This paper provides an asymptotic distribution theory for non-parametric tests to determine whether asset prices have continuous sample paths. The authors study the behavior of these tests using simulated data and find that certain versions of the tests perform well in finite samples. They also apply the tests to exchange rate data and find that the null hypothesis of a continuous sample path is often rejected, with most of the identified jumps associated with government macroeconomic announcements. The paper introduces bipower variation (BPV) as a partial generalization of quadratic variation, which can be used to split the contribution of jumps from continuous price movements. The authors derive the asymptotic distribution of linear and ratio jump statistics under weak conditions and illustrate their use through simulations and empirical analysis. The results suggest that the tests are robust and can be used to distinguish between jumps and continuous price movements, which is crucial for risk management and asset allocation.This paper provides an asymptotic distribution theory for non-parametric tests to determine whether asset prices have continuous sample paths. The authors study the behavior of these tests using simulated data and find that certain versions of the tests perform well in finite samples. They also apply the tests to exchange rate data and find that the null hypothesis of a continuous sample path is often rejected, with most of the identified jumps associated with government macroeconomic announcements. The paper introduces bipower variation (BPV) as a partial generalization of quadratic variation, which can be used to split the contribution of jumps from continuous price movements. The authors derive the asymptotic distribution of linear and ratio jump statistics under weak conditions and illustrate their use through simulations and empirical analysis. The results suggest that the tests are robust and can be used to distinguish between jumps and continuous price movements, which is crucial for risk management and asset allocation.