TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements
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DOI: 10.1371/journal.pone.0278599
Abstract: Economic and financial crises are characterised by unusually large events. These tail events co-move because of linear and/or nonlinear dependencies. We introduce TailCoR, a metric that combines (and disentangles) these linear and non-linear dependencies. TailCoR… read more here.
Keywords: new simple; nonlinear dependencies; disentangles linear; tailcor new ... See more keywords