5 key publications

• Harvey, A. and Koopman, S. (2000). Signal Extraction and the Formulation of Unobserved Components Models Econometrics Journal, 3:84--107.
• Franses, P.H. and Taylor, A. (2000). Determining the order of differencing in seasonal time series processes Econometrics Journal, 3(2):250--264.
• Koopman, S. and Durbin, J. (2000). Time series analysis of non-Gaussian observations based on state space models from both classical and Bayesian perspectives Journal of the Royal Statistical Society. Series B. Statistical Methodology, 62:3--56.

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  Lucas, A. (2000). A note on optimal estimation from a risk management perspective under possibly mis-specified tail behavior Journal of Business and Economic Statistics, 18(1):31--39.
• Taylor, N., van Dijk, D., Franses, P.H. and Lucas, A.(. (2000). SETS, arbitrage activity, and stock price dynamics Journal of Banking and Finance, 24(8):1289--1306.