We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean Lévy processes. An L^2-consistent estimator for the increments of the driving Lévy process without order selection in advance is proposed if the CARMA model is invertible. In the second part we analyse the high-frequency behaviour of approximating Riemann sum processes, which represent a natural way to simulate continuous-time moving average processes on a discrete grid. We shall compare their autocovariance structure with the one of sampled CARMA processes, where the rule of integration plays a crucial role. Moreover, new insight into the kernel estimation procedure of Brockwell et al. (2012a) is given.

26 pages, 2 figures