Econometric analysis of volatile art markets

Fabian Y. R. P. Bocart () and Christian Hafner
Additional contact information
Fabian Y. R. P. Bocart: Université catholique de Louvain, Institut de statistique, biostatistique et sciences actuarielles, B-1348 Louvain-la-Neuve, Belgium

No 2011052, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

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-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 regession; semiparametric estimation (search for similar items in EconPapers)
Date: 2011-11-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp2011.html (application/pdf)

Related works:
Journal Article: Econometric analysis of volatile art markets (2012)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2011052

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().