Lead-lag bivariate VAR model

Here are two examples:

Büyükşahin, B., Harris, J.H., 2011. Do speculators drive crude oil futures prices?. Energy J. 32 (2), 167–202.

Fujihara, R.A., Mougou, M., 1997. An examination of linear and nonlinear causal relationships between price variability and volume in petroleum futures markets. J. Futures Mark. 17 (4), 385–416.