Unobserved Component Time Series Models with ARCH Disturbances

We are also grateful to Neil Shephard, Mervyn King, Sushil Wadhwani, Manuel Arellano, Herman van Dijk, Rob Engle, and several anonymous referees for their comments. In addition we would like to thank Ray Chou. Frank Diebold, and Charles Goodharl for supplying us with the data used in the applicalions. The second author acknowledges financial support from the Basque Government; the third author acknowledges support from the LSE Financial Markets Group and the Spanish Ministry of Educalion and Science.Publicad