Micro correlations and tail dependence

Roger M Cooke, Carolyn Kousky, Harry Joe

Research output: Chapter in Book/Report/Conference proceedingChapter

6 Citations (Scopus)


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
Number of pages24
Publication statusPublished - 23 Dec 2010


  • micro correlations
  • tail dependence
  • latent variable modeling


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