Multifractal Random Walk Models: Application to the Algerian Dinar exchange rates
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References listed on IDEAS
- DIAF, Sami & TOUMACHE, Rachid, 2013. "Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate," MPRA Paper 50701, University Library of Munich, Germany.
More about this item
Keywordsmultifractal processes; stochastic volatility;
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2015-11-15 (Econometric Time Series)
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