Construction of Stationary Time Series via the Giggs Sampler with Application to Volatility Models

M.K. Pitt and S.G. Walker

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: In this paper, we provide a method for modeling stationary time series. We allow the family of marginal densities for the observations to be specified. Our approach is to construct the model with a specified marginal family and build the dependence structure around it. We show that the resulting time series is linear with a simple autocorrelation structure. In particular, we present an original application of the Gibbs sampler. We illustrate our approach by fitting a model to time series count data with a marginal Poisson-gamma density.

Keywords: VOLATILITY; TIME SERIES; EXPECTATIONS (search for similar items in EconPapers)
JEL-codes: C32 C51 (search for similar items in EconPapers)
Pages: 30 pages
Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:wrk:warwec:595

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