-variance analysis of alternative investments has been hampered by the lack of a systematic treatment of volatility in these markets …. This may seem surprising as derivatives on subsets of the traded goods require a precise modelling and estimation of the … underlying volatility. For example, in art markets, auction houses often give price guarantees to the seller that resemble put …

identical in every respect but brand. The model is based on hedonic regressions and grounded in economic theory. In constrast to … premia's intertemporal dependence structure, the Bayesian estimation method produces more accurate estimators of the time … confidence bands that cover the entire time series of brand premia with high probability. The data required for estimation are …

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 …

. Empirical findings show a sharp contrast with the theory. Fixed-term lease rates are often higher than open-ended long …