Volatility Spillover Effects in Greek Consumer Meat Prices
AbstractThis paper investigates volatility spillover effects, i.e. 'meteor showers' and 'heat waves', across consumer meat prices for lamb, beef, pork, and poultry. The empirical analysis used the methodology of the Generalized Autoregressive Conditional Heteroskedastic (GARCH) approach. The empirical results support the presence of significant 'meteor shower' and 'heat wave' effects across the four meat categories under consideration.
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Bibliographic InfoArticle provided by Greek Association of Agricultural Economists in its journal Agricultural Economics Review.
Volume (Year): 04 (2003)
Issue (Month): 1 (January)
Demand and Price Analysis;
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"GARCH Time Series Models: An Application to Retail Livestock Prices,"
Center for Agricultural and Rural Development (CARD) Publications
88-wp29, Center for Agricultural and Rural Development (CARD) at Iowa State University.
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