| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 977433 | Physica A: Statistical Mechanics and its Applications | 2006 | 9 Pages |
Abstract
The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation analysis (MF-DFA) is used. Through multifractal analysis, the scaling exponents, generalized Hurst exponents, generalized fractal dimensions and singularity spectrum are derived. Moreover, contribution of two major sources of multifractality, that is, fat-tailed probability distributions and nonlinear temporal correlations are studied.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
P. Norouzzadeh, B. Rahmani,