Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate

Sami Diaf and Rachid Toumache

MPRA Paper from University Library of Munich, Germany

Abstract: Abstract : This article aims to study the scaling behavior of the Algerian Dinar - US Dollar exchange rate using multifractal time series analysis which stems from the fractal theory first implemented by Benoît Mandelbrot in early 1960. Investigating time series properties using this technique allows us to shed light on important characteristics omitted by traditional time series analyses and highlight the usefulness of local Hölder exponents in predicting crash patterns.

Keywords: multifractal analysis; Dinar-Dollar exchange rate; Hölder exponents. (search for similar items in EconPapers)
JEL-codes: C5 F31 G0 (search for similar items in EconPapers)
Date: 2013-10-15
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (1)

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https://mpra.ub.uni-muenchen.de/50701/1/MPRA_paper_50686.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/50746/1/MPRA_paper_50746.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/50763/1/MPRA_paper_50763.pdf revised version (application/pdf)

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