Fluctuation dynamics of exchange rates on Polish financial market
A. Orłowski,
Z.R. Struzik,
Ewa Syczewska () and
M.A. Załuska-Kotur
Physica A: Statistical Mechanics and its Applications, 2004, vol. 344, issue 1, 184-189
Abstract:
We show results of local fluctuation analysis, probability distributions, and fractional integration analysis for nominal exchange rates of the Polish zloty versus two foreign currencies (US dollar and German mark/euro). The results confirm the rapid change of the volatility pattern in August 1997. We compare the type of the fluctuation behavior before and after this date.
Keywords: Fluctuations; Wavelets; Holder exponent; Fractional integration (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (1)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:344:y:2004:i:1:p:184-189
DOI: 10.1016/j.physa.2004.06.113
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