This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric and nonlinear GARCH...

This paper examines the supply response of the Greek pork market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric and nonlinear GARCH...

We introduce a new approach to measuring the possible impact of futures speculation on spot commodity prices. We advocate the use of a non-parametric, highly flexible empirical model for measuring this impact, in order to account for possible non-linearity in the transmission from futures to...

Concave hiring rules imply that firms respond more to bad shocks than to good shocks. They provide a unified explanation for several seemingly unrelated facts about employment growth in macro and micro data. In particular, they generate countercyclical movement in both aggregate conditional...

This paper investigates the supply response of the Greek sheepmeat market and examines the effects of the Common Agricultural Policy (CAP) reforms in the Greek sheepmeat industry during the period 1993-2005. The nonlinear asymmetric GARCH (NAGARCH) process is used to estimate expected price and...

This paper examines the supply response of the Greek broiler market. A GARCH process is used to estimate expected price and price volatility, while price and supply equations are estimated jointly. In addition to the standard GARCH model, several different symmetric, asymmetric and nonlinear...

We investigate financial markets under model risk caused by uncertain volatilities. For this purpose we consider a financial market that features volatility uncertainty. To have a mathematical consistent framework we use the notion of G-expectation and its corresponding G-Brownian motion...

We investigate the relationship between the gas spot market and the price of gas storage capacity. Contrary to the common belief, the auction prices for gas storage are mostly affected by the volatility of current market prices rather than by the winter-summer price differences. This paper...

A discrete time model of a financial market is considered. We focus on the study of a guaranteed profit of an investor which arises when the stock price jumps are bounded. The limit distribution of the profit as the model becomes closer to the classical model of the geometric Brownian motion is...

Traditionally, observed fluctuations in aggregate economic time series have been mainly modeled as being the result of exogenous disturbances. A better understanding of macroeconomic phenomena, however, surely requires looking directly at the relations between variables that may trigger...