  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.
