Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/243283 
Year of Publication: 
2021
Series/Report no.: 
SAFE Working Paper No. 324
Publisher: 
Leibniz Institute for Financial Research SAFE, Frankfurt a. M.
Abstract: 
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.
Subjects: 
Granger Causality
Hong test
DCC-GARCH
Oil market
COVID-19
JEL: 
C10
C13
C32
C58
Q43
Q47
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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