Leon Tenney does research on the combination of QRMC, vector autoregressions and multifactor interest rate models at Mathematical Finance Company. A previous paper of his with Justin Bobo et al. [#!kn:BoboTenneyTenneyMFC1999!#] on these subjects is available at
http://www.actuaries.ca/meetings/segfund/papers/Tenney.pdf
and also at
http://www.mathematical-finance.com/contacts.html