I am really interested in Granger-causality.
Can anyone think of a paper that uses a bivariate VAR model in economics or finance?
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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.
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$\begingroup$ Hi: I can't recall the title of the paper but if you google for "hasbrouck and price discovery" I think a paper should come up that uses a bivariate VAR. I can't guarantee that but I'm pretty certain about it. $\endgroup$ Jul 21, 2020 at 1:27
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$\begingroup$ This is not what I was looking for but it is a paper by hasbrouck that uses a bivariate VAR. I thought he had something simpler related to price discovery but I'm probably mistaken. citeseerx.ist.psu.edu/viewdoc/… $\endgroup$ Jul 21, 2020 at 1:36