Micro correlations and tail dependence
Cooke, Roger M and Kousky, Carolyn and Joe, Harry; Kurowicka, Dorota and Joe, Harry, eds. (2010) Micro correlations and tail dependence. In: Dependence Modeling. World Scientific Publishing Company, pp. 89-112. ISBN 978-9814299879
Full text not available in this repository.Request a copy from the Strathclyde authorAbstract
An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
Creators(s): | Cooke, Roger M, Kousky, Carolyn and Joe, Harry; Kurowicka, Dorota and Joe, Harry | Item type: | Book Section |
---|---|
ID code: | 45321 |
Keywords: | micro correlations, tail dependence, latent variable modeling, Risk Management, Management Science and Operations Research |
Subjects: | Social Sciences > Industries. Land use. Labor > Risk Management |
Department: | Strathclyde Business School > Management Science |
Depositing user: | Pure Administrator |
Date deposited: | 23 Oct 2013 09:25 |
Last modified: | 01 Jan 2021 06:45 |
Related URLs: | |
URI: | https://strathprints.strath.ac.uk/id/eprint/45321 |
Export data: |
CORE (COnnecting REpositories)