We empirically investigate the functional link between the variance swap rate and the spot variance. Using S&P500 data over the period 2006-2018, we find overwhelming empirical evidence supporting the affine link analytically found by Kallsen et al. (2011) in the context of exponentially affine...

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...