Name
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. |
Year | DOI | Venue |
|---|---|---|
2012 | 10.1016/j.csda.2011.10.019 | Computational Statistics & Data Analysis |
Keywords | DocType | Volume |
art price index,smooth function,empirical analysis,new heteroskedastic hedonic regression,econometric analysis,time-varying scale,nonparametric local likelihood estimator,blue chips art market,volatile art market,stock index,student distribution,dummy variables method,volatility | Journal | 56 |
Issue | ISSN | Citations |
11 | 0167-9473 | 0 |
PageRank | References | Authors |
0.34 | 4 | 2 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Fabian Y. R. P. Bocart | 1 | 0 | 0.34 |
| Christian M. Hafner | 2 | 26 | 6.52 |