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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.

Suggested Citation

  • Guang Bi & David E. Giles, 2007. "An Application of Extreme Value Theory to U.S. Movie Box Office Returns," Econometrics Working Papers 0705, Department of Economics, University of Victoria.
  • Handle: RePEc:vic:vicewp:0705
    Note: ISSN 1485-6441
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    File URL: http://www.uvic.ca/socialsciences/economics/assets/docs/econometrics/ewp0705.pdf
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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.
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    Blog mentions

    As found by EconAcademics.org, the blog aggregator for Economics research:
    1. Modelling Extremes
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-04-16 23:29:00

    More about this item

    Keywords

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

    JEL classification:

    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: 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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