Christensen, KimPodolskij, Mark2006-11-102006-11-102006-11-10JEL Classification: C10; C22; C80.http://hdl.handle.net/2003/2307210.17877/DE290R-15405This paper proposes using realized range-based estimators to draw inference about the quadratic variation of jump-diffusion processes. We also construct a range-based test of the hypothesis that an asset price has a continuous sample path. Simulated data shows that our approach is efficient, the test is well-sized and more powerful than a return-based t-statistic for sampling frequencies normally used in empirical work. Applied to equity data, we show that the intensity of the jump process is not as high as previously reported.enBipower variationFinite-activity counting processesJump detectionJump-diffusion processQuadratic variationRange-based bipower variationSemimartingale theory004report