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 article investigates the non-linear adjustment and price volatility between consumer and producer prices in the Greek broiler sector, using a threshold error correction autoregressive model and two multivariate GARCH models, i.e. DVEC(1,1) and BEKK(1,1). The results reject the null...

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 study examines the supply response of the Greek beef market and the possible effect of the European Union's Common Agricultural Policy (CAP) on the Greek beef sector during the period 1993-2005. A Generalized Autoregressive Conditional Heteroskedasticity (GARCH) process is used to estimate...

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 supply response models in a rational expectations framework for each one of the four major Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate generalised autoregressive conditional heteroskedasticity model with Cholesky decomposition is used to incorporate...