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

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Abstract

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:02 Apr 2020 00:23
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URI:https://strathprints.strath.ac.uk/id/eprint/45321
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