Econometric analysis of volatile art markets

Abstract

A new heteroskedastic hedonic regression model is suggested. It takes into account time-varying volatility and is applied to a blue chips art market. Furthermore, a nonparametric local likelihood estimator is used. This estimator is more precise than the often used dummy variables method. The empirical analysis reveals that errors are considerably non… (More)
DOI: 10.1016/j.csda.2011.10.019

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Cite this paper

@article{Bocart2012EconometricAO, title={Econometric analysis of volatile art markets}, author={Fabian Y. R. P. Bocart and Christian M. Hafner}, journal={Computational Statistics & Data Analysis}, year={2012}, volume={56}, pages={3091-3104} }