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An Application of Extreme Value Theory to U.S. Movie Box Office Returns

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Abstract

In this paper we use extreme value theory to model the U.S. movie box-office returns, using weekly data for the period January 1982 to September 2006. The Peaks over Threshold method is used to fit the Generalized Pareto Distribution to the tails of the distributions of both positive weekly returns, and negative returns. Tail risk measures such as value-at-risk and expected shortfall are computed using likelihood and profile likelihood methods. These measures can be used as indicators for the film distributors in the preparation of movie prints, or as references for actual or potential investors in the movie industry.

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File URL: http://web.uvic.ca/econ/research/papers/ewp0705.pdf
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Bibliographic Info

Paper provided by Department of Economics, University of Victoria in its series Econometrics Working Papers with number 0705.

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Length: 8 pages
Date of creation: 21 Jul 2007
Date of revision:
Handle: RePEc:vic:vicewp:0705

Note: ISSN 1485-6441
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Web page: http://web.uvic.ca/econ
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Related research

Keywords: Movie revenue; extreme values; generalized Pareto distribution; value at risk;

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  1. Jon Danielsson & Casper G. de Vries, 1998. "Beyond the Sample: Extreme Quantile and Probability Estimation," FMG Discussion Papers dp298, Financial Markets Group.
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  1. Modelling Extremes
    by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-16 18:29:00

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