Econometric analysis of volatile art markets

DOI10.1016/J.CSDA.2011.10.019zbMath1254.91562OpenAlexW2129032732MaRDI QIDQ1927095

Fabian Y. R. P. Bocart, Christian M. Hafner

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2011-071.pdf

zbMATH Keywords

semiparametric estimationvolatilityhedonic regressionart markets

Mathematics Subject Classification ID

Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• On generalised asymmetric stochastic volatility models
• Reconsidering hedonic art price indexes
• Adapting for heteroscedasticity in linear models
• Robust plug-in bandwidth estimators in nonparametric regression
• Smearing Estimate: A Nonparametric Retransformation Method
• Sample Selection Bias as a Specification Error
• Guarantees in Auctions: The Auction House as Negotiator and Managerial Decision Maker
• Autoregressive Conditional Density Estimation
• The Kernel Estimate of a Regression Function in Likelihood-Based Models

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