This article investigates the statistical properties of the realized variance estimator in the presence of market microstructure noise. Different from the existing literature, the analysis relies on a ...

This paper proposes a class of models that jointly model returns and ex post variance measures under a Markov switching framework. Both univariate and multivariate return versions of the model are ...

We analyze the effect of discrete sampling on the valuation of options on the realized variance in the Heston stochastic volatility model. It has been known for some time that, although quadratic ...

We develop analytical methodology for pricing and hedging options on the realized variance under the Heston stochastic variance model (1993) augmented with jumps in asset returns and variance. By ...