文章基本信息

标题：Price Volatility Spillover in Agricultural Markets: An Examination of U.S. Catfish Markets
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作者：Buguk, Cumhur ; Hudson, Darren ; Hanson, Terrill R. 等
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：2003
页码：86-99
出版社：Food Distribution Research Society
摘要：Price volatility spillovers in the U.S. catfish supply chain are analyzed based on monthly price data from 1980 through 2000 for catfish feed, its ingredients, and farm- and wholesale-level catfish. The exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model was used to test univariate volatility spillovers for prices in the supply chain. Strong price volatility spillover from feeding material (corn, soybeans, menhaden) to catfish feed and farm- and wholesale-level catfish prices was detected.
关键词：catfish;EGARCH;vertical market chains;volatility spillover