Econometric analysis of volatile art markets
(2011) , 27 pages
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- 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.
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Citations
Bocart, F., & Hafner, C. (2011). Econometric analysis of volatile art markets (ISBA Discussion Paper 2011/29). https://hdl.handle.net/2078.5/210250