we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of … forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration … forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …