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A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate

  • Norouzzadeh, P.
  • Rahmani, B.
Registered author(s):

    The 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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    File URL: http://www.sciencedirect.com/science/article/pii/S0378437105012112
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    Article provided by Elsevier in its journal Physica A: Statistical Mechanics and its Applications.

    Volume (Year): 367 (2006)
    Issue (Month): C ()
    Pages: 328-336

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    Handle: RePEc:eee:phsmap:v:367:y:2006:i:c:p:328-336
    Contact details of provider: Web page: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/

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