Lorenzo Ricci and
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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.
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Working Paper: TailCoR (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2011.14817
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