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B1675
Title: Copulas for multiple time series: Evidence of asymmetric price transmission along the Italian pork supply chain Authors:  Giorgia Rivieccio - Parthenope University (Italy) [presenting]
Giovanni De Luca - University of Naples Parthenope (Italy)
Fabian Capitanio - University of Naples Federico II (Italy)
Barry Goodwin - North Carolina State University (United States)
Abstract: The presence of asymmetric vertical price contagions in the Italian pork market is investigated, describing the multiple dependence structure along the supply chain and evaluating the degree of extreme value dependence at different market levels. We provide a nonlinear copula-based Vector AutoRegressive (VAR) model built under a three stage estimation method. We contribute to the literature, providing a specification of the copula-based Impulse Response Functions (IRF), giving also an interpretation of the economic results to the empirical analysis.