Chen, Rong Jr; Zapata, Hector O. Jr - Southern Agricultural Economics Association - SAEA - 2015
This paper examines hog price linkages between the U.S. and China during the period June 1996 to December 2013. Volatility and spillover effects are modeled through a MGARCH-BEKK model. It is found that volatility in Chinese hog prices is explained by own-price volatility and past unexpected...