Cross moments of extreme observai ions from a multtvariate lognormal distribution

DOI10.1080/03610929808832116zbMath0895.62052OpenAlexW2048219020MaRDI QIDQ4386462

David Rearden, Donald Lien

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

order statisticscorrelation coefficientfutures marketshedging effectiveness

Mathematics Subject Classification ID

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

Related Items (3)

A note on the convergence of trivariate extreme order statistics and extension ⋮ 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.

Cites Work

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

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