Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test

Massimiliano Caporin and Michele Costola

Energy Economics, 2022, vol. 111, issue C

Abstract: The analysis of causality among oil prices and, in general, between financial and economic variables is of central relevance in applied economic studies. The recent contribution of Lu et al. (2014) proposes a new causality test, the DCC-MGARCH Hong test. We show that the critical values of the test statistic should be evaluated through simulations to avoid potential Type I errors. We also note that rolling Hong tests represent a more viable solution in the presence of short-lived causality periods.

Keywords: Granger causality; Hong test; DCC-GARCH; Oil market; COVID-19 (search for similar items in EconPapers)
JEL-codes: C10 C13 C32 C58 Q43 Q47 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002523

DOI: 10.1016/j.eneco.2022.106088

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