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TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements
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...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2023
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9810202/ https://www.ncbi.nlm.nih.gov/pubmed/36595495 http://dx.doi.org/10.1371/journal.pone.0278599 |