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

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  • Norouzzadeh, P.
  • Rahmani, B.

Abstract

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.

Suggested Citation

  • Norouzzadeh, P. & Rahmani, B., 2006. "A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 367(C), pages 328-336.
  • Handle: RePEc:eee:phsmap:v:367:y:2006:i:c:p:328-336
    DOI: 10.1016/j.physa.2005.11.019
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    References listed on IDEAS

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    1. H. Takayasu & M. Takayasu & M. P. Okazaki & K. Marumo & T. Shimizu, 2000. "Fractal Properties in Economics," Papers cond-mat/0008057, arXiv.org, revised Aug 2000.
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