, we use nonparametric kernel method to derive test statistics that assign flexible weight to each lag order and are able to check a growing number of lags...