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
momentscorrelation coefficientcoefficient of variationfinancial applicationsbivariate lognormal distributionmultiplicative constraint
Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)
Cites Work
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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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- 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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