Lead-lag bivariate VAR model

Quantitative Finance Asked on October 27, 2021

I am really interested in Granger-causality.

Can anyone think of a paper that uses a bivariate VAR model in economics or finance?

One Answer

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.

Answered by Thomas W on October 27, 2021

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