Tailcor: a new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements

HIGHLIGHTS

• who: Sladana Babiu0107 et al. from the LeasePlan, Amsterdam, The Netherlands, Department of Mathematics, University of Luxembourg, Eschsur-Alzette, Luxembourg, European Stability Mechanism, Luxembourg, Luxembourg, Centre for have published the paper: TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements, in the Journal: PLOS ONE of February/23,/2022
• what: The larger u03be is, the further the authors explore the tails. In the next sub-section, the authors show that in the case of ellipticity, s0(u03be, u03c4) can be computed from a . . .
  

   

  

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