Multifractal detrending moving average analysis on the US Dollar exchange rates

Yudong Wang, Chongfeng Wu and Zhiyuan Pan

Physica A: Statistical Mechanics and its Applications, 2011, vol. 390, issue 20, 3512-3523

Abstract: In this paper, we investigate the multifractal behavior of the US dollar (USD) exchange rates. The results from the multifractal detrending moving average algorithm show that twelve exchange rate series were multifractal. The major source of multifractality are long-range correlations of small and large fluctuations. Fat-tail distributions have important effects on the multifractality of USD/AUR, USD/EUR and CNY/USD exchange rates. We also find evidence that extreme events play an important role in the contributions to multifractality for the USD/EUR exchange rate.

Keywords: US Dollar exchange rate; Multifractality; Multifractal detrending moving average (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (56)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:390:y:2011:i:20:p:3512-3523

DOI: 10.1016/j.physa.2011.05.023

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