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Sla{\dj}ana Babi\'c, Christophe Ley, Lorenzo Ricci and David Veredas

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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 between two variables is based on the tail inter quantile range of a simple projection. It is dimension-free, it performs well in small samples, and no optimisations are needed.

Date: 2020-11
New Economics Papers: this item is included in nep-ecm
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Working Paper: TailCoR (2012) Downloads
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