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

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Author Info
Guang Bi (Department of Economics, University of Victoria)
David E. Giles () (Department of Economics, University of Victoria)

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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/ewp0705.pdf
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Publisher 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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Postal: PO Box 1700, STN CSC, Victoria, BC, Canada, V8W 2Y2
Phone: (250)721-8540
Fax: (250)721-6214
Web page: http://web.uvic.ca/econ
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Related research
Keywords: Movie revenue extreme values generalized Pareto distribution value at risk

Find related papers by JEL classification:
C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Econometric and Statistical Methods; Specific Distributions
C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
G1 - Financial Economics - - General Financial Markets
Z1 - Other Special Topics - - Cultural Economics

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References listed on IDEAS
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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. [Downloadable!] (restricted)
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