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20092023
most citedA Fourier transform method for nonparametric estimation of multivariate volatility

126 citations · 127 across the 6 of their papers we have counts for

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q-fin.MF2020

Is the variance swap rate affine in the spot variance? Evidence from S&P500 data

Maria Elvira Mancino, Simone Scotti, Giacomo Toscano

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 ev…