Econometric analysis of volatile art markets

Fabian Y.R.P. Bocart and Christian Hafner

Computational Statistics & Data Analysis, 2012, vol. 56, issue 11, 3091-3104

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.

Keywords: Volatility; Art markets; Hedonic regression; Semiparametric estimation (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Econometric analysis of volatile art markets (2012)
Working Paper: Econometric analysis of volatile art markets (2011)
Working Paper: Econometric analysis of volatile art markets (2011)
Working Paper: Econometric analysis of volatile art markets (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:csdana:v:56:y:2012:i:11:p:3091-3104

DOI: 10.1016/j.csda.2011.10.019

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