The linkage between international dairy commodity prices and volatility: a panel-GARCH analysis
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DOI: 10.1108/JADEE-02-2022-0027
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References listed on IDEAS
- Rezitis, Anthony N. & Rokopanos, Andreas, 2019.
"Impact of trade liberalisation on dairy market price co-movements between the EU, Oceania, and the United States,"
Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), July.
- Anthony N. Rezitis & Andreas Rokopanos, 2019. "Impact of trade liberalisation on dairy market price co‐movements between the EU, Oceania, and the United States," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 63(3), pages 472-498, July.
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More about this item
Keywords
Conditional volatility; Implied conditional cross-correlation; Panel-GARCH; Global food crisis; C33; C51; F14; L11;All these keywords.
JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- F14 - International Economics - - Trade - - - Empirical Studies of Trade
- L11 - Industrial Organization - - Market Structure, Firm Strategy, and Market Performance - - - Production, Pricing, and Market Structure; Size Distribution of Firms
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