TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements.

Bibliographic Details
Title: TailCoR: A new and simple metric for tail correlations that disentangles the linear and nonlinear dependencies that cause extreme co-movements.
Authors: Babić S; LeasePlan, Amsterdam, The Netherlands., Ley C; Department of Mathematics, University of Luxembourg, Esch-sur-Alzette, Luxembourg., Ricci L; European Stability Mechanism, Luxembourg, Luxembourg., Veredas D; Centre for Sustainable Finance and Department of Economics, Vlerick Business School and Ghent University, Brussels, Belgium.
Source: PloS one [PLoS One] 2023 Jan 03; Vol. 18 (1), pp. e0278599. Date of Electronic Publication: 2023 Jan 03 (Print Publication: 2023).
Publication Type: Journal Article; Research Support, Non-U.S. Gov't
Journal Info: Publisher: Public Library of Science Country of Publication: United States NLM ID: 101285081 Publication Model: eCollection Cited Medium: Internet ISSN: 1932-6203 (Electronic) Linking ISSN: 19326203 NLM ISO Abbreviation: PLoS One Subsets: MEDLINE
Database: MEDLINE Complete
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Description
ISSN:1932-6203
DOI:10.1371/journal.pone.0278599