We survey some aspects of the classical prediction theory for stationary processes, in discrete time in Section 1, turning in Section 2 to continuous time, with particular reference to reproducing-kernel Hilbert spaces and the sampling theorem. We discuss the discrete-continuous theories of ARMA-CARMA, GARCH-COGARCH, and OPUC-COPUC in Section 3. We compare the various models treated in Section 4 by how well they model volatility, in particular volatility clustering. We discuss the infinite-dimensional case in Section 5, and turn briefly to applications in Section 6.

An extension of the Banach-Mackey theorem is used to prove a theorem about countable families of closed balanced convex sets that cover a product of linear topological spaces. This theorem clarifies proofs that certain Baire-type properties, including the unordered Baire-like property, are preserved under products. A modification of the theorem is used to show that a property involving the bounded-absorbing sequences of DeWilde and Houet is also productive. Finally, a question is posed about balanced absorbing sets relating to products of linear Baire spaces.

1980 Mathematics subject classification (Amer. Math. Soc.): 46 A 99.