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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012
-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …
Persistent link: https://www.econbiz.de/10010318789
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Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …
Persistent link: https://www.econbiz.de/10009351507
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Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2011
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock …
Persistent link: https://www.econbiz.de/10010281564
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Testing for bubbles in cryptocurrencies with time-varying volatility
Hafner, Christian M. - 2018
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme volatility. While … volatility is time varying, assuming a deterministic longrun component that may take into account a decrease of unconditional … volatility when the cryptocurrency matures with a higher market dissemination. Volatility also includes a stochastic short …
Persistent link: https://www.econbiz.de/10012433154
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Testing for Bubbles in Cryptocurrencies with Time-Varying Volatility
Hafner, Christian - 2018
The recent evolution of cryptocurrencies has been characterized by bubble-like behavior and extreme volatility. While … volatility is time varying, assuming a deterministic long-run component that may take into account a decrease of unconditional … volatility when the cryptocurrency matures with a higher market dissemination. Volatility also includes a stochastic short …
Persistent link: https://www.econbiz.de/10012929792
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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2012
-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put … the price index, allowing to treat the volatility parameter as the object of interest. The model can be estimated using …
Persistent link: https://www.econbiz.de/10009540165
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Econometric analysis of volatile art markets
Bocart, Fabian Y. R. P.; Hafner, Christian M. - 2011
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is … expectation. The art price index is a smooth function of time and has a variability that is comparable to the volatility of stock … indices. -- Volatility ; art markets ; hedonic regression ; semiparametric estimation …
Persistent link: https://www.econbiz.de/10009349110
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Towards data oriented analysis of the art market: Survey and outlook
Filipiak, Dominik; Filipowska, Agata - In: e-Finanse: Financial Internet Quarterly 12 (2016) 1, pp. 21-31
Due to the constantly growing interest in alternative investments, the art market has become the subject of numerous studies. By publishing sales data, many services and auction houses provide a foundation for further research on the latest trends. Determining the definition of the artistic...
Persistent link: https://www.econbiz.de/10012011856
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Towards data oriented analysis of the art market : survey and outlook
Filipiak, Dominik; Filipowska, Agata - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 1, pp. 21-31
Due to the constantly growing interest in alternative investments, the art market has become the subject of numerous studies. By publishing sales data, many services and auction houses provide a foundation for further research on the latest trends. Determining the definition of the artistic...
Persistent link: https://www.econbiz.de/10011539772
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Fair re-valuation of wine as an investment
Bocart, Fabian Y.R.P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
The prices of wine is a key topic for market participants interested in valuing their stock, including dealers, restaurants or consumers who may be interested in optimizing their purchases. As a closely related issue, re-valuation is the need to regularly update the value of a stock. This need...
Persistent link: https://www.econbiz.de/10010640723