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Multi-Fractality in Foreign Currency Markets

Listed author(s):
  • Marco Corazza

    ()

    (University Ca’ Foscari of Venice, Italy)

  • A. G. Malliaris

    (Loyola University Chicago, U.S.A.)

Several empirical studies have shown the inadequacy of the standard Brownian motion (sBm) as a model of asset returns. To correct for this evidence some authors have conjectured that asset returns may be independently and identically Pareto-Levy stable (PLs) distributed, whereas others have asserted that asset returns may be identically - but not independently - fractional Brownian motion (fBm) distributed with Hurst exponents, in both cases, that differ from 0.5. In this article we empirically explore such non-standard assumptions for both spot and (nearby) futures returns for five foreign currencies: the British Pound, the Canadian Dollar, the German Mark, the Swiss Franc, and the Japanese Yen.

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Article provided by Multinational Finance Journal in its journal Multinational Finance Journal.

Volume (Year): 6 (2002)
Issue (Month): 2 (June)
Pages: 65-98

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Handle: RePEc:mfj:journl:v:6:y:2002:i:2:p:65-98
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