Estimating Granger Causality from Fourier and Wavelet Transforms of Time Series Data Dhamala & al. 2008 DOI: 10.1103/PhysRevLett.100.018701
This is a sped-up version of the author original code found here: (last accessed 2020-06-18) https://scholarworks.gsu.edu/phy_astr_facupub/13/
The Matlab version is contained in spectral_granger.m
Set your paths accordingly and run the examples in the tests folder.