Price dependence among the major EU extra virgin olive oil markets: a time scale analysis

Abstract The goal of this study is to assess the strength and mode price dependence by time scale, among extra virgin olive oil markets Italy, Spain, Greece. These three Mediterranean countries are responsible for 95% production within European Union they account more than 50% exports worldwide. For empirical analysis, monthly prices from aforementioned utilized along with tools discrete wavelets non-parametric copulas. Results indicate that (a) linkages in short run significantly different those longer run, being stronger (b) very long shocks same sign but magnitude transmitted Italy Spain a higher probability Accordingly, scale affects intensity as well pattern dependence, pointing way asymmetric co-movement. Regarding integration markets, finding co-movement not consistent well-integrated markets.