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

• Sladana Babić,

  Roles Data curation, Methodology, Software, Writing – original draft

  Affiliation LeasePlan, Amsterdam, The Netherlands

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• Christophe Ley ,

  Roles Methodology, Writing – review & editing

  * E-mail: christophe.ley@uni.lu

  Affiliation Department of Mathematics, University of Luxembourg, Esch-sur-Alzette, Luxembourg

  https://orcid.org/0000-0002-2290-8437

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• Lorenzo Ricci,

  Roles Conceptualization, Data curation, Investigation, Methodology, Writing – original draft

  Affiliation European Stability Mechanism, Luxembourg, Luxembourg

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• David Veredas

  Roles Conceptualization, Data curation, Methodology, Supervision, Writing – original draft

  Affiliation Centre for Sustainable Finance and Department of Economics, Vlerick Business School and Ghent University, Brussels, Belgium

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