I am looking to get started using time series (ARIMA, regression, etc.) evaluating logarithmic stock returns in WinBUGs.
Does anyone have a simple code to get me jump started?
Congdon covers time series models (and WinBUGS code) in a chapter in his Applied Bayesian Modelling book.
Alternatively, BUGS code for some time series models can be produced in my tsbugs package for R (and then run in BUGS via R2WinBUGS or similar such packages). Some of these are applied to the log of stock returns in the example code.