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Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate


  • DIAF, Sami
  • TOUMACHE, Rachid


Abstract : 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.

Suggested Citation

  • DIAF, Sami & TOUMACHE, Rachid, 2013. "Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate," MPRA Paper 50701, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:50701

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    References listed on IDEAS

    1. Onali, Enrico & Goddard, John, 2009. "Unifractality and multifractality in the Italian stock market," International Review of Financial Analysis, Elsevier, vol. 18(4), pages 154-163, September.
    2. I. A. Agaev & Yu. A. Kuperin, 2004. "Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes," Papers cond-mat/0407603,
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    Cited by:

    1. DIAF, Sami, 2015. "Multifractal Random Walk Models: Application to the Algerian Dinar exchange rates," MPRA Paper 67619, University Library of Munich, Germany.

    More about this item


    multifractal analysis; Dinar-Dollar exchange rate; Hölder exponents.;

    JEL classification:

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

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