The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …

model we exploit the link between the Asymmetric Laplace Distribution and maximum likelihood estimation for quantile …-variance relationship. Mean Squared Error estimation is discussed. Extensive model-based simulations are used for comparing the proposed …