The main contribution of the paper is proving that the Fourier spot volatility estimator introduced in [Malliavin and Mancino, 2002] is consistent and asymptotically efficient if the price process is contaminated by microstructure noise. Specifically, in the presence of additive microstructure...

We provide a procedure to identify the number of latent factors of stochastic volatility models. The methodology relies on the non-parametric Fourier estimation method introduced by [Malliavin and Mancino, 2002] and applies to high-frequency data. Based on the Fourier analysis, we first estimate...