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
Full text not available in this repository.Request a copyAbstract
An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
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Item type: Book Section ID code: 45321 Dates: DateEvent23 December 2010PublishedSubjects: 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: 10 Aug 2024 00:36 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/45321
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