Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate
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.
|Date of creation:||15 Oct 2013|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- I. A. Agaev & Yu. A. Kuperin, 2004. "Multifractal Analysis and Local Hoelder Exponents Approach to Detecting Stock Markets Crashes," Papers cond-mat/0407603, arXiv.org.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:50701. 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: (Ekkehart Schlicht)
If references are entirely missing, you can add them using this form.