Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate
AbstractAbstract : 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 50701.
Date of creation: 15 Oct 2013
Date of revision:
multifractal analysis; Dinar-Dollar exchange rate; Hölder exponents.;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G0 - Financial Economics - - General
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- Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, Elsevier, vol. 18(4), pages 154-163, September.
- 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.
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