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Markus Haas
''A note on the absolute moments of the bivariate normal distribution''
( 2018, Vol. 38 No.1 )
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
JEL: C4 - Econometric and Statistical Methods: Special Topics
C3 - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions
Manuscript Received : Jun 21 2017 Manuscript Accepted : Mar 23 2018

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