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

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  • Lien, Donald
  • Balakrishnan, N.

Abstract

In this paper, we consider the order statistics from a bivariate normal distribution and develop a conditional correlation analysis. We then apply these results to evaluate the presence of inventory effects in futures market. We also apply these results to analyze the data from a visual acuity experiment.

Suggested Citation

  • Lien, Donald & Balakrishnan, N., 2003. "Conditional correlation analysis of order statistics from bivariate normal distribution with an application to evaluating inventory effects in futures market," Statistics & Probability Letters, Elsevier, vol. 63(3), pages 249-257, July.
    • Handle: RePEc:eee:stapro:v:63:y:2003:i:3:p:249-257
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    References listed on IDEAS

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    1. Kamara, Avraham & Siegel, Andrew F, 1987. "Optimal Hedging in Futures Markets with Multiple Delivery Specifications," Journal of Finance, American Finance Association, vol. 42(4), pages 1007-1021, September.
    2. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
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    Cited by:

    1. Lien, Donald & Tse, Yiu Kuen, 2006. "A survey on physical delivery versus cash settlement in futures contracts," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 15-29.
    2. Navarro, Jorge & Balakrishnan, N., 2010. "Study of some measures of dependence between order statistics and systems," Journal of Multivariate Analysis, Elsevier, vol. 101(1), pages 52-67, January.

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