A multifractal detrended fluctuation description of Iranian rial–US dollar exchange rate

P. Norouzzadeh and B. Rahmani

Physica A: Statistical Mechanics and its Applications, 2006, vol. 367, issue C, 328-336

Abstract: The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation analysis (MF-DFA) is used. Through multifractal analysis, the scaling exponents, generalized Hurst exponents, generalized fractal dimensions and singularity spectrum are derived. Moreover, contribution of two major sources of multifractality, that is, fat-tailed probability distributions and nonlinear temporal correlations are studied.

Keywords: Multifractality; Scaling; Rial–dollar exchange rate; Financial markets (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (85)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:367:y:2006:i:c:p:328-336

DOI: 10.1016/j.physa.2005.11.019

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