IDEAS home Printed from https://ideas.repec.org/a/cii/cepiei/2005-4tf.html
   My bibliography  Save this article

Modelisation multifractale du taux de change dollar/euro

Author

Listed:
  • Jerome Fillol

Abstract

L’approche multifractale en finance a fait dernierement l’objet de developpements theoriques que l’on doit principalement a Calvet et Fisher (2001, 2002). Dans cet article, nous presentons la modelisation multifractale (Multifractal Model of Asset Returns, MMAR) dont nous proposons une application sur le taux de change dollar/euro. Nous concluons au caractere multifractal de ce taux de change, et, au moyen de simulations de Monte Carlo, a la superiorite de la modelisation multifractale par rapport aux modeles GARCH et FIGARCH pour rendre compte des proprietes de la serie etudiee.

Suggested Citation

  • Jerome Fillol, 2005. "Modelisation multifractale du taux de change dollar/euro," Economie Internationale, CEPII research center, issue 104, pages 135-150.
  • Handle: RePEc:cii:cepiei:2005-4tf
    as

    Download full text from publisher

    File URL: http://www.cepii.fr/IE/rev104/rev104f.htm
    Download Restriction: no

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Julien Idier, 2011. "Long-term vs. short-term comovements in stock markets: the use of Markov-switching multifractal models," The European Journal of Finance, Taylor & Francis Journals, vol. 17(1), pages 27-48.

    More about this item

    Keywords

    Modelisation multifractale; fonction d’echelle; spectre multifractal; taux de change;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • G0 - Financial Economics - - General
    • F31 - International Economics - - International Finance - - - Foreign Exchange

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cii:cepiei:2005-4tf. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (). General contact details of provider: http://edirc.repec.org/data/cepiifr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.