Multifractal detrending moving average analysis on the US Dollar exchange rates

被引：112

作者：

Wang, Yudong ^{[1
]}

Wu, Chongfeng ^{[1
]}

Pan, Zhiyuan ^{[1
]}

机构：

[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2011年 / 390卷 / 20期

基金：

中国国家自然科学基金;

关键词：

US Dollar exchange rate; Multifractality; Multifractal detrending moving average; LONG-RANGE DEPENDENCE; CRUDE-OIL MARKETS; CHINESE STOCK-MARKET; LOCAL HURST EXPONENT; TIME-SERIES; FLUCTUATION ANALYSIS; CROSS-CORRELATIONS; FINANCIAL-MARKETS; EMERGING MARKETS; TERM-MEMORY;

D O I：

10.1016/j.physa.2011.05.023

中图分类号：

O4 [物理学];

学科分类号：

070305 [高分子化学与物理];

摘要：

In this paper, we investigate the multifractal behavior of the US dollar (USD) exchange rates. The results from the multifractal detrending moving average algorithm show that twelve exchange rate series were multifractal. The major source of multifractality are long-range correlations of small and large fluctuations. Fat-tail distributions have important effects on the multifractality of USD/AUR, USD/EUR and CNY/USD exchange rates. We also find evidence that extreme events play an important role in the contributions to multifractality for the USD/EUR exchange rate. (c) 2011 Elsevier B.V. All rights reserved.

引用

页码：3512 / 3523

页数：12

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