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.

• Share and Export
  

  AtomRIOXX2 XMLData Cite XMLMODSMETSRDF+N-TriplesDublin CoreMPEG-21 DIDLOpenURL ContextObject in SpanASCII CitationHTML CitationJSONReferOpenURL ContextObjectEP3 XMLRDF+XMLSimple MetadataEndNoteRefWorksMultiline CSVBibTeXRDF+N3RIS (EndNote Online, Zotero, Ref manager, etc)
• Item metadata

  Item type:	Book Section
  ID code:	45321
  Dates:	Date Event 23 December 2010 Published
  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:	09 May 2025 21:40
  Related URLs:	Related item
  URI:	https://strathprints.strath.ac.uk/id/eprint/45321