A directional tail dependence coefficient based on conditional tail expectations of rank-transformed variables is proposed to quantify asymmetric extremal influences and support causal-effect detection in extremes.
R., Griessenberger, F., and Trutschnig, W
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Directional Dependence of Extreme Events
A directional tail dependence coefficient based on conditional tail expectations of rank-transformed variables is proposed to quantify asymmetric extremal influences and support causal-effect detection in extremes.