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

Abstract

An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.

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• Item metadata

  Item type:	Book Section
  ID code:	45321
  Dates:	Date Event 23 December 2010 Published
  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:	Related item
  URI:	https://strathprints.strath.ac.uk/id/eprint/45321