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Moments of truncated bivariate log-normal distributions |
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| Authors: | Da-Hsiang Donald Lien |
| Affiliation: | California Institute of Technology, Pasadena, CA 91125, USA |
| Abstract: | In this paper, we derive the expressions for the moments of truncated bivariate log-normal distributions. The results are then applied to test the Houthakker effect in futures markets. |
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