the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent …

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

-varying whereas the correlation remain constant over time. Under the parameterized alternative hypothesis the variance may change …