Moments of ordered bivariate log-normal distributions

DOI10.1016/0165-1765(86)90077-7MaRDI QIDQ899730zbMATH OpenOpenAlexWikidataFDO

Authors Da-Hsiang Donald Lien

Publication date 1 January 2016

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0165-1765(86)90077-7

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(10)

• On the minimum and maximum of bivariate lognormal random variables
• Explicit expressions for moments of log normal order statistics
• Order statistics from trivariate normal and \(t_{\nu}\)-distributions in terms of generalized skew-normal and skew-\(t_{\nu}\) distributions
• Moments and properties of multiplicatively constrained bivariate lognormal distributions with applications to futures hedging
• Distribution of linear functions from ordered bivariate log-normal distribution
• Regularly varying random fields
• Two Moments of the Logitnormal Distribution
• A Truncated Bivariate t Distribution
• Cross moments of extreme observai ions from a multtvariate lognormal distribution
• A property of coefficients of variation for ordered bivariate log-normal variables

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