Micro correlations and tail dependence
Cooke, Roger M and Kousky, Carolyn and Joe, Harry (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.
| Author(s): | Cooke, Roger M, Kousky, Carolyn 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: | 18 Jan 2020 02:14 |
| Related URLs: | |
| URI: | https://strathprints.strath.ac.uk/id/eprint/45321 |
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