This paper investigates producer-consumer price volatility in four meat markets in Greece: beef, pork, lamb and poultry. The methodology followed in this paper to measure price volatility is that of the diagonal VEC (DVEC) model of Bollerslev, et al (1988) while that of decomposing the estimated...

This paper explores supply response models in a rational expectations framework with endogenous risk by using a multivariate GARCH model with Cholesky decomposition. This approach allows the incorporation of price volatility as a risk factor into the supply response of a primary commodity sector...

This paper investigates producer-consumer price volatility in four meat markets in Greece: beef, lamb, pork and poultry. The methodology followed in this paper to measure price volatility is that of the diagonal VEC (DVEC) model of Bollerslev et al. (1988) while that of decomposing the estimated...

This paper investigates volatiltiy spillover effects, i.e. 'meteor showers' and 'heat waves', across consumer meat prices for lamb, beef, pork, and poltry. The empirical analysis used the methodology of the Generalized Autoregressive Conditional Heteroskedastic (GARCH) approach. The empirical...

This study investigates causality, price transmission and volatility spillover effects between producer and consumer prices in lamb, beef, pork and poultry markets in Greece, using the methodology of the Generalized Autoregressive Conditional Heteroscedastic (GARCH) approach. The empirical...