Modelling extremal events: for insurance and finance
Modelling extremal events: for insurance and finance
Statistical analysis of extreme values
Statistical analysis of extreme values
Using a bootstrap method to choose the sample fraction in tail index estimation
Journal of Multivariate Analysis
An Application of Extreme Value Theory for Measuring Financial Risk
Computational Economics
Original article: Further properties of random orthogonal matrix simulation
Mathematics and Computers in Simulation
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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.