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Communications in Statistics - Theory and Methods
Volumn 27, Issue 3, 1998, Pages 601-607
Cross moments of extreme observations from a multivariate lognormal distribution
Author keywords

Correlation coefficient; Futures market; Hedging effectiveness; Order statistics
Indexed keywords

EID: 0037659048     PISSN: 03610926     EISSN: None     Source Type: Journal    
DOI: 10.1080/03610929808832116     Document Type: Article
Times cited : (5)
References (5)
  • 1
    • 84977729725 scopus 로고
    • Optimal hedging in futures markets with multiple delivery specifications
    • Kamara, A. and A. Siegel (1987) "Optimal hedging in futures markets with multiple delivery specifications," Journal of Finance 42: 1007-1021.
    • (1987) Journal of Finance , vol.42 , pp. 1007-1021
    • Kamara, A.1    Siegel, A.2
  • 2
    • 38249041823 scopus 로고
    • Moments of ordered bivariate log-normal distributions
    • Lien, D. (1986) "Moments of ordered bivariate log-normal distributions," Economics Letters 20: 45-47.
    • (1986) Economics Letters , vol.20 , pp. 45-47
    • Lien, D.1
  • 3
    • 84978555313 scopus 로고
    • The inventory effect in commodity futures markets: An empirical study
    • Lien, D. (1987) "The inventory effect in commodity futures markets: An empirical study," Journal of Futures Markets 7: 637-652.
    • (1987) Journal of Futures Markets , vol.7 , pp. 637-652
    • Lien, D.1
  • 4
    • 0347214588 scopus 로고    scopus 로고
    • A property of coefficients of variation for ordered bivariate log-normal variables
    • Lien, D. and Rearden, D. (1996) "A property of coefficients of variation for ordered bivariate log-normal variables," Communications in Statistics-Theory and Methods 25: 1903-1916.
    • (1996) Communications in Statistics-Theory and Methods , vol.25 , pp. 1903-1916
    • Lien, D.1    Rearden, D.2
  • 5
    • 21344459428 scopus 로고
    • Correlation analysis of extreme observations from a multivariate normal distribution
    • Olkin, I. and M. Viana (1995) "Correlation analysis of extreme observations from a multivariate normal distribution," Journal of the American Statistical Association 90: 1373-1379.
    • (1995) Journal of the American Statistical Association , vol.90 , pp. 1373-1379
    • Olkin, I.1    Viana, M.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.