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

DOI10.1016/j.matcom.2008.04.014zbMath1168.91466OpenAlexW1985375833MaRDI QIDQ834289

David E. A. Giles, Guang Bi

Publication date: 19 August 2009

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.04.014

zbMATH Keywords

extreme valuesgeneralized Pareto distributionvalue at riskmovie revenue

Mathematics Subject Classification ID

Related Items (3)

Further properties of random orthogonal matrix simulation ⋮ Bias-corrected maximum likelihood estimation of the parameters of the generalized Pareto distribution ⋮ Estimation methods for expected shortfall

Uses Software

• ismev

Cites Work

• Unnamed Item
• An application of extreme value theory for measuring financial risk
• Residual life time at great age
• Statistical inference using extreme order statistics
• Exceedances over high thresholds: a guide to threshold selection
• High volatility, thick tails and extreme value theory in value-at-risk estimation.
• Using a bootstrap method to choose the sample fraction in tail index estimation
• An introduction to statistical modeling of extreme values

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