TY  - UNPD
A1  - Caporin, Massimiliano
A1  - Costola, Michele
T1  - Time-varying granger causality tests for applications in global crude oil markets: a study on the DCC-MGARCH Hong test
T2  - SAFE working paper ; No. 324
N2  - Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality— the DCC-MGARCH Hong test. We show that the critical values of the test statistic must be evaluated through simulations, thereby challenging the evidence in papers adopting the DCC-MGARCH Hong test. We also note that rolling Hong tests represent a more viable solution in the presence of short-lived causality periods.
T3  - SAFE working paper - 324 
KW  - Granger Causality
KW  - Hong test
KW  - DCC-GARCH
KW  - Oil market
KW  - COVID-19
Y1  - 2021
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/61638
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-616382
UR  - https://ssrn.com/abstract=3941778
PB  - SAFE
CY  - Frankfurt am Main
ER  -