Micro correlations and tail dependence

Roger M Cooke, Carolyn Kousky, Harry Joe

Research output: Chapter in Book/Report/Conference proceedingChapter

6 Citations (Scopus)

Abstract

An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
Original languageEnglish
Title of host publicationDependence Modeling
Subtitle of host publicationVine Copula Handbook
EditorsDorota Kurowicka, Harry Joe
Pages89-112
Number of pages24
Publication statusPublished - 23 Dec 2010

Keywords

  • micro correlations
  • tail dependence
  • latent variable modeling

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