Time-varying Granger causality tests in the energy markets : a study on the DCC-MGARCH Hong test
Massimiliano Caporin, Michele Costola
| Year of publication: |
2022
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|---|---|
| Authors: | Caporin, Massimiliano ; Costola, Michele |
| Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 111.2022, p. 1-14
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| Subject: | COVID-19 | DCC-GARCH | Granger causality | Hong test | Oil market | Kausalanalyse | Causality analysis | Ölmarkt | Energiemarkt | Energy market | Coronavirus | Hongkong | Hong Kong |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.eneco.2022.106088 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013350204