A note on the absolute moments of the bivariate normal distribution

Markus Haas

Economics Bulletin, 2018, vol. 38, issue 1, 650-656

Abstract: A short and simple calculation of the expected absolute value of the product of two correlated zero-mean normal variables is provided.

Keywords: multivariate GARCH; moments; multivariate normal distribution (search for similar items in EconPapers)
JEL-codes: C3 C4 (search for similar items in EconPapers)
Date: 2018-03-23
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