Bocart, Fabian Y.R.P.; Hafner, Christian M. - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3091-3104
A new heteroskedastic hedonic regression model is suggested which takes into account time-varying volatility and is applied to a blue chips art market. A nonparametric local likelihood estimator is proposed, and this is more precise than the often used dummy variables method. The empirical...