The effects of stochastic volatility, jump clustering, and regime switching are considered when pricing variance swaps …, since they are completely analytical without involving integrations. The numerical results indicate that jump clustering and …

volatility and jump clustering. To properly deal with parameter uncertainty and hindsight bias, we employ a Bayesian learning … volatility. We find weak evidence of jump clustering. Learning and parameter uncertainty are shown to have important implications …

, generating self-exciting co-jumps of prices and volatility and jump clustering. To properly deal with parameter uncertainty and … asset returns mainly through jumps in diffusion volatility. We find substantial evidence for jump clustering, in particular …

intensity, generating self-exciting co-jumps of prices and volatility and jump clustering. To properly deal with parameter … neg- ative jumps in asset returns mainly through jumps in diffusion volatility. We find substantial evidence for jump … clustering, in particular, after the recent financial crisis in 2008, even though parameters driving dynamics of the jump …