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

Published 2022 View Full Article

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Title
Time-varying Granger causality tests in the energy markets: A study on the DCC-MGARCH Hong test
Authors
Keywords
Granger causality, Hong test, DCC-GARCH, Oil market, COVID-19
Journal
ENERGY ECONOMICS
Volume -, Issue -, Pages 106088
Publisher
Elsevier BV
Online
2022-06-03
DOI
10.1016/j.eneco.2022.106088
References
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