Multilevel models with stochastic volatility for repeated cross-sections: an application to tribal art prices

DOI10.1214/17-AOAS1035zbMath1416.62657arXiv1603.01985OpenAlexW2962817058WikidataQ125621546 ScholiaQ125621546MaRDI QIDQ2404458

Silvia Cagnone, Lucia Modugno, Simone Giannerini

Publication date: 18 September 2017

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.01985

zbMATH Keywords

stochastic volatilityautoregressionmultilevel modeldependent random effectshedonic regression model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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