Before revision:  Accounting for measurement error when using measures constructed from high frequency data to conduct inference on dynamic jump models would appear to be advisable  .
After revision:  Accounting for measurement error when using measures constructed from high frequency data to conduct inference on dynamic jump models would appear to be advisable P500 stock index and the IBM stock price. The paper concludes by providing guidelines for empirical researchers who wish to exploit high frequency data when drawing conclusions regarding dynamic jump processes .