Appendix to “ Dynamic Asset Price Jumps : the Performance of High Frequency Tests and Measures , and the Robustness of Inference ” ∗

This document provides supplementary material for “Dynamic Asset Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference”. Section A provides an additional power surface for the LM test using the form of simulated critical value proposed by Dimitru and Urga (2012). Section B provides further empirical size and power results for all tests in the presence of microstructure noise; while Section C documents the prior specifications used in the Bayesian analysis of the dynamic jump models given in Sections 5 and 6 of the main text. ∗This research has been supported by Australian Research Council Discovery Grants No. DP150101728 and DP170100729. We thank a co-editor and two anonymous referees for very helpful and constructive comments on an earlier draft of the paper. We are also grateful to John Maheu, Herman van Dijk, Maria Kalli and Jim Griffin, plus participants at the 11th Annual RCEA Bayesian Econometric Workshop (Melbourne, 2017), for very helpful comments on an earlier version of the paper. †Melbourne Business School, The University of Melbourne, Australia. ‡Corresponding author. Department of Econometrics and Business Statistics, Monash University, Australia. Email: gael.martin@monash.edu. §Department of Econometrics and Business Statistics, Monash University, Australia.