Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate

DIAF, Sami and TOUMACHE, Rachid (2013): Multifractal Analysis of the Algerian Dinar - US Dollar exchange rate.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: multifractal analysis, Dinar-Dollar exchange rate, Hölder exponents.
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; F - International Economics > F3 - International Finance > F31 - Foreign Exchange; G - Financial Economics > G0 - General

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