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Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate

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  • DIAF, Sami
  • TOUMACHE, Rachid

Abstract

Abstract : This article aims to study the scaling behavior of the Algerian Dinar - US Dollar exchange rate using multifractal time series analysis which stems from the fractal theory first implemented by Benoît Mandelbrot in early 1960. Investigating time series properties using this technique allows us to shed light on important characteristics omitted by traditional time series analyses and highlight the usefulness of local Hölder exponents in predicting crash patterns.

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File URL: http://mpra.ub.uni-muenchen.de/50701/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 50701.

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Date of creation: 15 Oct 2013
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Handle: RePEc:pra:mprapa:50701

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Keywords: multifractal analysis; Dinar-Dollar exchange rate; Hölder exponents.;

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  1. I. A. Agaev & Yu. A. Kuperin, 2004. "Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes," Papers cond-mat/0407603, arXiv.org.
  2. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
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