Moments and properties of multiplicatively constrained bivariate lognormal distributions with applications to futures hedging (Q2491859): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Moments and properties of multiplicatively constrained bivariate lognormal distributions with applications to futures hedging	scientific article

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instance of

scholarly article

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title

Moments and properties of multiplicatively constrained bivariate lognormal distributions with applications to futures hedging (English)

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author

Donald Lien

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Narayanaswamy Balakrishnan

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published in

Journal of Statistical Planning and Inference

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publication date

29 May 2006

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zbMATH Keywords

bivariate lognormal distribution

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multiplicative constraint

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moments

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coefficient of variation

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correlation coefficient

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financial applications

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jspi.2004.10.004

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cites work

Q4039942

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BIVARIATE DISTRIBUTIONS BASED ON SIMPLE TRANSLATION SYSTEMS

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Q4493303

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Moments of ordered bivariate log-normal distributions

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Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market.

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A property of coefficients of variation for ordered bivariate log-normal variables

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The inversion enumerator for labeled trees

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On the problem of estimation for the bivariate lognormal distribution

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Identifiers

zbMATH Open document ID

1088.62022

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Mathematics Subject Classification ID

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10.1016/J.JSPI.2004.10.004

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Sitelinks

Mathematics(1 entry)

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+Moments of ordered bivariate log-normal distributions
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@@ Property / cites work @@
+Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market.
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+A property of coefficients of variation for ordered bivariate log-normal variables
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@@ Property / cites work @@
+The inversion enumerator for labeled trees
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+On the problem of estimation for the bivariate lognormal distribution
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