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

Cite this

Cooke, R. M., Kousky, C., & Joe, H. (2010). Micro correlations and tail dependence. In D. Kurowicka, & H. Joe (Eds.), Dependence Modeling : Vine Copula Handbook (pp. 89-112)