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A note on the absolute moments of the bivariate normal distribution

Author

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  • Markus Haas

    (Institute for Quantitative Business and Economics Research (QBER), University of Kiel)

Abstract

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

Suggested Citation

  • Markus Haas, 2018. "A note on the absolute moments of the bivariate normal distribution," Economics Bulletin, AccessEcon, vol. 38(1), pages 650-656.
    • Handle: RePEc:ebl:ecbull:eb-17-00492
    as

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    References listed on IDEAS

    as
    1. Ling, Shiqing & McAleer, Michael, 2003. "Asymptotic Theory For A Vector Arma-Garch Model," Econometric Theory, Cambridge University Press, vol. 19(2), pages 280-310, April.
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    More about this item

    Keywords

    multivariate GARCH; moments; multivariate normal distribution;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables

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