We introduce the Gerber statistic, a robust measure of correlation. The statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their amplitudes exceed data-dependent thresholds. This is unlike the standard Pearson correlation that is sensitive to...

The purpose of this paper is to introduce the Gerber statistic, a robust co-movement measure for covariance matrix estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of simultaneous co-movements in series when their...

We develop, and apply to data on U.S. corporations from 1979-2004, tests of the standard doubly-stochastic assumption under which firms'default times are correlated only as implied by the correlation of factors determining their default intensities. This assumption is violated in the presence of...