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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/56719
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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. |
| 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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