Lu, Feng-bin; Hong, Yong-miao; Wang, Shou-yang; Lai, … - In: Energy Economics 42 (2014) C, pp. 289-298
This paper proposes time-varying Granger causality tests based on the tests developed by Hong (2001) and two dynamic correlation estimators (i.e., rolling correlation and dynamic conditional correlation multivariate GARCH), here called the rolling Hong and DCC-MGARCH Hong tests, respectively....