Multifractal Random Walk Models: Application to the Algerian Dinar exchange rates

Sami Diaf

MPRA Paper from University Library of Munich, Germany

Abstract: This paper deals with a special class of multifractal models called the Multifractal Random Walk which has been widely used in finance because of its parsimonious framework, featuring many properties of financial data not considered in traditional linear models. Using the log-normal version, results confirm the Algerian Dinar is a multifractal process and has a rich wider variation spectrum versus the US Dollar than the Euro.

Keywords: multifractal processes; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C5 F37 G15 (search for similar items in EconPapers)
Date: 2015-02
New Economics Papers: this item is included in nep-ets
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