Has anybody implemented or tried to implement a stochastic volatility model using the Kalman filter following a series of papers by Harvey, Ruiz and Shepard? This is a sophisticated approach for estimating an important class of models, so I am surprised that no implementation exists, is this because there are unforeseeable problems? In a related but off topic question, it has been a while since I looked at the non homoskedastic time series literature but back then you couldn't pick up a journal without reading another stochastic volatility paper, does anybody have any ideas why the literature has drifted back toward less satisfactory GARCH and EGARCH models? This question is somewhat moot as if I choose to pursue this I will implement a model myself. Phineas Campbell