“…The wide availability of financial high frequency data has prompted the development of methodologies to test the specification of suitable models for these data. As to testing for jumps of price, the methods include the comparison of the transition density and its non‐parametric estimator (Aït‐Sahalia, 2002), the difference between power variation and multipower variation (Barndorff‐Nielsen and Shephard, 2004; 2006; Dovonon et al 2019), the ratio of power variations with different sampling frequencies (Aït‐Sahalia and Jacod, 2009; Fan and Fan, 2011), the standard return (Lee and Mykland, 2008), the difference between realized range‐based volatilities for two different sub‐splits (Liu and Wang, 2019). In reality, the observed financial data usually has microstructure noise due to the price discretization, bid‐ask spread, and so on.…”