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Modelling the financial risk associated with U.S. movie box office earnings

Guang Bi and David Giles ()

Mathematics and Computers in Simulation (MATCOM), 2009, vol. 79, issue 9, 2759-2766

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 Peak 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 maximum 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.

Keywords: Movie revenue; Extreme values; Generalized Pareto distribution; Value at risk (search for similar items in EconPapers)
Date: 2009
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