On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,742 papers · 148 categories

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10 results for “ARDL”

Cointegration and ARDL specification between the Dubai crude oil and the US natural gas marketecon.EM

The study finds a long-term relationship between Dubai crude oil and US natural gas prices.

problem Examining the relationship between Dubai crude oil and US natural gas prices.

method Used unit root and cointegration tests, ARDL cointegration technique, and Toda-Yamamoto causality test.

result There is a long-run relationship with unidirectional causality from Dubai crude oil to US natural gas.

Dubai crude oil US natural gas cointegration ARDL causality

2022-06-03abs ↗pdf ↗

Do COVID-19 and crude oil prices drive the US economic policy uncertainty?q-fin.CP

Study shows oil prices but not COVID-19 cases affect US economic policy uncertainty.

problem Effect of COVID-19 and crude oil prices on US economic policy uncertainty.

method Used ARDL model with daily data from January 21-March 13, 2020.

result Crude oil price dynamics increase US economic policy uncertainty, while COVID-19 cases have mixed effects.

COVID-19 crude oil prices economic policy uncertainty ARDL model daily data

2020-03-17abs ↗pdf ↗

The economic dependency of the Bitcoin securityecon.GN

Study shows Bitcoin security tied to mining rewards and prices.

problem Understanding Bitcoin security's dependency on market outcomes.

method Used ARDL approach with daily blockchain and Bitcoin data from 2014-2019.

result Bitcoin security outcomes linked to Bitcoin price and mining rewards.

Bitcoin security market outcomes ARDL approach mining rewards price shocks

2021-02-16abs ↗pdf ↗

Empirical Study on the Factors Influencing Stock Market Volatility in Chinaecon.GN

This study analyzes factors affecting China's stock market volatility.

problem Investigating factors influencing China's stock market volatility.

method Used ARDL model and principal component analysis on daily data from 2010-2024.

result Exchange rate and bond yields significantly impact stock market volatility.

Chinese Stock Market Volatility ARDL Model Exchange Rate Bond Yields

2025-01-15abs ↗pdf ↗

Coronavirus and oil price crashq-fin.ST

Coronavirus impacts oil prices through volatility and direct effects.

problem Impact of coronavirus on oil prices and volatility.

method ARDL estimation controlling for financial volatility and US economic policy uncertainty.

result COVID-19 daily infections have a negative long-term impact on oil prices.

coronavirus oil prices volatility ARDL financial markets

2020-03-13abs ↗pdf ↗

Does it take two to tango: Interaction between Credit Default Swaps and National Stock Indicesq-fin.ST

This study examines the interaction between CDS and stock indices, revealing significant short and long-term impacts.

problem Understanding the interaction between Credit Default Swaps (CDS) and national stock indices.

method ARDL technique applied to analyze short and long-run interactions between BIST-100 index and CDS prices over a specific period.

result The study finds that changes in CDS and BIST-100 index prices have significant impacts on each other, with long-term effects being more pronounced.

Credit Default Swaps Stock Indices BIST-100 ARDL Technique Short-Run

2025-12-01abs ↗pdf ↗

Factors Influencing Cryptocurrency Prices: Evidence from Bitcoin, Ethereum, Dash, Litecoin, and Moneroq-fin.PR

The study identifies key factors affecting cryptocurrency prices, including market beta, trading volume, and volatility.

problem Understanding the factors influencing cryptocurrency prices and their dynamics over time.

method ARDL technique and error-correction models applied to weekly data of Bitcoin, Ethereum, Dash, Litecoin, and Monero from 2010-2018.

result Cryptomarket-related factors are significant determinants of cryptocurrency prices in both short- and long-run, while attractiveness matters only in the long-run.

cryptocurrency prices ARDL cointegration market beta

2025-11-27abs ↗pdf ↗

External Demand, Domestic Monetary Conditions, and Remittance Dynamics in Nepalecon.GN

Study examines remittances in Nepal, linking external demand and domestic monetary conditions.

problem Understanding the dynamics of remittances in Nepal's economy.

method Constructed composite indices via PCA for external demand and domestic monetary conditions. Used ARDL, cointegration, DOLS, ECM, and machine learning for analysis.

result Strong positive long-run effect of external demand on remittances, significant negative impact of tighter domestic monetary conditions.

Nepal Remittances External Demand Monetary Conditions PCA

2026-05-19abs ↗pdf ↗

Comparative Analysis of Machine Learning Approaches to Analyze and Predict the Covid-19 Outbreakstat.ML

This paper compares ML models for predicting COVID-19 trends.

problem Forecasting the spread of COVID-19 to reduce its impact.

method Applied ARDL method to identify relationships, then used ML models (SVM, RF, KNN, ANN) for prediction.

result Models accurately forecasted COVID-19 cases with low MAPE.

Machine Learning COVID-19 Forecasting Support Vector Machine Random Forest

2021-02-11abs ↗pdf ↗

JFR-rg: A New Macroeconomic Framework for High-Debt, Low-Growth Economies under Financial Repressionecon.EM

JFR-rg model explains Japan's stable debt despite high interest rates and low growth.

problem Understanding Japan's stable government debt despite high interest rates and low growth.

method Formalizes financial repression channels through JFR-rg model, incorporating financial repression bias and exchange-rate channel.

result Identifies Normalization Trap and Captive Financial System Parameter, showing debt dynamics under financial repression.

Japan Financial Repression Debt Dynamics Stability Economic Framework

2026-03-30abs ↗pdf ↗