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

DIAF, Sami (2015): Multifractal Random Walk Models: Application to the Algerian Dinar exchange rates.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: multifractal processes, stochastic volatility
• Subjects: C - Mathematical and Quantitative Methods > C5 - Econometric Modeling; F - International Economics > F3 - International Finance > F37 - International Finance Forecasting and Simulation: Models and Applications; G - Financial Economics > G1 - General Financial Markets > G15 - International Financial Markets

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