TailCoR
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 th...
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Published in | arXiv.org |
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Main Authors | , , , |
Format | Paper |
Language | English |
Published |
Ithaca
Cornell University Library, arXiv.org
26.11.2020
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Online Access | Get full text |
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Summary: | 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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ISSN: | 2331-8422 |