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...

Full description

Saved in:
Bibliographic Details
Published inarXiv.org
Main Authors Babić, Slađana, Ley, Christophe, Ricci, Lorenzo, Veredas, David
Format Paper
LanguageEnglish
Published Ithaca Cornell University Library, arXiv.org 26.11.2020
Online AccessGet full text

Cover

More Information
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.
ISSN:2331-8422