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Discussion of the paper: “Sampling schemes for generalized linear Dirichlet process random effects models” by M. Kyung, J. Gill, and G. Casella

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  • M. Filippone
  • A. Mira

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  • M. Girolami

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  • M. Filippone & A. Mira & M. Girolami, 2011. "Discussion of the paper: “Sampling schemes for generalized linear Dirichlet process random effects models” by M. Kyung, J. Gill, and G. Casella," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 20(3), pages 295-297, August.
  • Handle: RePEc:spr:stmapp:v:20:y:2011:i:3:p:295-297 DOI: 10.1007/s10260-011-0170-3
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    References listed on IDEAS

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    1. Imai, Junichi & Kawai, Reiichiro, 2011. "On finite truncation of infinite shot noise series representation of tempered stable laws," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(23), pages 4411-4425.
    2. Shin Kim, Young & Rachev, Svetlozar T. & Leonardo Bianchi, Michele & Fabozzi, Frank J., 2010. "Tempered stable and tempered infinitely divisible GARCH models," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2096-2109, September.
    3. Michael Grabchak & Gennady Samorodnitsky, 2010. "Do financial returns have finite or infinite variance? A paradox and an explanation," Quantitative Finance, Taylor & Francis Journals, pages 883-893.
    4. Michele Leonardo Bianchi & Frank J. Fabozzi & Svetlozar T. Rachev, 2014. "Calibrating the Italian smile with time-varying volatility and heavy-tailed models," Temi di discussione (Economic working papers) 944, Bank of Italy, Economic Research and International Relations Area.
    5. Piotr Jelonek, 2012. "Generating Tempered Stable Random Variates from Mixture Representation," Discussion Papers in Economics 12/14, Department of Economics, University of Leicester.
    6. Michele Leonardo Bianchi & Svetlozar T. Rachev & Frank J. Fabozzi, 2013. "Tempered stable Ornstein-Uhlenbeck processes: a practical view," Temi di discussione (Economic working papers) 912, Bank of Italy, Economic Research and International Relations Area.
    7. Laura Ballotta & Ioannis Kyriakou, 2014. "Monte Carlo Simulation of the CGMY Process and Option Pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1095-1121, December.
    8. Matthias Scherer & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2012. "Approximation of skewed and leptokurtic return distributions," Applied Financial Economics, Taylor & Francis Journals, pages 1305-1316.
    9. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters,in: THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78 World Scientific Publishing Co. Pte. Ltd..
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