On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method (Q2292051)

The paper focuses on the simple stochastic model proposed by Heston, when jumps in the asset return are present. In particular, the authors use a polynomial filtering method to estimate the instantaneous volatility in the Heston volatility model. Moreover, the jump component considered in the the stock return is described by means of a variance-gamma process. Some comparisons with other estimation procedures are provided.