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Econometric analysis of volatile art markets

  • Bocart, Fabian Y.R.P.
  • Hafner, Christian M.

A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical analysis reveals that errors are considerably non-Gaussian, and that a Student distribution with time-varying scale and degrees of freedom does well in explaining deviations of prices from their expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock indices.

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Article provided by Elsevier in its journal Computational Statistics & Data Analysis.

Volume (Year): 56 (2012)
Issue (Month): 11 ()
Pages: 3091-3104

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Handle: RePEc:eee:csdana:v:56:y:2012:i:11:p:3091-3104
Contact details of provider: Web page: http://www.elsevier.com/locate/csda

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