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2011-10-27Buch DOI: 10.18452/4359
Econometric analysis of volatile art markets
dc.contributor.authorBocart, Fabian Y. R. P.
dc.contributor.authorHafner, Christian M.
dc.date.accessioned2017-06-16T00:30:14Z
dc.date.available2017-06-16T00:30:14Z
dc.date.created2011-11-04
dc.date.issued2011-10-27
dc.date.submitted2011-10-27
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5011
dc.description.abstractA 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectVolatilityeng
dc.subjectart marketseng
dc.subjecthedonic regression semiparametric estimationeng
dc.subject.ddc330 Wirtschaft
dc.titleEconometric analysis of volatile art markets
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100196241
dc.identifier.doihttp://dx.doi.org/10.18452/4359
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages31
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2011
local.edoc.container-issue71
local.edoc.container-year2011
local.edoc.container-erstkatid2195055-6

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