Over the past three decades vertical price transmission analysis has been the subject of considerable attention in applied agricultural conomics. It has been argued that the existence of asymmetric price transmission generates rents for marketing and processing agents. Retail prices allegedly move faster upwards than downwards in response to farm level pricemovements. This is an important issue...

We propose a copula-based periodic mixed frequency generalized autoregressive (GAS) framework in order to model and forecast the intraday exposure conditional value at risk (ECoVaR) for an asset return corresponding market return. In particular, we analyze GAS models that account long-memory-type of dependencies, periodicities, asymmetric nonlinear dependence structures, fat-tailed distribution...