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Evidence of multifractality from CEE exchange rates against Euro

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  • Caraiani, Petre
  • Haven, Emmanuel

Abstract

The multifractal spectrum of a time series can be ascertained with a number of techniques, some based on wavelets, others based on the much newer (multifractal) detrended fluctuation analysis (MF-DFA). We test for the presence of multifractality in daily data on selected exchange rates from Central and Eastern European economies against EURO. The approach is based on a slight modification of the MF-DFA analysis in that local trends are not allowed to be polynomially fitted but rather are estimated through a sifting process which is established through a so called Empirical Mode Decomposition (EMD) algorithm. We assess the drivers of the multifractal spectrum strength, like temporal correlations or distributions based on surrogate data. Another topic discussed is whether the entrance in the exchange rate mechanism ERM II influenced the multifractality of the exchange rates.

Suggested Citation

  • Caraiani, Petre & Haven, Emmanuel, 2015. "Evidence of multifractality from CEE exchange rates against Euro," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 395-407.
    • Handle: RePEc:eee:phsmap:v:419:y:2015:i:c:p:395-407
    DOI: 10.1016/j.physa.2014.06.043
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    Cited by:

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    2. Ardalankia, Jamshid & Osoolian, Mohammad & Haven, Emmanuel & Jafari, G. Reza, 2020. "Scaling features of price–volume cross correlation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 549(C).
    3. Akash P. POOJARI & Siva Kiran GUPTHA & G Raghavender RAJU, 2022. "Multifractal analysis of equities. Evidence from the emerging and frontier banking sectors," Theoretical and Applied Economics, Asociatia Generala a Economistilor din Romania - AGER, vol. 0(3(632), A), pages 61-80, Autumn.
    4. Tetsuya Takaishi, 2017. "Statistical properties and multifractality of Bitcoin," Papers 1707.07618, arXiv.org, revised May 2018.
    5. Jamshid Ardalankia & Jafar Askari & Somaye Sheykhali & Emmanuel Haven & G. Reza Jafari, 2020. "Mapping Coupled Time-series Onto Complex Network," Papers 2004.13536, arXiv.org, revised Aug 2020.
    6. Lahmiri, Salim, 2015. "Long memory in international financial markets trends and short movements during 2008 financial crisis based on variational mode decomposition and detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 437(C), pages 130-138.
    7. Lahmiri, Salim, 2017. "On fractality and chaos in Moroccan family business stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 473(C), pages 29-39.
    8. Lahmiri, Salim, 2016. "Clustering of Casablanca stock market based on hurst exponent estimates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 456(C), pages 310-318.
    9. Lahmiri, Salim, 2017. "Investigating existence of chaos in short and long term dynamics of Moroccan exchange rates," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 465(C), pages 655-661.
    10. Lu, Xinsheng & Li, Jianfeng & Zhou, Ying & Qian, Yubo, 2017. "Cross-correlations between RMB exchange rate and international commodity markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 168-182.
    11. Takaishi, Tetsuya, 2018. "Statistical properties and multifractality of Bitcoin," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 507-519.
    12. Jamshid Ardalankia & Mohammad Osoolian & Emmanuel Haven & G. Reza Jafari, 2019. "Scaling Features of Price-Volume Cross-Correlation," Papers 1903.01744, arXiv.org, revised Aug 2020.

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