The paper develops a novel approach to account for serially dependent extreme price changes under the assumption that the tail distribution follows the generalized Pareto distribution (GPD). Our approach can 1) detect serial dependence of extreme price changes, and 2) can be applied when...

To analyze the effects of prospective policy changes, sectoral and economy-wide modelers need to begin with baseline estimates of policy induced price distortions. Global trade modelers mostly use the Global Trade Analysis Project (GTAP) protection database, which currently relies heavily on...

Purpose: This study focuses on forecasting the price of the most important export crops of vegetables and fruits in Egypt from 2016 to 2030. Design/methodology/approach: The study applied generalized autoregressive conditional heteroskedasticity (GARCH) model and autoregressive integrated moving...