framework is suitable to analyse both mean and volatility spillovers, and also allows for possible parameter shifts resulting … food crisis and 2008 financial crisis leading to the most significant shifts in the (volatility) spillovers between the …

frequency volatility—i.e., the component of volatility that persists for longer than one harvest year—may be more challenging as … uncertainty regarding its persistence is likely to be higher. This paper measures the low frequency volatility of food commodity … spot prices using the spline- GARCH approach. It finds that low frequency volatility is positively correlated across …

This paper examines the process of relative food price volatility and investigates how short-run deviations from the … relationship between relative food prices and particular macroeconomic fundamentals affect this volatility for the case of Greece …. The methodology followed in this paper to measure relative food price volatility is that of Generalized Autoregressive …