Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Correlation structure of extreme stock returns   It is commonly believed that the correlations between stock returns increase
in high volatility periods. We investigate how much of these correlations can
be explained within a simple non-Gaussian one-factor description with time
independent correlations. Using surrogate data with the true market return as
the dominant factor, we show that most of these correlations, measured by a
variety of different indicators, can be accounted for. In particular, this
one-factor model can explain the level and asymmetry of empirical exceedance
correlations. However, more subtle effects require an extension of the one
factor model, where the variance and skewness of the residuals also depend on
the market return.

10
The categories of this paper are: q-bio
3
The categories of this paper are: physics
5
The categories of this paper are: gr-qc
6
The categories of this paper are: astro-ph
22
The categories of this paper are: chao-dyn
37
The categories of this paper are: supr-con
0
The categories of this paper are: hep-ph
7
The categories of this paper are: hep-th
12
The categories of this paper are: nucl-th
9
The categories of this paper are: nlin
31
The categories of this paper are: ao-sci
19
The categories of this paper are: eess
1
The categories of this paper are: cs
35
The categories of this paper are: mtrl-th
16
The categories of this paper are: stat
30
The categories of this paper are: q-alg