Cross moments of extreme observai ions from a multtvariate lognormal distribution

DOI10.1080/03610929808832116MaRDI QIDQ4386462zbMATH OpenOpenAlexFDO

Authors Donald Lien, David Rearden

Publication date 26 April 1998

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832116

zbMATH Keywords

correlation coefficientfutures marketshedging effectivenessorder statistics

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Applications of statistics to economics (62P20)

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Cites work

• A property of coefficients of variation for ordered bivariate log-normal variables
• Correlation Analysis of Extreme Observations from a Multivariate Normal Distribution
• Moments of ordered bivariate log-normal distributions

Cited in

(6)

• On the trivariate extreme value distributions
• Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market.
• Moment estimation for multivariate extreme value distribution in a nested logistic model
• A note on the convergence of trivariate extreme order statistics and extension
• Moments and properties of multiplicatively constrained bivariate lognormal distributions with applications to futures hedging
• Moments of ordered bivariate log-normal distributions

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