The multifractal properties of Euro and Pound exchange rates and comparisons
Chenyu Han and
Physica A: Statistical Mechanics and its Applications, 2018, vol. 509, issue C, 578-587
The study measures the multifractal properties of the daily data of the exchange rates of pound and euro from 2005 to 2017. We proved that the exchange rate data series of pound and euro both exhibit significant nonlinear multifractal properties. The multifractal properties of the two exchange rate series call for non-linear tools, instead of conventional linear tools to further study the features of exchange markets. Furthermore, this study compares the multifractal degrees of pound and euro in five sub-samples divided by four major global events in the world economy during 2005 and 2017. Finally, the study compares the efficiency of the two exchange markets in each sub-sample and discusses the effects on investment attitudes of global investors.
Keywords: MF-DFA; Multifractal properties; Multifractality degrees; Exchange rates (search for similar items in EconPapers)
JEL-codes: C22 F31 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only. Journal offers the option of making the article available online on Science direct for a fee of $3,000
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:509:y:2018:i:c:p:578-587
Access Statistics for this article
Physica A: Statistical Mechanics and its Applications is currently edited by K. A. Dawson, J. O. Indekeu, H.E. Stanley and C. Tsallis
More articles in Physica A: Statistical Mechanics and its Applications from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().