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Volatility Spillover Effects in Greek Consumer Meat Prices

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Author Info
Rezitis, Anthony

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Abstract

This 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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Publisher Info
Article provided by Greek Association of Agricultural Economists in its journal Agricultural Economics Review.

Volume (Year): 04 (2003)
Issue (Month): 1 (January)
Pages:
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Handle: RePEc:ags:aergaa:26421

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Web page: http://www.etagro.gr/
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Related research
Keywords: Demand and Price Analysis;

References listed on IDEAS
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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. Chou, Ray Yeutien, 1988. "Volatility Persistence and Stock Valuations: Some Empirical Evidence Using Garch," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 3(4), pages 279-94, October-D. [Downloadable!] (restricted)
  3. Satheesh V. Aradhyula & Matthew T. Holt, 1988. "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. [Downloadable!]
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This page was last updated on 2009-12-11.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.