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 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...