Abstract
An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
| Original language | English |
|---|---|
| Title of host publication | Dependence Modeling |
| Subtitle of host publication | Vine Copula Handbook |
| Editors | Dorota Kurowicka, Harry Joe |
| Pages | 89-112 |
| Number of pages | 24 |
| Publication status | Published - 23 Dec 2010 |
Keywords
- micro correlations
- tail dependence
- latent variable modeling