Econometric analysis of volatile art markets

Econometric analysis of volatile art markets

A new heteroskedastic hedonic regression model is suggested. It takes into account time-varying volatility and is applied to a blue chips art market. Furthermore, a nonparametric local likelihood estimator is used. This estimator 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 w...

Econometric analysis of volatile art markets Fabian

A new heteroskedastic hedonic regression model is suggested. It takes into account time-varying volatility and is applied to a blue chips art market. Furthermore, a nonparametric local likelihood estimator is used. This estimator 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 w...

Econometric Models for the Analysis of Electricity Markets

An Equilibrium-Econometric Analysis of Rental Housing Markets with Indivisibilities∗

We develop an equilibrium-econometric analysis in the context of rental housing markets with indivisibilities. The theory provides some bridge between a (competitive) market equilibrium theory and a statistical/econometric analysis. First, we develop this theory: The listing service of apartments, which we call the housing magazine, provides the information to both households (and landlords) an...

Capital Markets clustering: An econometric approach

1 Trabalho de projecto apresentado como requisito parcial para a obtenção do grau de without whose help the data collection would have been impossible. I would especially like to thank all my friends, Catarina Rodrigues, my brother, my sister, my father and my mother for their support and inspiration. Abstract Keywords: market efficiency, random walk, fair game, liquidity P. Samuelson and later...