Volatility Spillover Effects in Greek Consumer Meat Prices
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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- Aradhyula, Satheesh V. & Holt, Matthew T., 1988.
"Garch Time-Series Models: An Application To Retail Livestock Prices,"
Western Journal of Agricultural Economics,
Western Agricultural Economics Association, vol. 13(02), December.
- Satheesh V. Aradhyula & Matthew T. Holt, 1988. "GARCH Time Series Models: An Application to Retail Livestock Prices," Food and Agricultural Policy Research Institute (FAPRI) Publications 88-wp29, Food and Agricultural Policy Research Institute (FAPRI) at Iowa State University.
- 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.
- 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 1057-1072, June.
- Gerald E. Shively, 1996. "Food Price Variability and Economic Reform: An ARCH Approach for Ghana," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(1), pages 126-136.
- 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 279-294, October-D. Full references (including those not matched with items on IDEAS)
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