期刊名称：Bank of Finland Research Discussion Papers (früher: Bank of Finland Discussion Papers)
印刷版ISSN：0785-3572
电子版ISSN：1456-6184
出版年度：2013
卷号：2013
出版社：Suomen Pankki = Bank of Finland
摘要：In this study we present a closed form solution to the moments and, in particular, correlation of two log-normally distributed random variables, where the underlying log-normal distribution is potentially truncated and censored at both tails. Throughout the analysis we further assume that the parameters of the unconstrained bivariate log-normal distribution are known. The closed form solution also covers the cases where one tail is truncated and the other is censored.
