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Econometric analysis of volatile art markets

Listed author(s):
  • Fabian Y. R. P. Bocart
  • Christian M. Hafner

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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File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-071.pdf
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Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2011-071.

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Length: 31 pages
Date of creation: Oct 2011
Handle: RePEc:hum:wpaper:sfb649dp2011-071
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