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Title:Econometric analysis of volatile art markets PDF Logo
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.
Subjects:volatility
art markets
hedonic regression
semiparametric estimation
JEL:C14
C43
Z11
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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