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Econometric analysis of volatile art markets

  • BOCART, Fabian Y. R. P.

    ()

    (Université catholique de Louvain, Institut de statistique, biostatistique et sciences actuarielles, B-1348 Louvain-la-Neuve, Belgium)

  • HAFNER, Christian

    ()

    (Université catholique de Louvain, CORE and Institut de statistique, biostatistique et sciences actuarielles, B-1348 Louvain-la-Neuve, Belgium)

A new heteroskedastic hedonic regression model is suggested. It takes into account time-varying volatility and is applied to a blue chips art market. Furthermore, a nonparametric local likelihood estimator is used. This estimator 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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Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2011052.

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Date of creation: 21 Nov 2011
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Handle: RePEc:cor:louvco:2011052
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