ERM Glossary: Tail correlation
[this page | pdf | references | back links | custom searches]
This is the correlation between
observations in the tails of distributions.
‘Correlations’ between tails of distributions often differ
from correlations applicable to the generality of the distributions and are
thus potentially poorly estimated using standard correlation coefficients
(calculated as per e.g. MnCorrelation),
see e.g. the attached slide.
of tail dependence can be thought of as a limiting version of tail
Contents | Prev | Next