Economics at your fingertips  

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Mathematics and Computers in Simulation (MATCOM) is currently edited by Robert Beauwens

More articles in Mathematics and Computers in Simulation (MATCOM) from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-10-13
Handle: RePEc:eee:matcom:v:79:y:2009:i:9:p:2759-2766