; Dynamic conditional correlation ; Return comovement ; Volatility model evaluation …

volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

; multivariate volatility model ; random coefficient model ; volatility forecasting …