A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate
AbstractThe miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation analysis (MF-DFA) is used. Through multifractal analysis, the scaling exponents, generalized Hurst exponents, generalized fractal dimensions and singularity spectrum are derived. Moreover, contribution of two major sources of multifractality, that is, fat-tailed probability distributions and nonlinear temporal correlations are studied.
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Bibliographic InfoArticle provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.
Volume (Year): 367 (2006)
Issue (Month): C ()
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Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/
Multifractality; Scaling; Rial–dollar exchange rate; Financial markets;
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