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

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