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

DOI10.1016/J.JSPI.2004.10.004zbMath1088.62022OpenAlexW2021740238MaRDI QIDQ2491859

Donald Lien, Narayanaswamy Balakrishnan

Publication date: 29 May 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2004.10.004

zbMATH Keywords

momentscorrelation coefficientcoefficient of variationfinancial applicationsbivariate lognormal distributionmultiplicative constraint

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Cites Work

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• Moments of ordered bivariate log-normal distributions
• Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market.
• A property of coefficients of variation for ordered bivariate log-normal variables
• On the problem of estimation for the bivariate lognormal distribution
• The inversion enumerator for labeled trees
• BIVARIATE DISTRIBUTIONS BASED ON SIMPLE TRANSLATION SYSTEMS

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