Solutions to the parameter estimation problem of the multivariate Pareto distribution of Asimit et al. (2010) are developed and exemplified numerically. Namely, a density of the aforementioned multivariate Pareto distribution with respect to a dominating measure, rather than the corresponding...

This paper develops estimators of the transition density, filters, and parameters of multivariate jump-diffusions with latent components. The drift, volatility, jump intensity, and jump magnitude are allowed to be general functions of the state. Our density and filter estimators converge at the...

This article presents a new continuous-time modelling framework for multivariate time series of counts which have an infinitely divisible marginal distribution. The model is based on a mixed moving average process driven by Levy noise - called a trawl process - where the serial correlation and...