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