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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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Econometric analysis of volatile art markets
BOCART, Fabian Y. R. P.; HAFNER, Christian - Center for Operations Research and Econometrics (CORE), … - 2011
A new heteroskedastic hedonic regression model is suggested. It takes into account time-varying volatility and is … the volatility of stock indices. …
Persistent link: https://www.econbiz.de/10010610482
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Investment returns and economic fundamentals in international art markets
Renneboog, Luc; Spaenjers, Christophe - 2014
Persistent link: https://www.econbiz.de/10010395003
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Does artistic value explain the performance of contemporary artists?
Rozenbaum, Ronald - Centre Emile Bernheim, Solvay Brussels School of … - 2007
We examine the contemporary art market of the 100 best artists as classified by the Kunstkompass 2006 in the German magazine Capital in comparison with price achieved by artworks from the same artists sold through auction sales. Using the hedonic regression method, we test whether and in which...
Persistent link: https://www.econbiz.de/10005558900
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Investment Returns and Economic Fundamentals in International Art Markets
Renneboog, Luc; Spaenjers, C. - Tilburg University, Center for Economic Research - 2014
Abstract: Works of art are neither easily tradable across borders, nor evaluated according to globally identical standards. We examine geographical segmentation and its effects on price formation and returns in the international art auction market. We find (i) a close connection between the...
Persistent link: https://www.econbiz.de/10011092191
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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/10009467133
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Volatility of price indices for heterogeneous goods
Bocart, Fabian Y.R.P.; Hafner, Christian M. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 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/10010550537
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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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A multivariate test against spurious long memory
Sibbertsen, Philipp; Leschinski, Christian; Holzhausen, … - 2015
This paper provides a multivariate score-type test to distinguish between true and spurious long memory. The test is based on the weighted sum of the partial derivatives of the multivariate local Whittle likelihood function. This approach takes phase shifts in the multivariate spectrum into...
Persistent link: https://www.econbiz.de/10011324716