Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market

Statistics and Probability Letters

Volumn 63, Issue 3, 2003, Pages 249-257

  Lien, Donald ^a   Balakrishnan, N ^b  

^a UNIVERSITY OF TEXAS AT SAN ANTONIO   (United States)

^b MCMASTER UNIVERSITY   (Canada)

Author keywords

Bivariate normal distribution; Conditional correlation analysis; Futures market; Inventory effects; Order statistics

Indexed keywords

EID: 0037567554     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-7152(03)00089-0     Document Type: Article

References (10)

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