This article investigates the non-linear adjustment and price volatility between consumer and producer prices in the Greek broiler sector, using a threshold error correction autoregressive model and two multivariate GARCH models, i.e. DVEC(1,1) and BEKK(1,1). The results reject the null...

This paper examines supply response models in a rational expectations framework for each one of the four major Greek meat markets, i.e. beef, broiler, lamb and pork. A multivariate GARCH model with Cholesky decomposition is used to incorporate price volatility into the rational expectations...

This paper explores supply response models in a rational expectations framework with endogenous risk by using a multivariate GARCH model with Cholesky decomposition. This approach allows the incorporation of price volatility as a risk factor into the supply response of a primary commodity sector...