Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/56719
Authors: 
Bocart, Fabian Y. R. P.
Hafner, Christian M.
Year of Publication: 
2011
Series/Report no.: 
SFB 649 discussion paper 2011-071
Abstract: 
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.
Subjects: 
volatility
art markets
hedonic regression
semiparametric estimation
JEL: 
C14
C43
Z11
Document Type: 
Working Paper

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