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We use co\u2010exceedances to capture the structure of the dependence in the tails and, relying on the concept of multi\u2010information, define the coefficient of tail interdependence. Within this framework, we develop statistical tests of (i) independence in the tails, (ii) goodness\u2010of\u2010fit of the tail interdependence structure of a hypothesized model with the one observed in the data, and (iii) dependence symmetry between any two tails. We present an analysis of tail interdependence among 250 constituents of the S&amp;P 250 index.<\/jats:p>","DOI":"10.1002\/jae.2708","type":"journal-article","created":{"date-parts":[[2019,4,3]],"date-time":"2019-04-03T14:53:35Z","timestamp":1554303215000},"page":"779-794","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":6,"title":["Telling tales from the tails: High\u2010dimensional tail interdependence"],"prefix":"10.1002","volume":"34","author":[{"given":"Arnold","family":"Polanski","sequence":"first","affiliation":[{"name":"School of Economics University of East Anglia  Norwich UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Evarist","family":"Stoja","sequence":"additional","affiliation":[{"name":"School of Economics, Finance and Management University of Bristol  Bristol UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Frank","family":"Windmeijer","sequence":"additional","affiliation":[{"name":"School of Economics, Finance and Management University of Bristol  Bristol UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2019,5,22]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.3905\/jod.1997.407974"},{"key":"e_1_2_9_3_1","doi-asserted-by":"crossref","unstructured":"Andrade P. 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