Detlefsen, K.; Härdle, W. K. - In: Quantitative Finance 13 (2012) 5, pp. 675-685
We compare several parametric and non-parametric approaches for modelling variance swap curves by conducting an in-sample and an out-of-sample analysis using market prices. The forecasted Heston model gives the best overall performance. Moreover, the static Heston model highlights some problems...