论文标题
尾
TailCoR
论文作者
论文摘要
经济和金融危机的特征是异常大型事件。这些尾巴事件是由于线性和/或非线性依赖性而共同移动的。我们引入了Tailcor，这是一种结合了这些线性和非线性依赖性（和分散）的度量。两个变量之间的尾cor基于简单投影的尾部间段范围。它不含尺寸，在小样本中表现良好，不需要优化。
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.
