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|Title:||Econometric analysis of volatile art markets |
|Authors:||Bocart, Fabian Y. R. P.|
Hafner, Christian M.
|Issue Date:||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.|
|Document Type:||Working Paper|
|Appears in Collections:||SFB 649 Discussion Papers, HU Berlin|
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