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 author

Abstract

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:03 Jan 2019 13:34
Related URLs:
URI:https://strathprints.strath.ac.uk/id/eprint/45321
Export data:
CORE (COnnecting REpositories)